A physicist stalks Wall Street!
A physicist stalks Wall Street!
Presently the Proprietor is in a research and business development role with regard to his sponsorship of theTradedPortfolio.com website. It's about using historical data on securities to determine if any given rule-based plan for active investment management is well-drawn or not, so that existing plans for allocating capital can be improved and new and better plans can be developed. Services and products are provided for professional money managers, advisors and their clients who are able to adjust asset allocations in response to shifting market conditions and want to do so with the help of customized, robust methods of computerized quantitative portfolio analysis. Coding is conducted using currently hot languages and frameworks. Do contact Mike O'Connor if you think that perhaps you want supporting services or possibly, eventually, even involvement. Flexible arrangements can be reached so as to meet client-specific needs.
This is all about helping big and small investors avoid getting clobbered yet remain exposed to the upside. During the last two financial market debacles of 2000 and 2008 diversification didn't help; getting into cash did. Can that be done in real time? A recently-produced a working paper that is up on theTradedPortfolio.com website discloses original research on momentum, including a version that does have step-out-of-harms-way capability. For decades certain mathematician-run hedge funds have beaten the pants off of the market, with algorithmic trading. It can be done. The Proprietor is heavily committed to providing the best reality checks possible— via realistic simulations and by calculating how likely it is that good test results from a prospective scheme were just an illusion, due entirely to chance. It seems that we have schemes that do indeed work.
This may bore you. The good news: You don't have to read about this. The bad news: If you don't then you'll just have to trust the Proprietor to have done his work well. The topic is “hypothesis testing”, where the hypothesis is something to the effect that if you use a certain specified portfolio management scheme you'll do well. This is a part of “probability and statistics”, the miserable branch of applied mathematics that is devoted to nihilistic and fuzzy approaches to inquiring about the validity of desperately important propositions. Legend has it that Euclid once said “There is no royal road to geometry.” With statistics, the best that you could hope for would be, say, a ditch. However, the working paper that is offered on the first page of theTradedPortfolio.com site may be a good starting place for you. Write if you have comments or questions.
For you, in addition to performance, the software behind the offerings at theTradedPortfolio.com and the mathematical propositions that make the software work may be of interest. If you indeed decide that you want to take a closer look then you'll want to peruse the papers on that site. In particular the working paper on momentum actually fully discloses an improved version of a scheme that has a considerable amount of support from academic research— and all of the testing is exhibited and explained. You may want to have a strategy customized for you, applicable to asset classes of particular interest to you, perhaps as a complement to your core program. Progress toward improved and tested capability will be chronicled in this site's blog. Here's a brief bio of the Proprietor.
MO'C Physics Applied is a Washington, USA sole proprietorship.
Michael C. O'Connor, Proprietor
Fortran >> Basic >> C >> Smalltalk >> early Internet >> Visual Basic >> Java >> Python >> web app frameworks, etc.
college >> U.S. Navy civilian >> grad school >> decades as a consultant >> reinvention of career