This is a summary of links featured on Quantocracy on Monday, 03/20/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Placing orders in the native python IB API [Investment Idiocy]This the fourth in a series of posts on using the native python API for interactive brokers. You should read the first, second, and third, before this one. It is an updated version of this older post, which used a third party API (swigibpy) which wraps around the C++ API. I've changed the code, but otherwise the post is pretty similar. We are nearly at the end of our journey of simplistic
Diversification in Multi-Factor Portfolios [Flirting with Models]The debate rages on over the application of valuation in factor-timing methods. Regardless, diversification remains a prudent recommendation. How to diversify multi-factor portfolios, however, remains up for debate. The ActiveBeta team at Goldman Sachs finds new evidence that composite diversification approaches can offer a higher information ratio than integrated approaches due to interaction