This is a summary of links featured on Quantocracy on Sunday, 11/27/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
Market Leverage as an Explanation of Low Volatility Anomaly [Quantpedia]The 'low-beta' or 'low-volatility anomaly' is one of the most researched in the field of 'alternative beta'. Despite strong published evidence going back to the 1970s that high beta/volatility stocks underperform relative to expectations generated by the Capital Asset Pricing Model (CAPM), the anomaly still persists. The explanations given for this are all
Podcast: Market Regimes with @HelixTrader [Better System Trader]Most trading strategies have an optimal type of market condition where they work at their absolute best, so having an understanding of market conditions and being able to detect and adapt to them can really have a huge impact on trading performance. But how can we measure market regimes properly? What techniques can we use to find that delicate balance between stability and reactivity so that it