Hudson & Thames Quantitative Research

A great read for those who want to take their backtesting and trading strategies to an advanced level!

📚 This Friday the H&T Reading Group will discuss “Trading and hedging the corn/ethanol crush spread” by Christian L Dunis et al. 🔍 This research investigates the potential profitability and edging opportunities by trading corn/ethanol spread. 🔍 The investigation focuses on defining the spread as the difference between 2 contracts (corn and ethanol) and applying forecasting methods by delving further into the realm of artificial intelligence and nonlinear modeling. 🔍 Further to this, a time-varying volatility filter is applied in order to enhance the trading performance of the spread during lower volatility regimes, while avoiding trading completely during high volatility. The session will take place this Friday at 2pm UK time. 📚 Join Hudson & Thames Reading Group here: https://lnkd.in/ef7fZXyN

We are excited to introduce our new course: Alternative Data for Algorithmic Trading Strategies This course aims to familiarize you with the notions and implications of what “Alternative Data” is, and what it could mean in the investing and trading fields if it is used adequately. It is tailored for those who want to learn from scratch how to use alternative data as part of their trading strategies. Key Learning Outcomes: 🔎 Provides a distinctive combination of theoretical concepts, practical real-world examples and case studies, as well as cutting-edge research findings. 🔎 It helps to develop the ability to utilize alternative data sources to enhance the understanding of financial markets. 🔎 This course is designed for individuals who are actively looking for unique and unconventional ways to improve their alpha generation and strengthen their portfolio risk management strategies. 📚 Link to our course: https://lnkd.in/dDxdt6eY

📢 Last Friday the H&T Reading Group discussed Chapter 5 of “The Book of Alternative Data: A Guide for Investors, Traders and Risk Managers” by Denev, A et al. 📢 We will also discussed The value of alternative data: “The case for media sentiment return, risk, and sustainability return, risk, and sustainability" by Svetlana Borovkova et al. 🔎 The white paper showcased the value of alternative data by comparing its performance against traditional multifactor investment strategies. It suggested that using media sentiment as a single factor can achieve comparable investment results to a multifactor strategy. 🔎 This paper presented a straightforward yet insightful framework for evaluating the value added by alternative data against any benchmark, whether passive indices or active, factor-based strategies. 🔎 This finding underscored the significance of alternative data in investment decision-making and highlights its potential as a standalone factor for generating returns. 📚 Join our Reading Group here: https://lnkd.in/ef7fZXyN #factormodels #alternativedata

📢 This Friday the H&T Reading Group will discuss Chapter 5 of “The Book of Alternative Data: A Guide for Investors,Traders and Risk Managers” by Denev, A et al. 📢 We will also discuss “The value of alternative data: The case for media sentiment return, risk, and sustainability, return, risk, and sustainability" by Svetlana Borovkova et al. 🔎 We shall compare the value of alternative data against the traditional multifactor investment strategies. What is suggested is that using media sentiment as a single factor can achieve comparable investment results to a multifactor strategy. 📚 Join our Reading Group here: https://lnkd.in/ef7fZXyN #Factormodels #AlternativeData

📢 Last Friday the H&T Reading Group discussed “Market Data” that can be found in Chapter 19 of “The Book of Alternative Data: A Guide for Investors, Traders and Risk Managers” by Denev, A et al. 📢 We also discussed “FX Liquidity and Market Metrics: New Results Using CLS Bank Settlement Data” by Joel Hasbrouck and Richard M. Levich. 🔍 We examined market liquidity and efficiency within the foreign exchange (FX) market by investigating a dataset from CLS Bank. This dataset includes detailed records of FX settlement instructions, providing a unique view of the finalization and settlement phases of FX transactions. 🔍 We considered the dynamics that influence liquidity in the FX market as well as how efficiently the market operates and how it responds to various economic and financial stimuli. This approach helps in understanding the underlying mechanisms that drive market behavior in one of the world's most vital financial markets. 📚 Join our Reading Group here: https://lnkd.in/ef7fZXyN #CLS #FX #Liquidity #FXMarket #MarketMetrics

This Friday the H&T Reading Group will discuss “Market Data” that can be found in Chapter 19 of “The Book of Alternative Data: A Guide for Investors, Traders and Risk Managers” by Denev, A et al. We will also discuss “FX Liquidity and Market Metrics: New Results Using CLS Bank Settlement Data” by Joel Hasbrouck and Richard M. Levich. We will examine the complexities of the FX (foreign exchange) spot market, using an extensive and novel dataset of foreign currency settlement instructions submitted to CLS Bank. This data allows us to analyze market activities and liquidity with high precision. 📚 Join our Reading Group here: https://lnkd.in/ef7fZXyN

📢 This Friday the H&T Reading Group will discuss “Satellite Imagery and Aerial Photography” that can be found in Chapter 13 of “The Book of Alternative Data: A Guide for Investors, Traders and Risk Managers” by Denev, A et al. 🔍 We will also discuss “Forecasting Current-Quarter U.S. Exports Using Satellite Data” by By Jun Nie and Amy Oksol. Forecasting export growth is complicated due to the dependency on foreign demand, which is hard to measure. Traditionally, forecasters use foreign GDP growth to estimate this demand, but GDP data suffer from delays and variable quality, especially in developing countries. We will examine whether satellite-derived nighttime lights data could address these issues. 📚 Join our Reading Group here: https://lnkd.in/ef7fZXyN #SatelliteData #AlternativeData

📢 Last week the H&T Reading Group discussed “Investor Attention” that can be found in Chapter 16 of “The Book of Alternative Data: A Guide for Investors, Traders and Risk Managers” by Denev, A et al. We examined how researchers analyze investor attention and behavior by examining the demand for information prior to significant economic announcements, such as the nonfarm payrolls report. We also investigated how they leverage Wikipedia to understand price actions in cryptocurrency markets by analyzing metrics such as edit history and page views. Additionally, we considered how Google Trends data is utilized to assess internet search traffic, while Investopedia's search data helps develop the Investor Anxiety Index (IAI), a tool to measure investor anxiety. 📚 Join our Reading Group here: https://lnkd.in/ef7fZXyN #GoogleTrends #cryptocurrency