Quantitative Trading Strategies

We have implemented a collection of trading strategies, utility models and algorithms which can be purchased separately. Please note that you need to have AlgoQuant, the quantitative trading research platform, to run these models. For purchasing, please contact us.

Mean Reversion

• Elliott Pairs Trading Model, 2005
• Intra-day volatility arbitrage strategy (VolArb)
• Identifying Small Mean Reverting Portfolios, 2008

Trend Following/Momentum

• Knight-Satchell-Tran’s Moving Average Crossover Model, 1995

Portfolio Optimization

• Markowitz Portfolio Theory

Covariance Selection

• Covariance Selection by LASSO

Factor Model

• Factor Model

Miscellaneous

• Infantino’s PCA Model, 2010

Other models

• Solving the “Corner Solution Problem” of Portfolio Optimization
• SOCP portfolio optimization
• Optimal Trend Following Trading Rules, 2011

See also the trading models wiki and AlgoQuant demos.