This is a summary of links featured on Quantocracy on Thursday, 04/16/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Optimised CRBM Code for Gaussian Units [Dekalog Blog]Over the last few weeks I have been working on optimising the conditional restricted boltzmann machine code, with a view to speeding it up via a C++ .oct file, and in the code box below is this .oct code for the gaussian_crbm.m code in my previous post. This gaussian_crbm.m function, plus the binary_crbm.m one, are the speed bottlenecks whilst training the crbm. In the code below I have made some
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Does This VIX Signal Indicate Trouble Ahead? [Adam Warner]Time for investors to go to the mattresses (again)? This, from CNBC: "Most investors have never heard of the three-month volatility index, which is known as the VXV. But the relationship between the CBOE three-month volatility index and the options exchange's more familiar 30-day volatility index, the VIX, may signal trouble for stocks. "Like the VIX, the VXV is a measure of
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Fed needs to walk a thin tightrope ahead of 2016… [Almanac Trader]One clear headwind that exists for the market is the first Fed funds rate increase since June 2006. That 0.25% rate hike nudged the target rate to 5.25% and marked the last move in a major tightening cycle that began in June 2004. Including this cycle, there have been five major Fed cycles (up and down) since 1973. A major Fed cycle is defined as the overarching Federal Reserve policy with respect
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Social data research links: oil prices, real estate, and power laws [MKTSTK]Oil price volatility and oil-related events: An Internet concern study perspective [ResearchGate] This paper investigates the effects of four types of oil-related events on world oil prices, using an event study methodology and an AR-GARCH model. The Internet information concerning these events, which is derived from search query volumes in Google, is introduced in an analytical framework to ident
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The Relationship Between CAPE and Returns [EconomPic]As I outlined in my previous post The Relationship Between Stocks and Bonds, the S&P 500 yields 3.7% at the current 27 CAPE (cyclically adjusted P/E), attractive from a relative basis to the sub 2% yield of the ten-year treasury. That said, a 3.7% yield is quite low by historical standards. Below is a framework for thinking about why returns should be expected to be lower AND more volatile
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Nikkei 225 daily returns heatmap [UK Stock Market Almanac]This article concerns the daily returns for the Nikkei 225 from 1984. Average daily returns The following table shows the average return since 1984 of the Nikkei 225 Index for each day of the year. For example, over the last 30 years the average daily return for the Nikkei 225 on 4 January has been 0.38%. In the table, positive average daily returns are coloured green, while negative average retur
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When VIX traders bet on a rise in volatility $SPY $VXX [@NautilusCap]When VIX traders bet on a rise in volatility $SPY $VXX
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Some Seasonal Strength Could Help Today [Quantifiable Edges]While most people are not fond of tax day in the US, it has historically seen strong inflows into IRAs and hence the stock market. This has set up the day after tax day as a strong day for the market. Below is a look at how SPX has done since 1981 on tax day. The numbers are all impressive. They suggest a seasonal wind at the markets back today. Want research like this delivered directly to
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A Tutorial in R on Using A Hidden Markov Model (HMM) [Inovance]Knowing how different market conditions affect the performance of your strategy can have a huge impact on your returns. Certain strategies will perform well in highly volatile, choppy markets while others need a strong, smooth trend or they risk long periods of drawdown. Figuring out when you should start or stop trading a strategy, adjusting your risk and money management techniques, and even set
