Flirting with Models

🧪 Research Library of Newfound Research

Tag: model development (Page 1 of 2)

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

Jack of All Trades: A Look at Dynamic Momentum

Static lookback windows for momentum may not work well for all asset classes in all market environments. Using a dynamic momentum window can be more robust.

Estimating from Historical Data

Estimating from historical data requires many assumptions about similarity. Reducing the number of estimated parameters can control model risk.

Jumpy Models Part II: What we can do with jumps once we find them

If detecting jumps is not hard enough, we have to deal with them afterwards. Models must handle jumps in a way that does not introduce excess whipsaw.

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