Wednesday, March 25, 2009

New Blog: Trading the Odds

Veteran readers of VIX and More will no doubt be familiar with the wealth of statistical knowledge and insight brought to bear by a commenter by the name of Frank.

I was therefore delighted to learn that as of yesterday, Frank has decided to share in more detail some of his analytical work and thinking in a new blog that is going by the name of Trading the Odds. Based on a set of initial posts, it looks as if Frank will be using his considerable statistical data bank to talk about weekly and monthly seasonality, RSI (2), mean reversion, correlation and other related issues. I have a hunch that anyone who appreciates the heavily quantitative and statistical approach to the markets taken by the likes of Quantifiable Edges and MarketSci will find Trading the Odds has a similar appeal.

Given Frank’s body of work solely as a commenter on VIX and More, I would encourage readers to become familiar with his new blog. If anyone needs an additional nudge, note that today Frank addresses one of my favorite VIX quirks, Weekday Seasonality of the VIX, which looks at the ‘calendar reversion’ effect for VIX levels on Fridays and Mondays.

Welcome to the blogosphere, Frank.

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