Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'mandelbrot'

Book: The (mis)Behaviour of the Markets

May 12th, 2011 · 2 Comments · Books

When Benoit Mandelbrot passed away last year, I thought it would be nice to re-read his (mis)Behaviour of the Markets, to symbolically “pay tribute” to this visionary maverick. I really enjoyed the book first time round and it still reads very well. It is more of “vulgarisation” book, telling the story of how Mandelbrot developed […]

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Why Trend Following works: look at the Distribution

October 21st, 2009 · 8 Comments · Strategies, Trend Following

One of the most important underlying concepts that contribute to the success of Trend Following is the fact that the strategy is based on the non-normality of market returns. Let me explain. Trend followers position themselves to profit from and capture the “fat tails” exhibited in market returns distribution. In a fat-tail distribution (Power law, […]

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