Flirting with Models

The Research Library of Newfound Research

Month: April 2014

Looking into the Ulcer Index

Unlike volatility and max drawdown, the Ulcer index combines both the length and severity of drawdowns into one convenient metric.

The Value of Waiting to Trade When Considering Taxes

Accounting for taxes when trading adds another layer of complexity to tactical decisions; we must quantify the expected benefit of the tactical trade.

Complex or Complicated

Complex and complicated have distinct meanings in the realm of quantitative model development. We explore these differences and how they affect our field
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