This is a summary of links featured on Quantocracy on Monday, 06/05/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Do Factors Market Time? [Flirting with Models]Factors such as value, size, and momentum are generally constructed using dollar-neutral portfolios in academic literature. The market beta exposure in these portfolios is often significant and can vary substantially over time. Each factor has gone through periods where these features have been beneficial or detrimental to performance. Constructing beta neutral factor portfolios can remove the
Computer Age Statistical Inference [Eran Raviv]If you consider yourself Econometrician\Statistician or one of those numerous buzz word synonyms that are floating around these days, Computer Age Statistical Inference: Algorithms, Evidence and Data Science by Bradley Efron and Trevor Hastie is a book you cant miss, and now nor should you. You can download the book for free. My first inclination is to deliver an unequivocal recommendation. But