Browsing All Posts filed under »academic research«

Update on the MOOC “Machine Learning for Trading”

August 11, 2015 by


If you want to be sure to be notified about enrollment opportunities, please sign up to “follow” my blog and look for more updates.

Disease Risk Visualization: A Grid-based Simulation

November 2, 2014 by


How worried should we be about Ebola in the US?  In order to answer that question for myself, I created a simple simulation that can be used to visualize the spread and mortality of various diseases.

Forecasting Stock Market Strength Using Federal Reserve Data

May 9, 2014 by


It is clear, in hindsight, that investors would have done better in 2008 if they had known to move from stocks to fixed income at the beginning of 2008. And similarly, if we could anticipate future bull markets we’d like to be able to shift assets into equities beforehand. Is it possible to anticipate these […]

Assessment of Insider Trading Information for Investment Strategies

August 12, 2013 by


In this white paper produced by Lucena Research, we show how insider trading information can inform an effective trading strategy. We analyze data provided by our partner by Scott Strong and Tucker Balch, Ph.D. keywords: insider trading, proprietary indicators

Watch Out for Thinly Traded Stocks in Quant Strategies

July 19, 2013 by


Many people assume that all members of the Russell 3000 are “safe”.

Information Theory, Sport, Betting and the Stock Market

August 5, 2012 by


It’s interesting how Information Theory, Las Vegas and Wall Street have been intertwined over the years.

Software Bugs: What Wall Street can Learn from Mars

August 3, 2012 by


In the last few months we’ve seen two spectacular software failures on Wall Street. Most recently, on Weds August 1, Knight Capital’s trading software fired off trades in one hour that should have taken place over days.  The flurry of trades caused erratic pricing for 150 US stocks.  Knight is said to have lost $440M […]


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