Some samples of my articles are listed here. The rest, together with MATLAB source codes, can be found on the Premium Content page. (Readers of my book can find the password in the last paragraph of page 34.) Updates or comments on these articles and other financial commentaries can be found on my blog Quantitative Trading.
- 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 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.
- 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.