Quantamentals

Ilia Bouchouev
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Ilia Bouchouev: Pentathlon Investments, LLC

Chapter 6 in Virtual Barrels, 2023, pp 109-135 from Springer

Abstract: Abstract In this chapter, we explore the considerably more challenging task of using fundamental data for generating trading signals, and the class of semi-systematic strategies, colloquially referred to as quantamentals. We discuss the convergence strategy of WTI-Brent accordion and extend the concept to construct a broader statistical arbitrage portfolio of energy pairs. We use the technique of fractionation to incorporate inventories and provide additional ideas for modeling flows and positioning.

Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-031-36151-7_6

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DOI: 10.1007/978-3-031-36151-7_6

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