Pairs Trading and Buy-and-Hold Trading Algorithms

Pairs trading is an established trading strategy for hedge funds and alike. It is a relatively simple trading strategy that presents two distinctive phases. First, it identifies pairs of securities that are related using one year of historical data. Second, it trades for six months the underlaying securities of the pairs whenever the spread of the pairs exceeds certain value, usually two times the historical standard deviation. In my latest manuscript I conduct an empirical research of pairs trading algorithm to study its behaviour and fundamental characteristics. Likewise, I compare the results with the standard benchmarking Buy-and-hold strategy using SPY contact. I find particularly interesting the conclusions for retail and institutional investors

Continue ReadingPairs Trading and Buy-and-Hold Trading Algorithms

Algorithmic trading – the first year of Doctorate in Business Administration

I have successfully passed my first year of doctorate in business administration (DBA), so three more years to go. Looking backward, the experience has been rewarding, demanding, mentally stimulating but not absent of fears and existentialist crisis. My naive and candid view of algorithmic trading has grown tremendously, now I am aware of the academic research techniques that help me to understand the existing literature; I have defined and exercised the foundation of algorithmic trading, academically and practically; and I have started my first formal literature reviewing of my research interest. Curious about algorithmic trading?

Continue ReadingAlgorithmic trading – the first year of Doctorate in Business Administration

Evaluation of three algorithmic trading strategies: buy and hold, volatility risk premium and sentimen momentum

The study of algorithmic trading is of high importance given its predominance and forecasted growth. In 2019 the majority of the equity traded in US was executed by algorithms, equivalent to 35.1% of $31 trillion and the global estimated compounded annual growth rate over the period 2020-2027 is 8.7%. This article evaluates three algorithmic trading strategies: buy and hold, volatility risk premium and sentiment momentum. Which one might be the best for an investor with an investment horizon of five years?

Continue ReadingEvaluation of three algorithmic trading strategies: buy and hold, volatility risk premium and sentimen momentum

Cisium, Inc., Website Closing

It has been a very long journey for Cisium, Inc. website. It started in 2007 and this year finally I shut it down. I created the site using Joomla!, it overcome one major update in 2010. To use Joomla! as content management system has not been a pleasant job. In my experience Joomla! is slow and the administration is heavy. After many years using Joomla! in many websites, I don’t think it will use it anymore.

Continue ReadingCisium, Inc., Website Closing

Cisium, Inc. Is Now Joomla! 3.4

We are glad to announce that CISIUM website has been upgrade to the latest web technology.For this new version we have used the latest Joomla! 3.4. The release introduces new features into the CMS such as improved front end module editing, decoupling of weblinks, composer integration, Google new reCaptcha and security improvements by implementing UploadShield code which can detect most malicious uploads by examining their filenames and file contents.

Continue ReadingCisium, Inc. Is Now Joomla! 3.4

Bluehost, Subversion and TortoiseSVN

Subversion is a widely distributed open source version control. Almost all the information is susceptible to being controlled with versions, I will not now make a dissertation on this concept .... Subversion not only efficiently manages the version, but allows a quick and secure sharing of information between people located in different countries. I have decided to install Subversion on my commercial Bluehost server, I have it wasted: unlimited hard disk, and monumental bandwidth and I only host a few web pages.

Continue ReadingBluehost, Subversion and TortoiseSVN

No More Local Contacts Sync…. Keep your Contacts on the Cloud

I’m so excited, that I have decided to write a post. I was so frustrated with my contacts in my Android Phone, they don’t stop to duplicate every time I was sync using Samsung Kies and Microsoft Outlook 2010.I’m not sure who was the guilty in the duplication; I guess it was related to Samsung Kies but I’m not sure, it could be Microsoft Outlook as well, I don’t have clear evidences.

Continue ReadingNo More Local Contacts Sync…. Keep your Contacts on the Cloud

Mourning C and Unix

No doubt today I have to make a post, unfortunately because Dennis Ritchie, a person based on the gestation and development of the Unix operating system and the C programming language, has died at 70. Anyway, thank you very much Dennis for your contribution to the history of mankind, I have not used any other language like C in such a passionate and fervent way. Well lately I have to say that Microsoft's uncles have done a masterful job with C#.

Continue ReadingMourning C and Unix

The Post-PC Era?

There are numerous news that I have been hearing that we are in the post-PC era, since Steve Jobs prophesied. Mmmmh ... well among some of my qualities I am dedicated to the complete design of electronic systems based on microcontrollers, in my case lately I am designing systems based on implementations of ARM cores by NXP. These processors are called SoC, System on Chip, which means they have a lot of integrated peripherals.

Continue ReadingThe Post-PC Era?

Generic Embedded Platform

Obviously the heart of the system is the MCU/CPU. My approach was to find out a balance between the cheapest, most powerful, and higher trend MCU in the market. Without any doubt the winner is the AMR, many manufacturers have adopted these cores: TI, Samsung, nVidia, Intel, Atmel, NXP, Freescale, a never ending list. For a system designer like Cisium this provides a big advantage, this allows to switch between manufacturers with similar cores with a great reutilization of the knowhow.

Continue ReadingGeneric Embedded Platform