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Last Thursday, Dr. Tom Starke, a leading figure in quantitative finance, delivered his highly anticipated second live paper presentation exclusively for the Quantopian Community. In this captivating session, Dr. Starke dissected the groundbreaking research paper titled 'Optimal Trend Following Rules in Two-State Regime-Switching Models,' authored by esteemed researchers Valeriy Zakamulin and Javier Giner.
Throughout his engaging presentation, Dr. Starke skillfully unpacked the specialized terminology featured in the paper, providing viewers with a clear understanding of intricate financial concepts. Moreover, he meticulously detailed the fundamental principles amalgamated to construct the innovative trading strategy outlined within the research. Beyond mere explanation, Dr. Starke also delved into the broader contextual landscape surrounding the paper, offering invaluable insights into the historical and theoretical underpinnings of the study.
By attending this illuminating talk, participants were equipped with a deepened comprehension of not only the paper's contents but also the broader implications and applications within quantitative finance. Dr. Starke's expertise and elucidation provided attendees with a nuanced understanding of complex subjects, positioning them to navigate the ever-evolving terrain of quantitative finance with confidence and insight.
Paper Summary
In their paper, Zakamulin and Giner delve into the examination of optimal trend-following rules within Two-State Regime-Switching Models. Their analysis commences with an exploration of the Markov model, subsequently transitioning to a semi-Markov model, where they scrutinize the merits and limitations of each model. Furthermore, the paper features an empirical study demonstrating the performance of the optimal trading rule in contrast to both the 10-month Simple Moving Average and 12-month Momentum rules.
Paper Link: papers.ssrn.com/sol3/papers.c...
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Disclaimer
Quantopian provides this presentation to help people write trading algorithms - it is not intended to provide investment advice.
More specifically, the material is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory or other services by Quantopian.
In addition, the content neither constitutes investment advice nor offers any opinion with respect to the suitability of any security or any specific investment. Quantopian makes no guarantees as to accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.