Quant Mashup
Scikit Learn Tutorial: Installation, Requirements And Building Classification Model [Quant Insti]
Scikit-learn is one of the most versatile and efficient Machine Learning libraries available across the board. Built on top of other popular libraries such as NumPy, SciPy and Matplotlib, scikit learn contains a lot of powerful tools for machine learning and statistical modelling. No wonder scikit
- 3 weeks ago, 17 Oct 2019, 07:33pm -
Active Share: Predictor of Future Performance or Urban Legend? [Alpha Architect]
The crowning achievement for investors is the ability to identify which of the few active mutual funds will outperform in the future. Despite an overwhelming body of academic research which has demonstrated that past performance doesn’t guarantee future performance and (as the annual SPIVA
- 3 weeks ago, 17 Oct 2019, 07:33pm -
Exiting using limit orders [Alvarez Quant Trading]
Most of us focus our research time looking to find better entries. We don’t spend enough time thinking about our exits. I am definitely guilty of this. A popular way to enter a mean reversion trade is by using a limit order. I use that on the strategy on RSI2 Strategy: Double returns with a simple
- 4 weeks ago, 16 Oct 2019, 07:04pm -
Kalman Filter Pairs Trading with Zorro and R [Robot Wealth]
In the first three posts of this mini-series on pairs trading with Zorro and R, we: Implemented a Kalman filter in R Implemented a simple pairs trading algorithm in Zorro Connected Zorro and R and exchanged data between the two platforms In this fourth and final post, we’re going to put it all
- 4 weeks ago, 16 Oct 2019, 05:56am -
Mitigating overfitting on Financial Datasets with Generative Adversarial Networks [Quant Dare]
What good is synthetic data for in a financial setting? This is a very valid question, given that data augmentation techniques can be hard to evaluate and the time series they produce are very complex. As we will see in this post however, it turns out that synthetic series can be very useful!
- 4 weeks ago, 16 Oct 2019, 05:56am -
Crowded trades, asset centrality and predicting equity bubbles [Alpha Architect]
What is a crowded trade? What is asset centrality? Does asset centrality predict bubbles? Can it be exploited? What are the Academic Insights? In the normal course of events, investors perceive and act upon changes in fundamentals that will persist indefinitely (or until the next change in
- 4 weeks ago, 16 Oct 2019, 05:56am -
State of Trend Following in September [Au Tra Sy]
Big swing down. The State of Trend Following report erased most of the gains for the year in one sharp down month. Please check below for more details. Detailed Results The figures for the month are: September return: -8.85% YTD return: 0.96% Below is the chart displaying individual system results
- 4 weeks ago, 16 Oct 2019, 05:55am -
Yield Curve Trades with Trend and Momentum [Flirting with Models]
Yield curve changes over time can be decomposed into Level, Slope, and Curvature changes, and these changes can be used to construct portfolios. Market shocks, monetary policy, and preferences of different segments of investors (e,g. pensions) may create trends within these portfolios that can be
- 4 weeks ago, 14 Oct 2019, 09:38am -
17 “Self-Help” Books for Quant Investors [Two Centuries Investments]
Took a look at my book shelf this morning and decided to share some of my non-finance books that help me grow as a quant investor. It’s an eclectic list, not in the order of importance. “A More Beautiful Question” by Warren Berger “Rework” by Jason Fried and David Heinemeier Hansson
- 4 weeks ago, 14 Oct 2019, 09:37am -
A Columbus Day Edge Revisited [Quantifiable Edges]
While the stock market is open on Monday, banks, schools, government offices, and the bond market are closed. In past years with the bond market closed, the stock market has done quite well on Columbus Day. Of course the most famous Columbus Day rally was in 2008 when the market gained over 11%
- 4 weeks ago, 14 Oct 2019, 09:37am -
AI, What Have You Done For Me Lately? [Factor Research]
AI-focused companies have underperformed markets AI-powered ETFs have generated unimpressive returns In contrast, AI-powered hedge funds easily beat their benchmark, but the performance can be challenged INVESTING IN AI VERSUS AI INVESTING “AI will probably most likely lead to the end of the
- 4 weeks ago, 14 Oct 2019, 09:36am -
Modelling Bid/Offer Spread In Equities Trading Strategy Backtest [Python For Finance]
In this blog post I wanted to run a couple of quick experiments to see how clearly I was able to highlight the importance of incorporating various elements and components into a backtest that I admittedly often overlook in most of my posts – that is I make the assumption that they will be dealt
- 1 month ago, 13 Oct 2019, 07:16pm -
Another Method of Creating Synthetic Data [Dekalog Blog]
Over the years I have posted about several different methodologies for creating synthetic data and I have recently come across yet another one which readers may find useful. One of my first posts was Creation of Synthetic Data, which essentially is a random scrambling of historic data for a single
- 1 month ago, 13 Oct 2019, 07:15pm -
Crowded trades: measure and effect [SR SV]
One measure of the crowdedness of trades in a portfolio is centrality. Centrality is a concept of network analysis that measures how similar one institution’s portfolio is to its peers by assessing its importance as a network node. Empirical analysis suggests that [1] the centrality of individual
- 1 month ago, 13 Oct 2019, 07:15pm -
Using Firm Characteristics to Enhance Momentum Strategies [Alpha Architect]
Research into the momentum factor continues to demonstrate its persistence and pervasiveness, including across factors. Recent papers have focused on trying to identify ways to improve the explanatory power and performance of momentum strategies. Prior research on Momentum The study “Momentum Has
- 1 month ago, 11 Oct 2019, 10:15am -
Momentum Explains a Bunch Of Equity Factors [Quantpedia]
Financial academics have described so many equity factors that the whole universe of them is sometimes called “factor zoo”. Therefore, it is no surprise that there is a quest within an academic community to bring some order into this chaos. An interesting research paper written by Favilukis and
- 1 month ago, 11 Oct 2019, 10:14am -
The “Master of the Robots” on machine learning in finance [Mathematical Investor]
Marcos Lopez de Prado, who was named Quant of the Year for 2019 by the Journal of Portfolio Management, is widely regarded as one of the leading quantitative mathematicians in today’s financial world. He currently ranks #1 among authors in the economics field on the SSRN research network, as
- 1 month ago, 9 Oct 2019, 08:03pm -
An age prediction solution applied to rank returns [Quant Dare]
Image processing is one of the hot topics in AI research, alongside with reinforcement learning, ethics in AI and many others. A recent solution to perform ordinal regression on age of people has been published, and in this post we apply that technique to financial data. Ranking classification is an
- 1 month ago, 9 Oct 2019, 08:58am -
Building a Basic Cross-Sectional Momentum Strategy – Python Tutorial [Quantoisseur]
In this tutorial we utilize the free Alpha Vantage API to pull price data and build a basic momentum strategy that is rebalanced weekly. This approach can be adapted for any feature you’d like to explore. Let me know what you’d like to see in the next video!
- 1 month ago, 8 Oct 2019, 07:12pm -
An Analysis of “Graham’s Net-Nets: Outdated or Outstanding?” [Alpha Architect]
In an earlier post we analyzed the prominent and often-cited study on “net-nets” conducted by Henry R. Oppenheimer from the Financial Analysts Journal (1986). In this post, we analyze the article “Graham’s Net-Nets: Outdated or Outstanding?” by James Montier. The objective of the article
- 1 month ago, 8 Oct 2019, 06:55pm -
Concurrent Scalping Algo Using Async Python [Alpaca]
One of the advantages of running automatic trading strategies is that you can quickly and consistently act on price action. Even if you have enough time to trade the same idea manually, you need to watch the market movement very closely and keep paying attention to multiple monitors. With
- 1 month ago, 7 Oct 2019, 10:35pm -
World's Largest Quant Conference of Its Kind: The Quant Conference | 1st November, 2019 | London, UK
Enjoy 15% off with the promo code: QUANTOCRACY2019. The Quant Conference has been conceived as an educational setting where attendees can learn about the current trends in the field of quantitative finance. Furthermore, it brings a unique opportunity to network with aspiring students, professional
- 1 month ago, 7 Oct 2019, 06:55pm -
The Hidden Truths About Stop loss In Trading [Quant Insti]
A stop-loss order, or stops as is generally said, is an order placed with the broker to sell (or buy) if the stock of a company which you hold, reaches a pre-determined price in order to avoid large losses. In the trading world, the use of stops is seen as an essential part of risk control and money
- 1 month ago, 7 Oct 2019, 06:55pm -
A Framework for Creating Model Portfolios [Alpha Architect]
Asset allocation is a very important decision for investors. Model portfolios are constructed with an optimized asset allocation process to help meet investor needs and preferences. The authors investigate the following research question: How does one construct a model portfolio? What are the
- 1 month ago, 7 Oct 2019, 06:55pm -
9 Things That Get Me Fired Up About Being a Quant Investor Today [Two Centuries Investments]
As trading costs have just hit zero, and passive investing overtook active in August, the investment industry is braced for further pressure to deliver alpha after fees. In my view, the potential to build great models today is huge, but constrained by the research cultures of most firms. Here is
- 1 month ago, 7 Oct 2019, 09:18am -
Macro Timing with Trend Following [Flirting with Models]
While it may be tempting to time allocations to active strategies, it is generally best to hold them as long-term allocations. Despite this, some research has shown that there may be certain economic environments where trend following equity strategies are better suited. In this commentary, we
- 1 month ago, 7 Oct 2019, 09:18am -
AI and Data Science in Trading Conference London [Cuemacro]
AIDST has quickly established itself as one of the most important finance based data science conferences in the calendar. I recently attended and presented at the recent AIDST London event in September. The conference featured a mixture of both high-level talks and also more technical sessions. The
- 1 month ago, 7 Oct 2019, 09:17am -
Low Volatility vs Option-Based Strategies [Factor Research]
Option-based strategies have similar characteristics to Low Volatility portfolios Combining these reduces idiosyncratic strategy risks The combinations feature higher risk-adjusted returns and lower drawdowns than the S&P 500 INTRODUCTION Some investment products and strategies can be considered
- 1 month ago, 7 Oct 2019, 09:16am -
Integrating R with the Zorro Backtesting and Execution Platform [Robot Wealth]
n the last two posts, we implemented a Kalman filter in R for calculating a dynamic hedge ratio, and presented a Zorro script for backtesting and trading price-based spreads using a static hedge ratio. The goal is to get the best of both worlds and use our dynamic hedge ratio within the Zorro
- 1 month ago, 3 Oct 2019, 08:25pm -
Alternative Investments - A Field Manual [Alpha Architect]
It’s not a perfect world out there and often times alternative funds are mischaracterized, misused, and not put through a rigorous enough portfolio construction process. It’s my hope that I can forewarn you of the proverbial landmines and better prepare you to invest (or not invest) in the
- 1 month ago, 3 Oct 2019, 08:24pm -
Continuous Futures Contracts Methodology for Backtesting [Quantpedia]
The problem with spliced futures No doubt, the correct datasets are the key when one does some analysis in the financial markets. For some financial instruments, the data can be found for free and ready for the upcoming process, but on the other hand, some instruments are more complicated. Nowadays,
- 1 month ago, 3 Oct 2019, 05:55pm -
New book: Leveraged Trading [Investment Idiocy]
This month* marks the release of my third book, with the snappy title "Leveraged Trading", and the slightly less snappy subtitle "A professional approach to trading FX, stocks on margin, CFDs, spread bets and futures for all traders". Photo courtesy of Harriman House. As you can
- 1 month ago, 3 Oct 2019, 09:04am -
Ideal Cyclic Tau Embedding as Times Series Features [Dekalog Blog]
Continuing on from my Ideal Tau for Time Series Embedding post, I have now written an Octave function based on these ideas to produce features for time series modelling. The function outputs are two slightly different versions of features, examples of which are shown in the following two plots,
- 1 month ago, 1 Oct 2019, 10:59pm -
Tactical Asset Allocation in September [Allocate Smartly]
This is a summary of the recent performance of a wide range of excellent Tactical Asset Allocation (TAA) strategies, net of transaction costs. These strategies are sourced from books, academic papers, and other publications. While we don’t (yet) include every published TAA model, these strategies
- 1 month ago, 1 Oct 2019, 10:59pm -
Factor Olympics Q3 2019 [Factor Research]
Most factors generated positive returns in Q1-3 2019 Low Volatility produced the best and Value the worst performance year-to-date The factor rotation from Momentum into Value in Q3 was short-lived INTRODUCTION We present the performance of five well-known factors on an annual basis for the last 10
- 1 month ago, 1 Oct 2019, 10:59pm -
Short-Duration Stock Anomaly: Risk or Mispricing [Alpha Architect]
Some background on Bond duration: Duration measures bond’s price sensitivity to interest rates changes. It’s estimated based on the discounted expectations of the bond future cash flows and expressed in the number of years. The longer the duration, the higher the bond interest rate risk. (read
- 1 month ago, 1 Oct 2019, 10:58pm -
Building a garden "trading" office (off topic but fun) [Investment Idiocy]
(Both) regular followers of this blog will have been on tenterhooks for many months now, waiting for my next post. I have been busy! First of all, I've been finishing my third book. More detail on that later, in the next post. I've also had a fair bit of holiday time. But mainly over the
- 1 month ago, 30 Sep 2019, 07:19pm -
Quality: Independent attributes or a real factor? [Alpha Architect]
The authors do a very nice survey on measures of quality found in the academic literature and in commercially available quality indexes. They examine seven quality categories including: profitability, earnings stability, capital structure, growth, accounting quality, payout/dilution and investment.
- 1 month ago, 30 Sep 2019, 07:18pm -
Macro and Momentum Factor Rotation [Flirting with Models]
While many investors have adopted a multi-factor approach to style investing, some have pushed these boundaries by advocating for an active, rotational approach to factor allocation. In a recent white paper, MSCI suggests several methods that might be conducive for performing style rotation,
- 1 month ago, 30 Sep 2019, 09:58am -
PDF: Lectures in Quantitative Economics with Python (h/t @PyQuantNews)
- 1 month ago, 27 Sep 2019, 09:23am -
An Approach to Time Series Data when Data is Limited (ARIMA / VAR) [Auquan]
Investors are slowly becoming more and more interested in ethical investing. Part of the reason is the industry is starting to care more, but the other reason is that there is a lot of evidence to show that it can produce better or at least equivalent returns. One subset of this type of investing is
- 1 month ago, 26 Sep 2019, 07:12pm -
The Short Duration Premium [Alpha Architect]
In my June 4, 2019 article “The Re-Death of Value, or Déjà Vu All Over?” I noted that one possible explanation for at least part of the poor performance of value stocks over the past decade has been the sharp fall in both the real interest rate (due to weak global growth) and unexpected
- 1 month ago, 26 Sep 2019, 07:11pm -
Trading Using Machine Learning In Python [Quant Insti]
In recent years, machine learning, more specifically machine learning in Python has become the buzz-word for many quant firms. In their quest to seek the elusive alpha, a number of funds and trading firms have adopted to machine learning. While the algorithms deployed by quant hedge funds are never
- 1 month ago, 26 Sep 2019, 09:45am -
Intraday Futures Calendar Spreads and the Impact of Transaction Costs [Quant Rocket]
Intraday trading strategies offer great promise as well as great peril. This post explores an intraday trading strategy for crude oil calendar spreads and highlights the impact of transaction costs on its profitability. Background In a previous post, I explored an end-of-day pairs trading strategy
- 1 month ago, 25 Sep 2019, 06:48pm -
The Simplest Momentum Indicator [Alvarez Quant Trading]
We all have our favorite momentum indicators. One of mine is percent off 1 year high. This requires 252 data points and comparisons, plus a division. Another one is the 200-day moving average. This requires 200 closing prices, 199 additions and a division. A simple momentum indicator is Rate of
- 1 month ago, 25 Sep 2019, 06:47pm -
Volatility Clustering: Are large price moves followed by large price moves? [Oxford Capital]
Concept: Volatility clustering: Large price moves tend to be followed by large price moves, and small price moves tend to be followed by small price moves. Research Question: Is there a tendency of large price moves in one direction to be followed by large price moves in the opposite direction?
- 1 month ago, 25 Sep 2019, 06:47pm -
Pairs Trading in Zorro [Robot Wealth]
In our previous post, we looked into implementing a Kalman filter in R for calculating the hedge ratio in a pairs trading strategy. You know, light reading… We saw that while R makes it easy to implement a relatively advanced algorithm like the Kalman filter, there are drawbacks to using it as a
- 1 month ago, 25 Sep 2019, 08:27am -
Deep Trading with TensorFlow: Recapitulating [Todo Trader]
e have already traveled a good part of the trip, but there is still an important part. In this post, I tell you where we are and how much we have left. Courage, we sure got it! The Machine Learning Workflow The following diagram provides a high-level overview of the stages in a machine learning
- 1 month ago, 24 Sep 2019, 07:54pm -
The Volatility Effect Revisited [Alpha Architect]
One dirty little secret that has been hiding behind the curtains of finance for a long time, is that high-risk stocks do not have higher returns than low-risk stocks. Back in 1975 Haugen and Heins first recognized the low-risk anomaly: Our emperical efforts do not support the conventional hypothesis
- 1 month ago, 24 Sep 2019, 07:53pm -
Inverted Yield Curve: Belgium 1840 - 2018 [Two Centuries Investments]
Over the last few months, much of the financial press expressed concerns about the impact of inverted yield curves on financial markets, in particular, the stock returns. Some previous academic literature has shown that there exists a link between yield curves and economic growth (see references
- 1 month ago, 23 Sep 2019, 04:14pm -