In “Black box” blues I argued that automated trading was a potentially dangerous element to include in a quantitative investment strategy, citing the “program trading / portfolio insurance” crash of 1987. When the market started falling in 1987 the computer programs caused the writers of derivatives to sell on every down-tick, which some suggest exacerbated the crash. Here’s New [...]
Posts Tagged ‘Value’
The trend is your end.
Posted in About, Behavioral economics, Quantitative investment, Stocks, Value Investment, tagged Momentum, Quantitative, Value on January 28, 2010 | 4 Comments »
Nassim Nicholas Taleb and An Apology for Raymond Sebond
Posted in About, Austrian Economics, Contrarian investment, Stocks, tagged Taleb, Value on January 20, 2010 | 3 Comments »
As I foreshadowed last week in The New World, I want to explore Nassim Nicholas Taleb’s Fooled by Randomness and The Black Swan in some depth. The books aren’t strictly about investing, which Taleb regards as a “less interesting, more limited –and rather boring –applications of [his] ideas,” but my interest is in investment, particularly deep [...]
Research comparing the performance of quantitative and qualitative hedge funds
Posted in About, Quantitative investment, Stocks, Value Investment, tagged Quantitative, Value on January 18, 2010 | 1 Comment »
Recently I’ve been laying the groundwork for a quantitative approach to value investment. The rational is as follows: simple quantitative or statistical models outperform experts in a variety of disciplines, so why not investing in general, and why not value investing in specific? Well, it seems that they do. A new research paper argues that quantitative [...]
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