This is a summary of links featured on Quantocracy on Sunday, 05/03/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
Interview with Kevin Davey [Better System Trader]Kevin Davey has been developing, analyzing, testing and creating trading strategies for over 25 years, in every futures market from the e-mini S&P to crude oil to corn to cocoa. He placed in the Top 2 of the World Cup Trading Championships from 2005 2007 with the results: 2005 2nd place with a +148% return, 2006 1st with a +107% return, 2007 2nd place with a +112% return. He
Recently Discovered Academic Finance Research You Might Have Missed [Alpha Architect]Deactivating Active Shares (Frazzini, Friedman and Pomorski) Is Being Different Better? Dispersion and Active Management (The Investors Field Guide) 9 Mistakes Quants Make that Cause Backtests to Lie (The Augmented Trader) Sell in May and Go Away: Still Good Advice for Investor? (Dichtl and Drobetz) Multi-Asset Class Mutual Funds Managers: Can They Time the Mark
Market-Making Portfolio & Hedging [Tr8dr]With market making we can try to be neutral by skewing prices in such a way as to maintain a neutral position. To the extent that the market can become 1-sided (in momentum) or may have large sized requests (if offering at different sizes), ones portfolio may require explicit hedging. In a live market-making scenario we can determine how we want to hedge on a case-by-cas