Financial market prices and return indices are non-stationary time series, even in logarithmic form. This means not only that they are drifting, but also that their distribution changes overtime. The main purpose of de-trending is to mitigate the effects of non-stationarity on estimated price or return distribution. De-trending can also support the design of trading […]
Macrosynergy is a London based macroeconomic research and technology company whose founders have developed and employed macro quantamental investment strategies in liquid, tradable asset classes, across many markets and for a variety of different factors to generate competitive, uncorrelated investment returns for institutional investors for two decades. Our quantitative-fundamental (quantamental) computing system tracks a broad range of real-time macroeconomic trends in developed and emerging countries, transforming them into macro systematic quantamental investment strategies. In June 2020 Macrosynergy and J.P. Morgan started a collaboration to scale the quantamental system and to popularize tradable economics across financial markets.
