Published earlier on blog.gillerinvestments.com
This has taken a while, due to teething issues, but my Web 2.0 CTA experiment advances one step further today with a delayed Twitter feed and a real-time Twitter feed. Like the RSS feeds, these Twitter feeds provide a trade blotter for my index futures intraday strategy. There are details on how to subscribe to the real-time feeds on my main company web site.
Published earlier on blog.gillerinvestments.com
With another month of data for the dynamic trading risk factor available, we can look again at how various funds' and companies' performance compares to this factor. As we do not have a great deal more data, and nothing very dramatic has happened since this analysis was last performed, it is unlikely that the pro articulum parameter estimates will have changed very much, so I won't report the regression analysis in depth.
Published earlier on blog.gillerinvestments.com
Published earlier on blog.gillerinvestments.com
When talking about the SPX data, I glibly asserted that the data was evidently not I.I.D. normal. I then proceeded to show how the Generalized Error Distribution can be used to describe the data quite well and to reject the hypothesis that the data is I.I.D. Normal with a reasonable degree of confidence.
Beat the Dealer: A Winning Strategy for the Game of Twenty-One
Triumph of the Optimists: 101 Years of Global Investment Returns
Kendall's Advanced Theory of Statistics, Volume 1: Distribution Theory
Theory of Probability (Oxford Classic Texts in the Physical Sciences)
A History of Interest Rates, Fourth Edition (Wiley Finance)
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