A Breakdown of the Quant Analysis Blogosphere (According to Moi)
Random thought for the day…
When I talk about the “quant analysis blogosphere”, I’m not talking about guys who draw squiggly lines on charts – that’s an abomination all to itself. I’m talking about folks like the MarketSci Blog who think about the markets in numbers, trade based on historical probabilities (tortured and misguided as they may be), and deal in real actionable intel not Delphi Oracle-like babble.
You can more or less take all of the great quant blogs and break them down into three specialties: (a) situational analysis, (b) mechanical strategies, and (c) academic thinkers.
All of us are en route to the same destination, but taking very different paths to get there. If I may be so bold, a breakdown of my quant blogosphere favorites:
Situational Analysis
These are the blogs that (a) look at where the market is today, (b) search for previous periods that are most analogous to this one, and then (c) use those previous periods to make a specific prediction now.
The master of disaster? Quantifiable Edges. Enough said.
Other favorites include Dr. Brett’s Trader Feed when he takes off his trading coach fedora and straps on the pocket protector, and newcomer Trading the Odds.
Mechanical Strategies
These are the blogs like ours that create strategies for all seasons that are (hopefully) effective regardless of the specific market. These folks spend a lot of time developing strategies and very little actually interpreting results day-to-day.
Best of breed? Clearly the MarketSci Blog. Just joking…maybe.
Favorites include Woodshedder (the only bit of sugar in the snake oil that is IBC), Condor Options (when they’re not talking about uh…options), World Beta (for the long-term’ers), BZB Trader (for the intraday’ers), and newcomer CSS Analytics.
Academic Thinkers
Last but not least, we have the blogs that take a more academic approach to quant analysis (often based on dreaded fundamental data) or are focused on making the (entirely impractical) output of academia digestible for us lower life forms.
King of the ring? CXO Advisory for their unique ability to critique the Fama-French Three-Factor Model without driving me to nap.
Other favorites include Empirical Finance Research and newcomer Quantivity.
And Everyone Else Who Feeds the Machine
I would be remiss not to mention all of the other folks who deal in the quantitative, just not necessarily in the painfully geeky manner that we do. These are the “idea” blogs that feed the machine: Daily Options Report, Designing Better Futures, Don Fishback, Market Rewind, Sentiment’s Edge, VIX and More, etc, etc, etc.
And of course, none of this would be possible without Abnormal Returns and the Kirk Report separating the wheat from the chaff.
Happy Trading,
ms
P.S. I missed a ton of fine folks I know, so leave em’ in the comments. I need some fresh meat in my daily readings.
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Filed under: Random Stuff | 25 Comments
I’m hurt. ;)
I forgot to mention the criteria for inclusion. You had to post at least once in the last millenium =)
I’d cry if it wasn’t true.
lmao…Yeah Damian, that new baby, don’t worry about him, I’m sure he’s able to take care of himself just fine. Leaving him alone in his room should give you plenty of time to get a blog post up!
You and Miss Piggy! Cheers, Jeff
Hey Michael, You do such a good job that I wasn’t going to quibble with you. … But I can’t resist.
I think it’s not that easy to distinguish between situational analysis and mechanical strategies. Consider the “mechanical strategy” that every day does a situational analysis and applies the results obtained. That sounds like cheating, but is it really?
Perhaps a distinction is that a situational strategy does a new analysis of past history in the light of today’s situation to determine today’s action whereas a mechanical strategy has already done whatever historical analysis is necessary to make a decision about what to do today. But even that distinction breaks down when one has an adaptive strategy that presumably does a new historical analysis every day.
You might still argue that situational analysis is driven by today’s situation in its examination of historical data whereas a mechanical strategy attempts to do a historical analysis without considering today’s data.
But that distinction doesn’t work either. Consider using Rob Hanna’s quantifier as a mechanical strategy. Apply whichever lessons derived from the past fit today’s situation. From that perspective, each of his setups is a piece of a mechanical strategy.
I don’t think it’s a bad thing that it’s not easy to separate mechanical strategies from situational analysis. Ultimately a mechanical strategy is a collection of situational analysis (like you state-of-the-market strategy list) rolled into an integrated strategy. As more situational analyses are added (or existing ones are refined based on new results), the mechanical strategy adapts to a changing market–which is just what one wants.
RE to Russ: you quibbler =)
Agreed, agreed, agreed…that’s why I made a little overlap between the circles. Here’s the difference though. Take rob hanna’s quintessential “situational analysis” blog QE for example. Something happens today, hell, anything happens today…Rob looks at what happened and tries to put it into historical perspective. Now compare that to the MarketSci Blog. How often do you hear us talk about today? Short of a market meltdown, never…we’re all about strategies from the 30,000 foot view.
It’s really about the focus of the blog rather than the strategy…know what I mean?
michael
I’d look at it this way. Is there any real difference between the studies you do, which show how a strategy would work over some time period, and the studies he does, which show how a strategy would work over some time period? Seems to me that the primary difference is in the specificity of the studies.
Yours tend to be more general — lots of data. Yours tend to be inspired by … — perhaps what you find yourself thinking about when you wake up in the morning.
His tends to be more specific — not much data. His tends to be inspired by what happened in the market recently.
Methodologically, though, a study is a study — no matter how much data is available for it and no matter what inspired it.
But whether we agree about this or not, I think your work is terrific, and I’m continually grateful that you are willing to share it.
Okay, you win. But I’m still keeping my cool circle picture.
=)
Not sure which circle he would land in, but right after checking out MS each morning, I like to see what Cobra has to say at http://cobrasmarketview.blogspot.com/
RE to Jim: thanks for that – added to my rss reader. michael
I came here to add Cobra’s blog to the roll, only to find that Jim had beaten me to it. But I want to give it another strong thumbs up. Check it out, Michael, I think you’ll find some of his ideas intriguing.
Another useful qualification criteria might be to post some trading results . . . at least every now and then. You know, in addition to math-babble.
Woodshedder pass this test with flying colors.
Some newcomers . . . all hat and no cattle.
eber
RE to eber: if I might pontificate: I think there’s three levels here: (1) independently-audited returns for a program actually executed on a given set of assets – too few quant type do this – I’d like to think we pass this one with flying colors, (2) results that at the very least folks who frequent that blog could corroborate (quite a few do this well, woodshedder being a good example), and (3) everyone else. I agree with you…”everyone else” needs to step it up. michael
Thanks for the props folks. Michael has been a large influence on me to post results, and to have results 3rd party audited. I do have a system being 3rd party audited, but I have not posted the link due to the system taking it on the chin, since inception in March. Imagine launching a MR system in March. You can imagine the horror, I’m sure.
I also have Covestor tracking all of my personal trades, which I consider to be a valid audit now that they take cash into consideration.
Beyond that, there is yet a tertiary level of auditing, but to mention it here might be considered spamming for my own benefit, and so I’ll refrain.
Okay, this looks like a thread hi-jack on my part, and for that I apologize.
There’s a cath to this. Many bloggers don’t want to prove anything. They are just blogging in order to exchange ideas. Michael over here wants to sell us something, so he has an incentive to provide us with audited results. Most bloggers don’t have such incentives.
RE to mdan: good point. To which my response would be we’re not talking about Joe’s trade log. We’re talking about QUANT blogs. I have a hard time taking a QUANT blog too seriously who doesn’t have the guts to capture their own performance in a QUANTifiable way.
michael
I’m not sure any of these are quant blogs – I mean, people without math degrees, as well as degrees in quanititative finance can read them, understand and learn, imagine! I’m being facetious of course, but for many quant blogs the audience is already well up to speed and the level of discussion is so high as to give one a nosebleed. Well Quanitivity qualifies, as would Max Dama and lots of others.. Go to Nuclear Phynance and just try to follow a single thread lol!
I think there’s a lot of room for someone to bring state of the art quantitative finance concepts and techniques down from the ivory tower, I’m just not sure there’s a way to make it pay anything like the gigs those cats can get. It would be a lot of fun to be able to work in R, for example, tweaking and testing all day, rather than backtesting with the usual, oh so fadeable indicators..
But indeed, these are *great* blogs, it’s awesome to have these kind of resources on the web; hopefully all that good work brings in a worthwhile number of premium subscriptions and other services and quantspeak can continue to be translated into english for the rest of us :)
RE to manaau: funny b/c when I wrote this I had that same issue – we aren’t “quant” blogs in the purest sense of the word – I’m surprised you’re the first one to comment on this.
I liken “true” quant finance to all academic finance – great from afar, lots of pretty numbers, but completely impractical to the individual trader (and usually completely impractical to anyone).
michael
Thanks for that. Note to self: gold standard blogger says no need to enroll in math doctoral program. Whew! Thank goodness!
Michael,
please find below the requested fresh meat for your daily readings (but not all blogs are posting on a daily basis):
Small Fish, Big Odds
http://smallfishbigodds.blogspot.com/
The Gap Guy
http://www.thegapguy.com/
Max Dama on Automated Trading
http://www.maxdama.com/
Best,
Frank
http://www.tradingtheodds.com
RE to Frank: good stuff sir – small fish looks like a good one and I’m following now. Gap Guy hasn’t posted in a long time – is this one dead? I follow Max Dama already – forgot to include him on this post but should have – MD makes my level of geekiness look like a kindergartner in comparison. michael
Your site is one of the 4-5 I read every day.
Thanks for this.