Hedge funds seek refuge

Hedge funds seek refuge from unfair European regulations — FT.com: "Why did Brussels indulge in such a great act of displacement activity? One hedge consultant received the explanation from a Belgian MEP. “It is simple,” he said. “If you are in a bar and a fight breaks out, you do not hit the person who started the fight but the person you have always wanted to hit.” This would be funny if it was not serious. Nobody feels sorry for hedge funds but the reason the EU’s institutions left banks alone for so long is more worrisome."



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Switching from C++ to R - limitations/applications - Quantitative Finance Stack Exchange

Development - Switching from C++ to R - limitations/applications - Quantitative Finance Stack Exchange: "I've only recently begun exploring and learning R (especially since Dirk recommended RStudio and a lot of people in here speak highly of R). I'm rather C(++) oriented, so it got me thinking - what are the limitations of R, in particular in terms of performance?"



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Proof that no trading system always wins

mathematics - Proof that no trading system always wins - Quantitative Finance Stack Exchange: "This doesn't really suffice as an existence proof, but you can start with a series of mathematical results collectively known as no free lunch theorems. The linked paper proves the average performance of any optimization algorithm over arbitrary problem domains is independent of the algorithm. That is, no single algorithm can ever be better than others on any problem, meaning optimal performance over any single problem domain requires some level of domain knowledge, and knowledge has to be learned. Learning requires inference."



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yield curve - Is trading mean reversion of small principal components of prices profitable? - Quantitative Finance Stack Exchange

yield curve - Is trading mean reversion of small principal components of prices profitable? - Quantitative Finance Stack Exchange: "PCA is most commonly used for structuring so-called "butterfly trades." In this, you're neutralizing the first two PCs (level and slope) and trade on the third PC (curvature). For example, after running a PCA on 2y, 5y, and 10y yields, you may conclude that 5y yields are too high relative to 2- and 10-year yields (i.e., 5-year bonds are "cheap"). In this case, you'd buy 5-year bonds, while simultaneously shorting 2- and 10-year bonds. PCA comes into play, because for each unit of 5-year bonds, you have to choose appropriate units of 2- and 10-year bonds ("risk weights") so that the the first two principal components are neutralized, allowing you to trade any abnormalities in the third principle component"



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