<r>Unfortunately the trading forum is not very active. I can recommend the following two blogs: <URL url="http://epchan.blogspot.com/">http://epchan.blogspot.com/</URL> and XXXXXXX. The Wiley book is a good one. You can search for Burgess PhD to get a copy of his thesis on cointegration. I like micr...

<t>QuoteOriginally posted by: Traden4AlphaIf I have any criticism at all, it's that you don't go far enough. I would argue against the entire notion of characterizing returns as "drawn from a distribution." Although I can fully appreciate the short-term utility of modeling future returns in statisti...

<t>QuoteOriginally posted by: AnthisMoreover, its well known that Markowitz model is "error maximiser". It has been shown that an error in expected returns estimation can lead to suboptimal portfolio 13 times more than error in expected variance estimation, and an error in expected variance is 3 tim...

<t>I find these commodities most interesting, because of their relation to other markets. In technical analysis speak this is called intermarket analysis, which is Murphy's term. Especially with Crude Oil and gold one can learn about the spuriousness of the correlations and which information the mar...

1) Interactive Brokers2) CL, GC?3) Schap's and Smith's spread trading books and Rogers' more anecdoctal 'hot commodities'.

<t>Well, if you care about economic welfare it should be of interest. I don't think that speculation accounts for 90-95% in currency markets. The question is how one defines and measures speculation. I am talking about two different things: trading of derivatives and academic research on finance. Th...

<r>Financial markets and the real economy: <URL url="http://faculty.chicagogsb.edu/john.cochrane/research/Papers/financial_and_real_proofs_aug_07.pdf"><LINK_TEXT text="http://faculty.chicagogsb.edu/john.coch ... aug_07.pdf">http://faculty.chicagogsb.edu/john.cochrane/research/Papers/financial_and_re...

<t>Most of academic research in QF is devoted to derivatives. My question is: why? What is the benefit to mankind? Clearly instruments for minimizing risk are very valuable, but at the same time complexity of products increases risk. I don't know how to interpret the appended graph, but nowadays it'...

http://faculty.fuqua.duke.edu/~charvey/ ... iceira.pdf

<r>Yes that book is very good. It's also available for free on the author's website. Campbell is now one of the most cited economists. I like his views on finance and macroeconomics. A lot of Keynes for someone from Chicago. What are the milestones in asset management/portfolio theory (PT)? Here are...

Hi,I am looking for books/papers on asset management, especially good meta-references. TIA

<t>I recently did a study on retail trading systems. 300 systems burned 30 million dollars for a couple of thousand of customers. Interestingly enough, profits and number of users were slightly negatively correlated. It's same puzzle with mutual funds: why do they exist?"So why all these banks put s...

2. If you achieve 35% p.a. that is much, much more than a little bit better than the average due to compounding. If you have a perfect scalable basket of strategies that almost as good as the money press. On the other hand all exponential trends have to come to an end at some point.

<t>QuoteOriginally posted by: Traden4Alpha For diverse stock sets, the second, third, etc. principle components often align with macro-economic variables (e.g., stocks that are sensitive to interest rates) or industry groupings (e.g. financial stocks).Is there research on this idea? I would suppose ...