My latest research and articles can be found here. Click on the disk icon to download a Adobe PDF file. Updates or comments on these articles and other financial commentaries can be found on my blog Quantitative Trading. Other articles are in my Premium Content area. MATLAB source codes for various examples in my forthcoming book are in the Book area. Both Premium Content and Book areas are open to subscribers as well as readers of my book.
Cointegration is not the same as correlation
A short illustration of their difference.
Arbitrage between gold and gold-miners
Trading the spread between gold and gold-miners. See an updated analysis here.
Maximizing Compounded Rate of Return
A simple formula that few traders utilize
How much leverage should you use?
Maximizing growth without risking bankruptcy
An arbitrage trade between energy stocks and futures
Using cointegration technique for pair-trading. An update on this article can be found at here.
A “Highly Improbable” Event?
A historical analysis of the natural gas spread trade that bought down Amaranth. Published on Yahoo Finance.
Probabilistic Modeling for Information Retrieval with Unsupervised Training Data.
Published in Knowledge Discovery and Data Mining Conference Proceedings 1998, New York.
Simple algorithm for mining text documents
Published in NIST (National Institute of Standards and Technology) journal. Click here to download a Postscript file. Otherwise click on disk icon to download PDF version.
