This paper presents a quantitative investment strategy that is capable of producing strong risk-adjusted returns in both up and down markets. The strategy combi

Source: Diversified Statistical Arbitrage: Dynamically Combining Mean Reversion and Momentum Strategies by James Velissaris :: SSRN

http://xlwings.org/

xlwings is a free and open-source alternative to VBA that allows you to program Microsoft Excel with Python. It works on Windows and Mac.

Today, I’m going to explain in plain English the top 10 most influential data mining algorithms as voted on by 3 separate panels in this 2007 survey paper.

Source: Top 10 data mining algorithms in plain English | rayli.net

This is a simple dividend strategy for investors seeking dividend stocks, income generation and capital gains. The strategy saw good returns and low drawdowns.

Source: Simple Dividend Strategy For Income Investors [17% CAR]

Source: QuantLab – Blog

How to convert technical analysis nto something more amenable to statistical analysis

Source: Quantifying Technical Analysis

Shifting sands: Equity Ranking Backtest with Python/Pandas.

A ‘Simple Pattern’ for Trading | Jay On The Markets.

How to win any popular game, according to data scientists – The Washington Post.

Inovance – Bollinger Band Feature Analaysis Using a Random Forest Algorithm.

Investment Idiocy: System building – Data capture.

bt – Flexible Backtesting for Python — bt 0.1.2 documentation.

Quantopian – Crowd-Sourced Stock Sentiment Using StockTwits.

Social data research links: oil prices, real estate, and power laws | MKTSTK.

Random walks down Wall Street – Stochastic Processes in PythonStuart Reid.

Quantitative Trading: Beware of Low Frequency Data.

http://mesasoftware.com/papers/FRAMA.pdf

MSc theses in computational finance

via Datasim Financial Forums • View topic – MSc theses in computational finance.

Pairs Trading with Copulas

via Pairs Trading with Copulas by Wenjun Xie, Qi Rong Liew, Yuan Wu, Xi Zou :: SSRN.

Using Intraday Data to Define Market Regimes.

BlackDog: A Dynamic Stock/Bond Allocation Strategy | the augmented trader.

Combining Momentum and Mean Reversion Strategies.

Wolfram Data Drop: Universal Data Accumulator.

Investor sentiment for the S&P 500 | The Behavioural Quant.

Cross-Correlation Networks: visualizing influence in the S&P 100 | MKTSTK.

http://ssrn.com/abstract=2049939

via Betting Against Beta by Andrea Frazzini, Lasse Heje Pedersen :: SSRN.

Intelligent Trading: IBS reversion edge with QuantShare.

Developing Long/Short ETF Strategies.

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A Monte Carlo Simulation for Pi Day

via A Monte Carlo Simulation for Pi Day | R-bloggers.

DTR Trading: Iron Condor Structure Alternatives.

Days to Cover and Stock Returns by Harrison G. Hong, Weikai Li, Sophie X. Ni, Jose A. Scheinkman, Philip Yan :: SSRN.

03-09-2015 – A Profitable System That Makes Real World Money.

Network visualization links: social data and correlation filtering | MKTSTK.

Algorithmic Trading.

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SIC lookup by stock symbol | MKTSTK.

Quantitative Trading: Commitments of Traders (COT) strategy on soybean futures.

Academic research links: social data and financial markets | MKTSTK.

Risk Laboratory: Ophir Gottlieb: * Financial Mathematics.

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District Data Labs – How to Transition from Excel to R.

Read Excel files from R | MilanoR.

Moving Average · Systematic Investor’s Blog.

Statistical Arbitrage Using the Kalman Filter.

Pyramid Your Trading Profits Using the Gator – Tradinformed.

An R tutorial for Microsoft Excel users.

• Developing Statistical Arbitrage Strategies Using Cointegration

  tags: arbitrage

Posted from Diigo. The rest of my favorite links are here.

• Earnings and Economic Calendar – Estimize

Posted from Diigo. The rest of my favorite links are here.

http://epchan.blogspot.com/2015/01/trading-with-estimize-and-ibes-earnings.html?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+QuantitativeTrading+%28Quantitative+Trading%29

http://systemtradersuccess.com/important-performance-measure-trading-strategies/

http://www.alphaarchitect.com/blog/2015/01/28/predict-stock-returns-using-the-trend-of-profitability/#.VMl0HS63SDg

http://gbeced.github.io/pyalgotrade/

http://www.capitalspectator.com/a-momentum-based-trading-signal-with-strategic-value/

http://volatilitymadesimple.com/vrp-and-other-measures-of-implied-volatility-from-trading-the-odds/

http://www.exegetic.biz/blog/2015/01/download-option-chain-from-google-finance-in-r-an-update/?utm_source=feedly&utm_reader=feedly&utm_medium=rss&utm_campaign=download-option-chain-from-google-finance-in-r-an-update

http://largecaptrader.com/2015/01/13/random-notes-with-python/

http://www.drtomstarke.com/index.php/demystifying-the-hurst-exponent-for-trading-algorithms

http://mechanicalforex.com/2015/01/determinism-and-entropy-choosing-what-to-trade.html

http://onlyvix.blogspot.com/2010/08/simple-trick-to-convert-volatility.html

http://home.business.utah.edu/finmll/fin787/papers/debondtthaler1985.pdf

http://numericalmethod.com/blog/2015/01/06/using-returns-in-pairs-trading/

http://epchan.blogspot.com/2015/01/trading-with-estimize-and-ibes-earnings.html?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+QuantitativeTrading+%28Quantitative+Trading%29

http://www.automated-trading-system.com

http://www.quantatrisk.com/2014/12/22/quants-numpy-and-lotto/

https://www.quantopian.com/posts/some-code-from-ernie-chans-new-book-implemented-in-python?utm_source=All+Active+Members&utm_campaign=7ff2c43c24-14-12-4_DecMonthlyEmail&utm_medium=email&utm_term=0_7cca55778a-7ff2c43c24-99379153

http://www.thetatrend.com/backtesting-basic-eft-rotation-system-excel-free-download/

http://www.drtomstarke.com/index.php/volatility-cones-a-secret-weapon-in-options-trading

http://www.alphaticks.com/blog/archives/378

http://godelsmarket.blogspot.com/2014/11/unlimited-free-backtests-with-large.html

http://twiecki.github.io/blog/2014/11/18/python-for-data-science/

http://godelsmarket.blogspot.com/2012/12/simple-automated-trading-system.html

http://tradingwithpython.blogspot.com

http://blog.zhaw.ch/sef/

http://www.trendfollowing.com/whitepaper/Does_trendfollowing_work_on_stocks.pdf

http://www.quantatrisk.com/2014/11/07/covariance-matrix-for-n-asset-portfolio-fed-by-quandl-in-python/

http://www.wessa.net

https://www.inovancetech.com/how-to-trade-rsi.html

http://www.tradingtheodds.com/2014/11/trading-volatility-xiv-seasonalities/

http://dtr-trading.blogspot.com/2014/11/delta-neutral-iron-condor-spx-66-dte.html

http://volatilitymadesimple.com/vix-trading-trading-the-odds-vrp-strategy/

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2516796

http://htxpro.squarespace.com/blog/2014/10/26/the-math-of-pairs-trading-execution-part-i

http://adamhgrimes.com/blog/what-works/

http://www.online-futurestrading.com/images/How%20to%20develop%20a%20futures%20trading%20system%20ebook.pdf

http://www.tradestation.com/education/labs/analysis-concepts/contrarian-zscore

http://optimalmomentum.blogspot.com

https://quantlab.co.za/blog/blog.php?controller=post&action=view&id_post=23

http://www.alphaarchitect.com/blog/2014/10/13/top-geeky-quant-blogs/#.VDv6VBZEOzA

http://drtomstarke.com/index.php/deciphering-the-signal-from-the-noise-what-languages-should-you-write-trading-applications-in/

http://www.alphaticks.com/blog/archives/220

https://inovancetech.com/arlstrat.html

http://www.quantstart.com/articles/Event-Driven-Backtesting-with-Python-Part-VIII

http://drtomstarke.com/index.php/processing-excel-data-sources-in-python/

http://www.thertrader.com/2014/03/14/using-genetic-algorithms-in-quantitative-trading/

http://petewerner.blogspot.tw/2014/09/hmm-example-with-depmixs4.html

http://systemtradersuccess.com/trading-model-vs-trading-system/

http://www.alphaarchitect.com/blog/2014/09/18/flexible-asset-allocation-dethroning-moving-average-rules/#.VBsEPBZEOzA

http://arxiv.org/pdf/1408.2217v1.pdf

http://quantstrattrader.wordpress.com/2014/09/09/nuts-and-bolts-of-quantstrat-part-i/