This Blog is Systematic

Also hydromatic, automatic: "It's Geeks Enlightening" Rob Carvers blog about quant trading, investing, and economics.

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Monday, 13 January 2020

Skew and Kurtosis as trading rules

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This is part X of my series of blog posts on skew and kurtosis, where 2<X<5. Part X, because it depends on how you number them! If you...
13 comments:
Tuesday, 10 December 2019

New and Improved Sharpe Ratio adjustment in the handcrafting method

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In my recent posts on skew and kurtosis I've put together a large number of ideas for possible trading strategies. The next step will be...
14 comments:
Tuesday, 12 November 2019

Kurtosis and expected returns

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In my last post , I stated my intention to write a series of posts about skew . Slight  change of plan, since one loyal reader suggested t...
23 comments:
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