Quote of the Day: “A computer lets you make more mistakes faster than any invention in human history-with the possible exceptions of handguns and tequila”
Quantitative Strategies are obviously the focus of this blog, but I haven’t actually had the chance to map out the permissible dimensions that these strategies can take. First off, we can talk about the Data Inputs:
- Economic Indicators (GDP, M3, etc)
- Fundamental Variables (Profit Margin, Revenue Growth, Market Share, etc)
- Valuation Ratios (Price-Book, Price-Earnings, etc)
- Sentiment Inferences (options activity, short selling, buybacks, acquisitions, PMI surveys, etc)
- Historical Prices and Returns (Momentum, Stochastic Volatility, etc)
- Calendar Effects
- Miscellaneous Exogenous Events (eg Politics – timing of elections)
These will be featured in the blog in various combinations.
We also figure out what to predict:
- An individual stock’s future return a) direction or b) magnitude or c) both, in terms of i) absolute figures or ...
