by Graham Giller
September 07, 2011 07:51
This blog was down for about a week because Hurricane Irene caused my server's power supplies to get fried. Meanwhile, I am continuing to work on programming execution algorithms for our new alpha strategy.
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by Graham Giller
July 08, 2011 08:15
As of June 1st. I'm now working full time on the implementation of our new high frequency trading system as a joint venture with a NYC based hedge fund with significant AUM. I'm going to try to occasionally keep the data archives here fully up-to-date, but may not post any original research unless it is completely unrelated to this business venture.
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by Graham Giller
October 20, 2010 11:54
I am currently working on a very interesting project involving a new analytical methodology. Consequently, the post rate has slowed as that activity is occupying most of my time. One thing that I did over the summer that was interesting was to give a lecture to a Chicago based hedge fund on my research on the implications of completely asymmetric response of variance to price shocks.
You can access this presentation on Google docs by following this link.
by Graham Giller
March 04, 2010 10:41
It appears that Microsoft's file replication service, NTFRS, decided to delete the copies of my charts and regression results from both my web servers. This is frustrating, but I am in the process of reproducing them. Some of them may end up “more up-to-date” than the post text refers to — but apart from being contextually jarring that's no big deal. (This is presumably why they replaced NTFRS with a completely new product in R2 version of the operating system.)
by Graham Giller
December 29, 2009 08:13
Posts to Statistical Trader have slowed down a lot — I've been busy working for a hedge-fund startup that I joined in August. To manage this new responsibility, I've cut back from some of my activity in writing articles for this blog, and am no longer publishing my trade record to Twitter. I am still compiling data on the Dynamic Trading Risk Factor, and will publish articles relating to that analysis from time-to-time…
by Graham Giller
February 05, 2009 21:54
I've been having a lot of fun with the hedge fund factor analysis; so, for a limited time, if anybody out there would like to provide me with data on a particular fund, I'll do the regression for them. Just email it to
blog@gillerinvestments.com and I'll see what I can do.
I'd also be happy to share the data I have with any of the folks at the funds we've analyzed here or maybe you could fill in some of the data holes and we can get a complete picture out there (I know you're reading this stuff, thanks to
Google Analytics).