Flirting with Models

The Research Library of Newfound Research

Tag: Quantitative Integrity (Page 1 of 2)

Tracking Down Data

Data drives the field of quantitative finance. Getting reliable data is often difficult, but Quandl has made that task much easier.

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.

The Engineer in Financial Engineering

The financial engineering field has many similarities to more traditional engineering disciplines. This list covers some of the important shared aspects.

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.

Jumpy Models Part I: Why detecting jumps is important for asset allocation models

Detecting jumps in asset prices is important for robust parameter estimation, especially when estimating volatility.

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