Data Trends for Investment Professionals

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The Tao of Alpha

In 2004 I was running a hedge fund consultancy, where I advised many of the world's leading hedge funds. With this perspective, I wrote an article called The Tao of Alpha. The article offers a unique viewpoint on how alpha was then used and understood. We have transcribed the original article below. The Global Alpha Shortage Even the least sophisticated of investors understand that alpha is something to be pursued. Alpha is good. And more alpha is better. Not surprisingly then, most marketing documents are laced with the word. It slips easily off the tongue of marketers and managers. It appears in conference titles, as in “Portable...

Quandl Launches Intraday Data

One of our most popular user requests has long been that we add intraday data to Quandl’s data coverage. The wait is over. We are thrilled to announce that Quandl now supports intraday data for US equities. You can now look at market fluctuations with greater granularity than ever before. We begin with five exceptional databases of intraday equity data: S&P 500 One Minute Bars NASDAQ 100 One Minute Bars Dow Jones Industrial Average One Minute Bars Dow Jones Utilities Average One Minute Bars Dow Jones Transportation Average One Minute Bars These databases are provided by AlgoSeek, a leading provider...

A Quant’s Approach to Building Trading Strategies: Part Three

This is the third part of our interview with a senior quantitative portfolio manager at a large hedge fund. In the first part, she discussed the theoretical phase of creating a quantitative trading strategy. In the second part, she described the transition into “production.” This interview received so many excellent questions that we've dedicated an entire post to the answers. You can read the first part of the interview here and the second part of the interview here. Readers' questions have been lightly edited for clarity. 1. How do you monitor and manage your model once live? What additional checks and procedures...

A Quant’s Approach to Building Trading Strategies: Part Two

This is the second part of our interview with a senior quantitative portfolio manager at a large hedge fund. In the first part, we covered the theoretical phase of creating a quantitative trading strategy. In this part, we cover the transition into "production." We've also published a third part with answers to readers' questions. (more…)

Quandl Python Package Upgrade

2.x Series Package Notes With the release of version three of our API, we are officially deprecating version two of the Quandl Python package. We have re-written the package and will be moving forward with a 3.x.x package under the new namespace of quandl  that will rely on version three of our RESTful API. Upgrading There are numerous advantages to upgrading from the older 2.x series package including improved performance and stability. The upgrade process is fairly simple; Upgrade your package using pip and running: pip install --upgrade Quandl 2. Wherever you have: import Quandl change this to: import quandl as Quandl Additionally, if...

A Quant’s Approach to Building Trading Strategies: Part One

Recently, Quandl interviewed a senior quantitative portfolio manager at a large hedge fund. We spoke about how she builds trading strategies--how she transitions from an abstract representation of the market to something concrete with genuine predictive powers. Can you tell us how you design new trading strategies? It all starts with a hypothesis. I conjecture that there ought to be a relationship between two instruments, or maybe there’s a new instrument in the market that’s gaining popularity, or maybe there’s an unusual macroeconomic factor I’ve discovered that drives micro pricing behavior. So I write down an equation – a model,...

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