Go For Great, Average Is Overrated — Ergodicity We need to start off defining a big word because we will be revisiting this concept frequently throughout. Ergodicity expresses the idea that a point of a moving system, either a dynamical system or a stochastic process, will eventually visit all parts of the space that the system moves in…

How we can help a much-loved language with a little boost of speed. — Introduction Python is ubiquitous in the data science and quantitative finance community, for its ease of use, extensive libraries, and syntactic beauty. Yet, Python often never makes it to production as is; in the quantitative finance context, it is often used as a research tool for models and then converted to…

Introduction To predict prices, we build models that attempt prescience. Typically, our models focus on one central theme (factor) that may influence prices, such as momentum, value, mean-reversion, etc. We then make predictions based on those models. Due to the Sisyphean task of model-building, most traders specialize in the understanding of…

Introduction Python is a relatively popular choice of language for the implementation of trading algorithms on several popular algorithmic trading platforms. In trading algorithms, speed is a crucial factor, and hence computational efficiency is a much sought-after area of optimization. In the spirit of maximizing our computational efficiency, we will identify…

Introduction In pairs trading, we are expecting a pair of securities to share some relationships between them. These relationships can be economical, statistical, or behavioral in nature. Due to these relationships, there are some long-term behaviors that we can expect from them. However, in the short run, these relationships can diverge…

Introduction If you are a portfolio manager, an investor in a portfolio, or a capital provider, it is of great interest to you to determine if the fees you are paying for the strategy or portfolio is worth your buck. Fees can take on many forms, the active fee you pay…

Intentions The purpose of this article is to share how institutions achieve high-complexity strategies through thoughtful design — modularising common models to promote reusability and scalable complexity. …

My Experience I’ve been in a large public corporation of tens of thousands of employees, where I felt insignificant and felt like it was where ideas went to die. …

Disclaimer Do not construe anything in this article as investment advice. It is far easier to lose money in the markets than it is to make money. Mistakes made in quantitative trading are also often compounded because of the algorithmic nature of things. …