http://www.thewholestreet.com new and improved, and just for the quants Sat, 25 May 2013 06:02:02 +0000 en-US hourly 1 http://wordpress.org/?v=3.5.1 http://www.thewholestreet.com/daily-wrap-for-5242013/ http://www.thewholestreet.com/daily-wrap-for-5242013/#comments Sat, 25 May 2013 06:02:02 +0000 admin http://www.thewholestreet.com/daily-wrap-for-5242013/

• New Book: Quant Job Interview Questions and Answers [Amazon.com]
  The quant job market has never been tougher. Extensive preparation is essential. Expanding on the successful first edition, this second edition has been updated to reflect the latest questions asked. It now pro…
• Hewlett-Packard Company–Cheap as Dirt; May 24, 2013 [Empiritrage]
  Full Report Hewlett-Packard Company (HPQ) announced this past Wednesday that fiscal Q2 earnings slipped, although shares jumped after hours on news of an upward current-quarter guidance revision. HPQ has a prob…
• Genetic Algorithms and its Application in Trading [Equametrics]
  Introduction Genetic Algorithms may seem to be a fancy buzz word only belongs to experienced programmers or quantitative researchers. While it appears to be complicated for general traders at the first glanc…
• Setting stops the Bayesian way [Futures Mag]
  Stop loss levels are essential when you trade with leverage. Nonetheless, most traders put far more time into forecasting where prices will go and what type and size of position to take than determining stop le…
• $SPX Returns Around Memorial Day Since 1990 [Paststat]
  Below the returns for holding onto #SPX ( S&P 500 Index) one trading prior to the Memorial Day since 1990 ( calculated with the full day change% of #SPX returns ) Winners : 11 Losers : 12 % Winners : 48% Av…
• SPY Closes At A 5-Day Low For The 1st Time In A Long Time [Quantifiable Edges]
  On Tuesday the SPY closed at a 5-day low for the 1st time in over 4 weeks.  This triggered the study below, which I last showed on the blog in December.
• How to pick post-stock-split winners [Mark Hulbert]
  There has been a long debate about whether or not buying a stock after a split is a good idea. Research shows that it probably is, but it’s not as easy as simply waiting for a stock to do so, and then purchasin…
• Calculating VIX—the Easy Part [Six Figure Investing]
  The movements of the CBOE’s VIX® are often confusing. It usually moves the opposite direction of the S&P 500 but not always. On Fridays the VIX tends to sag and on Mondays it often climbs because S&…
• New Book: Algorithmic Trading: Winning Strategies and Their Rationale (EP Chan) [Amazon.com]
  In his well-received first book Quantitative Trading, Dr. Ernest Chan addressed the essential techniques an algorithmic trader needs to succeed at this demanding endeavor. While some useful example strategies w…

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• Fidelity Sector Funds Rankings Displaying Odd Mix [Woodshedder]
  I’m not sure what to make of the top 5 ranked funds. While utilities have dropped out, the rankings are still somewhat defensive, favoring healthcare, pharma, and consumers. FSPHX (Health Care) FDFAX (Consumer…
• Fading $SPY Gap Down Open After 2x Average Monthly Volume Sell-off Trading System [Paststat]
  Another reason and another trading strategy signalling to be bullish on that pullback/ gap down open of $SPY here are the trading system rules we employed $SPY falls at-least by 0.5% previous trading day Previo…
• New Book: S&P 500 Trading with ConnorsRSI [Amazon.com]
  S&P 500 Trading Strategy w/ConnorsRSI Here's How You Can Swing-Trade for Short-term Gains AND Stay In Your Comfort Zone — with S&P 500 Stocks Professional money managers have long bought quality stocks…
• $SPY forms back to back Outside Days , next what? [Paststat]
  Here are the trading system rules we employed $SPY ( SPDR S&P 500 ETF) forms Outside day ( a higher high and lower low ) for two trading days in row go long at Close & exit at close tomorrow below the b…
• XJO Closes below Support Level 3 during long term uptrend and short term down trend bullish or bearish? [Asxiq]
  With XJO ( ASX 200 index ) closing below Support Level 3 and with the XJO above it’s 200-DMA while below it’s 20 DMA , this pattern suggests a bounce for tomorrow Trading strategy rules we employed XJO closed b…

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• Low beta anomaly: long history and recessions [RRSP Strategy]
  I am researching whether low beta investing has benefited from recent conditions, such as the interest rate bear market since 1982 which could favor higher yielding equities such as utilities found in low beta…
• Memorial Day Generally Bullish for $SPX $SPY $ES_F [Stock Trader's Almanac]
  In the Stock Trader’s Almanac we show how the days after Memorial Day have been rather bullish. In the table below I went back to 1971, the year the Uniform Monday Holiday Act took effect, moving Memorial Day a…
• Trading Outside Day Price Pattern on $SPY [Paststat]
  Caveat : The daily price bar doesn’t tell whether the intra-day low or intra-day high is hit first, as on yesterday ( 21st May 2013) the intra-day low is hit first and later the intra-day high. but anyway it is…
• 3 things not to worry about right now [Mark Hulbert]
  Investors are needlessly fretting about several issues right now that have nothing to do with whether the bull market will continue….

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• What To Do About REITs? [Mebane Faber]
  REITs have been the best performing major asset class since the market bottom in 2009, up over 200%. What are the current drivers of REITs saying now across trend, yield curve, and valuation? -Trend is certainl…
• Shareholder Yield Strategy [Scott's Investments]
  Cambria Investment Management and Mebane Faber recently announced the Cambria Shareholder Yield ETF (SYLD). Faber outlines the Shareholder Yield strategy in his Shareholder Yield: A Better Approach to Dividend…
• New Highs 2 Days Post Op-Ex [Overnight Edges]
  Yesterday I looked at what happens when ES closes at a short-term high on the day after options expiration. Today let’s take a look at what happens when there is a short-term high 2 days after. (Unless there is…
• New Book: Keeping Up with the Quants: Your Guide to Understanding and Using Analytics [Amazon.com]
  Welcome to the age of data. No matter your interests (sports, movies, politics), your industry (finance, marketing, technology, manufacturing), or the type of organization you work for (big company, nonprofit,…
• Stock Returns Around Memorial Day [CXO Advisory]
  Does the Memorial Day holiday signal any unusual return effects? By its definition, this holiday brings with it any effects from three-day weekends and sometimes the turn of the month. Prior to 1971, the U.S. c…
• Research Review | 5.21.13 | Risk Management & Asset Allocation [Capital Spectator]
  Research Review | 5.21.13 | Risk Management & Asset Allocation Advances in Portfolio Risk Control: Risk! Parity? Winfried G. Hallerbach (Robeco) | May 1, 2013 Spurred by the increased interest in applying “…
• S&P 500 ($SPX) 13 Consecutive Higher Lows, Bullish or Bearish? [Paststat]
  This pattern of $SPX making 10 or more consecutive higher lows ( interleaving instances ) suggest some more up-leg to the current rally, with 21/23 winners and with a pay off ratio ( avg win% / avg loss%) of mo…
• Is there a mean reversion anomaly? [RRSP Strategy]
  There has been a fair amount of online discussion regarding mean reversion, typically focussed on the S&P500 or SPY ETF. Michael Stokes shows that short term mean reversion is a recent phenomena and may act…
• Betting on a Summer Rally [Mark Hulbert]
  Just hold on until this weekend, you worrywarts. Memorial Day marks the official beginning of summer, when the much-vaunted Summer Rally will keep this powerful bull market going….

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• S&P 500: 12 Consecutive Closes Above the Upper Bollinger Band. Bullish or Bearish? [Woodshedder]
  We are entering historic territory with the S&P 500 closing for the 12th consecutive day above its upper Bollinger Band (50,2). This has only happened 25 times since 1928. When the market reaches historic e…
• New Book: Smarter Trading: Improving Performance in Changing Markets [Amazon.com]
  As a direct result of economic globalization and computerized trading, today's professional stock, bond, and futures traders face a career-making – or breaking – challenge: to track and immediately comprehend t…
• The Sell In May(be) Strategy [Jay Kaeppel]
  Hey just what you need right? One more article on the “Sell in May and Go Away” phenomenon. And boy do we live in a polarized world these days or what? Most of the approximately 2,376 “Sell in May” related arti…
• R/Finance 2013 slides [Systematic Investor]
  I have just returned from the R/Finance conference and want to share with you my slides and examples. The Cluster Risk Parity portfolio allocation method is an example of Cluster Portfolio Allocation methods th…
• High Closes Just After Options Expiration [Overnight Edges]
  We already know that overnight ES performance following a new high on a Monday has been weak when you are looking at a long-term high. But when that Monday directly follows opex Friday, then even a short-term h…
• Golden Cross – Which is the best? [System Trader Success]
  The Golden Cross typically referrers to the crossing of the 50 and 200 Day Simple Moving Averages. When the shorter term average moves above the longer term average this is seen by many as the beginning of a su…
• Are Market Valuations too High? [Turnkey Analyst]
  There is a lot of chatter regarding market valuations. Many commentators are very confident that market is overpriced. Overconfidence can be dangerous. In the words of Twain: It’s not what you don’t know that k…
• High Volume Rise on Op-Ex Day – Good or Bad for $SPY? [Paststat]
  This modified pattern of $SPY (SPDR S&P 500 ETF) from Quantifiable Edges High Vol Rise on Op-ex Day – Good or Bad? suggest bit bearishness for the next trading session here are the trading system rules we e…
• The pressure on investors [UK Stock Market Almanac]
  It has long been thought that there is some connection between the weather and stock returns. That when the sun shines, investors feel happy, they take on more risk and prices rise; and when the weather is gloo…
• This 3-Day Pattern Is Suggesting Caution For Today [Quantifiable Edges]
  After Wednesday’s move to a new high, Thursday put in an inside day.  With Friday closing at another new high the study below triggered, which I have only previously shared
• Implied alpha and minimum variance [Portfolio Probe]
  Under the covers of strange bedfellows. Previously The idea of implied alpha was introduced in “Implied alpha — almost wordless”. In a comment to that post Jeff noticed that the optimal portfo…
• Inflation Forecast Update [CXO Advisory]
  The Inflation Forecast now incorporates actual total and core Consumer Price Index (CPI) data for April 2013. The actual total (core) inflation rate for April is lower (lower) than forecasted. The new actual an…

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• Concepts In Technical Analysis [System Trader Success]
  Here is a free PDF download of basic technical analysis concepts provided by Merrill Lynch. No signups. No opt-in. Just a free download….
• [Academic Paper] Asymmetric Correlations in Financial Markets [@Quantivity]
  Asymmetric Correlations in Financial Markets
• [Academic Paper] Time Series and Cross-Sectional Properties of Equity Market Liquidity with Applications to Financial Crisis [@Quantivity]
  Time Series and Cross-Sectional Properties of Equity Market Liquidity with Applications to Financial Crisis

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• Sector Rotation and Dual Momentum [Optimal Momentum]
  Sector rotation is one of the more popular applications of momentum. The…
• US market portrait 2013 week 20 [Portfolio Probe]
  US large cap market returns. Fine print The data are from Yahoo Almost all of the S&P 500 stocks are used (as implied by Wikipedia on 2013 January 5 — see the R commands to scrape the data) The initia…

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• Securities Master Databases for Algorithmic Trading [Quant Start]
  In algorithmic trading the spotlight usually shines on the alpha model component of the full trading system. This is the part of the system that generates the trading signals, prior to filtration by a risk mana…
• Complexity ==> Confusion and Dysfunction [Turnkey Analyst]
  A heartwarming paragraph from a paper I’m reading: Miller (1956) argued that there are definite limitations on the number of conceptual units that humans can handle at any one time. As the complexity of the inf…
• $SPY $SPX $VIX Returns on Option Expiry Days Month Wise [Paststat]
  for $SPY since 1993 , May Option Expiry days are profitable 45% (9/20) of the times average returns are -0.17% (against any month options expiry returns which are -0.08%) average win% if $SPY goes up on May opt…
• Is it time to buy Facebook? [Mark Hulbert]
  It will be difficult for the social network to combat valuation worries, writes Mark Hulbert….

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• $SPY Closes More than 3.5% Above the 20 Day Average. Bullish or Bearish? [Woodshedder]
  On Wednesday, May 15th, $SPY closed 3.52% above its 20 day moving average. While this has happened more than 275 times over the history of $SPY, it is not an altogether common occurrence. It is the first time t…
• How Thursday Nights At New Highs Act Different [Overnight Edges]
  Last week I showed that new highs on Mondays often lead to a down gap the next day. In fact, Monday is not the only day that suggests a downside edge. While it is perhaps the day that exhibits this tendency the…
• New Book: Advances in Econometrics: Theory and Applications [Amazon.com]
  Econometrics is becoming a highly developed and highly mathematicized array of its own sub disciplines, as it should be, as economies are becoming increasingly complex, and scientific economic analyses require…
• Stock Market Valuation and Returns [Avondale Asset Management]
  One week after I wrote a post about the S&P 500 being up 14.5% year to date, the index is now up 16.5%! As I wrote last week, this is a spectacular increase even when judged on an annual basis, and our year…
• The Whole is Greater than the Sum of the Parts [Doug Short]
  One of the most mind-blowing implications of portfolio theory is that a well conceived portfolio has the potential to be much better, in terms of risk adjusted performance, than what we might expect from the su…
• Revisiting Consistently Strong Closes [Quantifiable Edges]
  The market has seen a lot of finishes near the top of its daily range lately.  When the market consistently closes near the high of the day it suggests optimism on the part of traders. This end-of-d…
• Monthly share momentum [UK Stock Market Almanac]
  Do shares exhibit a momentum effect from one month to the next? If we selected the 10 best performing FTSE 100 shares in one month and created an equally-weighted portfolio of those shares to hold for the follo…
• [Academic Paper] Quantifying Wikipedia Usage Patterns Before Stock Market Moves [@Quantivity]
  Quantifying Wikipedia Usage Patterns Before Stock Market Moves
• [Academic Paper] Stylized Facts and Dynamic Modeling of High-Frequency Data on Precious Metals [@Quantivity]
  Stylized Facts and Dynamic Modeling of High-Frequency Data on Precious Metals
• C++ Explicit Euler Finite Difference Method for Black Scholes [Quant Start]
  We've spent a lot of time on QuantStart looking at Monte Carlo Methods for pricing of derivatives. However, we've so far neglected a very deep theory of pricing that takes a different approach. In this article…
• When VIX and SPX Rise Together for Two Days in Row, What Next ? [Paststat]
  With both SPX and VIX both finished the day higher on Tuesday and Wednesday, which appears unusual , so we digged into the into the numbers. dating back to 1990. Of the 5,888 trading days since 1990 , over that…
• Barron’s Has Their Best, but It’s Not Too Predictive [Bloodhound Exchange]
  As we have noted in previous blog posts, Apple may have lost its shine, but it still remains the largest capitalization stock on the U.S. exchanges – retaking the lead from Exxon earlier this month. It also did…
• [Academic Paper] Portfolio Blender: Blending Qualitative Expectations in Portfolio Optimization [@Quantivity]
  Portfolio Blender: Blending Qualitative Expectations in Portfolio Optimization
• [Academic Paper] Continuation in Daily Returns and Slow Diffusion of Information [@Quantivity]
  Continuation in Daily Returns and Slow Diffusion of Information
• [Academic Paper] Relative Asset Price Bubbles [@Quantivity]
  Relative Asset Price Bubbles

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• Oscillatory Similarity [Flirting with Models]
  Part of being a quant means having an intuitive understanding of the methodologies you are utilizing.  Our job is to utilize the mathematical process that lines up with our purpose at hand. Correlation is one o…
• Behavioral Finance Spotlight: May 2013 [Empiritrage]
  Full Report Abstract: A question of increasing interest to researchers in a variety of fields is whether the biases found in judgment and decision-making research remain present in contexts in which experienced…
• Longest Day-of-Week Winning Streaks in Context [MarketSci]
  As noted by Paststat, yesterday marked the Dow Jones Industrial Average’s 18th straight winning Tuesday. How rare an event is that? Very… The chart below shows the longest active day-of-week winning streaks for…
• New Book: Financial Asset Pricing Theory [Amazon.com]
  Financial Asset Pricing Theory offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price deflator which…
• Surprising Asset Allocation Results That Really Aren't Surprising [Capital Spectator]
  Monday's article on the average to above-average results that usually describe a passive allocation to all the major asset classes brought charges of foul play from some quarters. A few critics said I was cherr…
• Longest Dow Jones Winning Streaks For Each Weekday Ever [Paststat]
  With the Dow Jones posting it’s 18th straight winning steak for a Tuesday , here is a compilation of previous hot streaks against each weekday since 1900 . For Monday the Dow Jones largest winning streak was 13…
• Variance matrix differences [Portfolio Probe]
  Torturing portfolios to give different volatilities between a factor model and Ledoit-Wolf shrinkage. Previously There have been posts on: “What the hell is a variance matrix?” factor models Ledoit-…
• Blogger Sentiment Analysis [CXO Advisory]
  Are prominent stock market bloggers in aggregate able to predict the market’s direction? The Ticker Sense Blogger Sentiment Poll “is a survey of the web’s most prominent investment bloggers, a…
• Will breaking up Sony release value? [Mark Hulbert]
  Hedge fund manager Daniel Loeb resurrects an age-old question facing investors: Are the parts worth more than the whole? Academic researchers have an answer….

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