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Filtering White Noise 23 Apr 2013 | 09:32 am
Most asset return processes can be characterized as containing a primary trend, along with mean-reversion around that trend, as well as a certain amount of random noise. Econometricians classify thes...
Minimum Variance Algorithm Comparison Snapshot 19 Apr 2013 | 10:16 am
The Minimum Variance Algorithm was compared to several standard optimization methods and algorithms in a recent set of tests done by Michael Kapler of Systematic Investor. Michael created a webpage f...
