Quant Mashup - Open Quants
DIY Ray Dalio ETF: How to build your own Hedge Fund strategy with risk parity portfolios [Open Quants]
Earlier this month, Bloomberg published a news article about the launch of a new Risk Parity ETF in the US. The RPAR Risk Parity ETF plans to allocate across asset classes based on risk. The fund would be the first in the U.S. to follow this quantitative approach, allotting more money to securities
- 4 years ago, 4 Sep 2019, 09:17pm -
Free Financial, Fundamental and Macroeconomic Data with R examples [Open Quants]
In this Article, we will show how to obtain free financial data including: End-of-day and real-time pricing; Company financials; Macroeconomic data. Data sources utilized in this Article include: U.S. Securities and Exchange Commission (SEC); Quandl; IEX; Alpha Vantage. We also provide code to
- 4 years ago, 29 Aug 2019, 09:26pm -
How to Measure Statistical Causality: A Transfer Entropy Approach with Financial Applications [Open Quants]
We’ve all heard the say “correlation does not imply causation”, but how can we quantify causation? This is an extremely difficult and often misleading task, particularly when trying to infer causality from observational data and we cannot perform controlled trials or A/B testing. Take for
- 4 years ago, 22 Aug 2019, 11:22pm -
How the Mathematics of Fractals Can Help Predict Stock Markets Shifts [Open Quants]
In financial markets, two of the most common trading strategies used by investors are the momentum and mean reversion strategies. If a stock exhibits momentum (or trending behavior as shown in the figure below), its price on the current period is more likely to increase (decrease) if it has already
- 4 years ago, 25 Jul 2019, 11:26pm -