This is a summary of links featured on Quantocracy on Monday, 11/14/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
Central Moments [Eran Raviv]Sometimes I read academic literature, and often times those papers contain some proofs. I usually gloss over some innocent-looking assumptions on moments existence, invariably popping before derivations of theorems or lemmas. Here is one among countless examples, actually taken from Making and Evaluating Point Forecasts: Example from Making and Evaluating Point Forecasts If the second moment
Testing A Euro Currency Futures Scalping Strategy, Part 6 [System Trader Success]In an attempt to make this system more tradable, Ive looked at many different stop methods and filters. My hunt for a stop value resulted in concluding that a stop value really hurts its performance. This is not so unusual for a mean reverting strategy, such as the Euro scalping strategy. In an effort to improve the trading metrics Im going to look at an area that I looked at very early on