Recent content by ochristo

Hey Matt, About the hedge ratio: Chan includes an example of how to calculate it in his book using Matlab. I just want to know if I were to use excel to calculate this ratio, would I want to look at the coefficients from the linear regression of the stock prices? Thanks

That is a great quote. I know that correlation is not the same as cointegration, I also know that you can have cointegration without correlation...what I don't understand is how you can have correlation without co-integration. Of course a stock is perfectly correlated to itself, but not...

Great post, thank you very much. One question: your hint at pairing ETFs with 10 underlying and choosing the underlying based on regression. Now, in your experience is it better to choose the ones with a lower correlation to maximize the chance of profitable trading opportunities, but also...

I've only moved here 6 days ago and already it seems like a great, sexy party city - ideal place to blow some cash :D Send me a email sometime

That may be so, but I can only speak for the Toronto office - and they are definitely still hiring anybody. I've recently relocated from Toronto to Montreal to join a prop firm - very different from Swift, much longer training and more solid quant-analysis-based strategies instead of just...

That's exactly what I'm saying is the problem with the swift hiring model: it weeds out the very brightest AND the very dumbest. The former leaves early on and the latter eventually gets fired for incompetence. What swift is left with are those in the middle: those smart enough to be moderately...

I was "interviewed" at the Toronto office. It wasn't so much of an interview than the hiring manager looking at my resume, saying I was over-qualified, but saying he'd let me in anyways. I left after 3 days (that was the extent of the "training" actually, on the fourth day we would have learned...

I'm skeptical of your post. There are 3 forms of the efficient market hypothesis and you're referring only to the "strong" form. Most academics agree that it is the "semi-strong" form that better reflects reality. Besides, if markets were totally efficient how do you explain the January...