Quantitative modelling

[bigpooch]

Does anyone know of someone doing research on quantitative
trading methods? Or, does someone know of anyone who makes
trades on specific stocks exhibiting specific quantifiable
trading characteristics? Obviously, I prefer someone who
is about 99% confident in their trading methodology and
basically sticks to their system.

[adios]

Don't know any. I've read a few books on the stock market written by quants. Don't really have a lot of faith due to the uncertainty of the equity risk premium. From Cornell's book titled The Equity Risk Premium, the equity risk premium MEAN is between 2% and 14% with a 95% confidence interval. To me this implies that long run returns on the stock market are highly dependent on the equity risk premium AND it's magnitude is not certain. There are anomolies that many quants have uncovered (at least that's my take) that stocks with low PE ratios, low Price to Book ratios, low Price to Sales ratios tend to outperform the overall market.

[Horrible Player]

I use Tom O'brien's method (Price and Volume)
His web site is www.tfnn.com (http://www.tfnn.com)
He has a radio program that is archived at this website as well. He has been right so often it is crazy. His latest prediction is the S&P will retrace to the 990 level even maybe the 962 level. Check it out. I am a beleiver


Scotty O

[alphaquant]

I have quant experience, both personal and professional. You mentioned "trades" in your post. This implies, to me at least, that your interest is very short term. If you can tell me what time horizon you have in mind, perhaps I can help.

alphaquant

[bigpooch]

The time horizons I am most interested in are 3 days to
3 months. On the other hand, it seems interesting to
consider all time horizons down to ten minutes but I don't
know if I can sit in front of my computer from the market
open to close (but I hear the smart money is either early
or the last hour before the close)!

It seems that for longer time horizons, nowadays you would
be considered "investing".