Monthly Archives: March 2012

Abnormal Orders

Posted on March 17, 2012 by quantitativenotes

Abnormal Order Lecture

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2 Interesting Blogs

Posted on March 14, 2012 by quantitativenotes

http://www.jonathankinlay.com/ http://marketsci.wordpress.com/

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Good Papers on Momentum

Posted on March 13, 2012 by quantitativenotes

The paper happens to agree with the 3 month momentum that I’ve been using for the portfolio strategy that I am currently developing. My data starts in 2000, and the paper starts years ago, ending in 2001. So there is … Continue reading →

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Highly Correlated Assets

Posted on March 8, 2012 by quantitativenotes

From Robust Portfolio Optimisation and Management, page 213: The inclusion of highly correlated securities (0.7 or higher) is another major cause for instability in the mean-variance optimization framework. For example, high correlation coefficients among common asset classes are one reason … Continue reading →

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Matlab, parfor, anonymous function handles

Posted on March 8, 2012 by quantitativenotes

I had a problem with slow parfor loops today. Bizarrely, the problem was caused by using anonymous function handles. That was very strange, as anonymous functions can only be one line long.

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Matlab GUI

Posted on March 2, 2012 by quantitativenotes

There are some good video tutorials on Matlab GUI building here:   http://www.mathworks.co.uk/discovery/matlab-gui.html

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