Model by Gray/Carlisle (2013)

Wesley Grey & Tobias Carlisle follow an interesting approach by modelling the basic algorithms and variable definitions of the core decision making procedures in banking. Their insights in value investing & quantitative investing determine the stock selection, taking behavioural errors also into account. Grey / Carlisle (2013) build their model on four key elements (cf. Grey/Carlisle 2013, Cover):

  • Avoid stocks causing permanent loss of capital
  • Find stocks with high quality
  • Find undervalued stocks
  • Five signals sent by smart money:
    • Insiders
    • Short Sellers
    • Shareholder Activists
    • Institutional Investment Managers


Grey, Wesley ; Tobias Carlisle (2013): Quantitative Value. A Practioners guide to automating intelligent investment and eliminating behavioral errors. John Wily & Sons. Hoboken, New Jersey.