Quantocracy

Quant Blog Mashup

ST

Quantocracy’s Daily Wrap for 10/18/2022

This is a summary of links featured on Quantocracy on Tuesday, 10/18/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Finding and analyzing free stock index data with Python and EDGAR [Wrighters.io]

    A stock index is just a list of stocks. But an index is a special list because investors use it to make investing decisions. An index is constructed via rules about stocks to include, how much to include, and when to include (or remove it). Finding this data, especially for more obscure indexes, can be difficult. This is especially the case if you want to find this data for free. This article will
  • Democracy: is it better for the stock market? [Alpha Architect]

    In this article, we examine the research that addresses the question of whether or not democracy leads to better possible outcomes for the stock market. Democracy and Stock Returns Xun Lei and Tomasz Piotr Wisniewski SSRN Working Paper A version of this paper can be found here Want to read our summaries of academic finance papers? Check out our Academic Research Insight category. What are the

Quantocracy’s Daily Wrap for 10/17/2022

This is a summary of links featured on Quantocracy on Monday, 10/17/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Crypto-Trading with REST, part 1 [Financial Hacker]

    Many brokers and exchanges can nowadays be accessed online with a REST API. The days of awkward proprietary broker APIs are coming to an end. This article is a step by step instruction of implementating a REST API interface in plain C for connecting a trading system to the Bittrex cryptocurrency exchange. Its for the Zorro platform, but the principles are also valid for other exchanges and
  • Is the Carry Trade a Diversifying Strategy? [Finominal]

    The carry trade was positive across most asset classes in YTD 2022 The correlations to the S&P 500 were low historically However, the carry trade crashed when stocks crashed, ie provided limited diversification benefits INTRODUCTION After a few years in unchartered territories, most bonds have normalized by showing positive yields again. Naturally, this implies that almost all bonds will have

Quantocracy’s Daily Wrap for 10/16/2022

This is a summary of links featured on Quantocracy on Sunday, 10/16/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Slava Ukraini! Latest from Quantocracy contributor in Ukraine: Natural Clustering in VIX Futures Data [Only VIX]

    If you take all available VIX futures data and create a scatterplot of daily settlement prices as a function of time to expiration you will see a curious pattern: Yes, there are clear clusters in prices. But what do these clusters mean? The simple explanation is that the VIX term structure passes from one regime to another and there is noise around these regimes. There is a low-volatility flat,
  • Volatility and Expected Range, Are They The Same? [Only VIX]

    This is not a post to correct some abstract mathematical technicality, or a semantic point. Rather I hope to shed some light on widespread mis-estimation of important risk metric that I often see on the internet. For example this double-decker of ignorance popped up on my twitter feed today. VIX as you know is an annualized measure and in order to calculate an expected daily move – that is from
  • Jobs growth as trading signal [SR SV]

    Employment growth is an important and underestimated macro factor of financial market trends. Since the expansion of jobs relative to the workforce is indicative of changes in slack or tightness in an economy it serves as a predictor of monetary policy and cost pressure. High employment growth is therefore a natural headwind for equity markets. Similarly, the expansion of jobs in one country
  • Lottery Demand and the Asset Growth Anomaly [Alpha Architect]

    It is well documented in the literature that over the long term, low-investment firms have outperformed high-investment firmswith the negative relation between asset growth (AG) and future stock returns particularly featured by the overvaluation of high AG stocks. This finding has led to the investment factor (CMA, or conservative minus aggressive) being incorporated into the leading asset

Quantocracy’s Daily Wrap for 10/13/2022

This is a summary of links featured on Quantocracy on Thursday, 10/13/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How to Improve Post-Earnings Announcement Drift with NLP Analysis [Quantpedia]

    Postearnings-announcement drift (abbr. PEAD) is a well-researched phenomenon that describes the tendency for a stocks cumulative abnormal returns to drift in the direction of an earnings surprise for some time (several weeks or even several months) following an earnings announcement. There have been many explanations for the existence of this phenomenon. One of the most widely accepted
  • $NDX Performance After 5 Down Days and a 150-Day Low [Quantifiable Edges]

    The two big up days to start last week have now been followed by 5 down days in a row. And the 5-day selloff has put the NDX at a new bear-market closing low. The study below looks at other times since 1990 that NDX closed down for the 5th consecutive day and at a 150-day low. NDX performance after 5 down days and a 150-day low These results suggest an upside tendency. Five days later all 11
  • Sell in May and go away Just won t go away [Quant Dare]

    In this post we are going to revisit (check previous post) the catchy market maxim sell in May and go away. After 2 bear markets in the last 3 years and yet another red September, once again, here I am in October, wishing I had sold in May. Lets simulate the different variations of this seasonal anomaly and see how it is holding up the last 25 years. Investment Thesis The Sell in

Quantocracy’s Daily Wrap for 10/11/2022

This is a summary of links featured on Quantocracy on Tuesday, 10/11/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Building a Raspberry Pi Cluster for QSTrader Using SLURM – Part 4 [Quant Start]

    In the previous article in this series we installed and configured SLURM to enable us to parellelise work loads. In this article we will be using SLURM to install QSTrader on all our secondary nodes. This will enable us to multiple run parameter sweeps for backtests of single or multiple strategies in parallel. By the end of this article we will have QSTrader installed and running the example

Quantocracy’s Daily Wrap for 10/07/2022

This is a summary of links featured on Quantocracy on Friday, 10/07/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Random Forests and Boosting for ARCH-like volatility forecasts [Sarem Seitz]

    In the last article, we discussed how Decision Trees and Random Forests can be used for forecasting. While mean and point forecasts are the most obvious applications, they might not always be the most useful ones. Consider the classic example of financial returns, where the conditional mean is hard, if not impossible, to predict. Conditional variance on the other hand has been shown to exert some
  • Conditional Portfolio Optimization [EP Chan]

    Previously on this blog, we wrote about a machine-learning-based parameter optimization technique we invented, called Conditional Parameter Optimization (CPO). It appeared to work well on optimizing the operating parameters of trading strategies, but increasingly, we found that its greatest power lies in its potential to optimize portfolio allocations. We call this Conditional Portfolio
  • Momentum Everywhere, Including Emerging Markets [Alpha Architect]

    In order for investors to determine which of the hundreds of factors in what John Cochrane famously called the zoo of factors were worthy of investment, Andrew Berkin and I set out seven criteria in our book Your Complete Guide to Factor-based Investing. For a factor to be considered, it must meet all the following tests. To start, it must provide explanatory power to portfolio returns
  • Research Review | 7 Oct 2022 | Interest Rates and Inflation [Capital Spectator]

    The Factor Multiverse: The Role of Interest Rates in Factor Discovery Jules H. van Binsbergen (University of Pennsylvania), et al. September 2022 We study the importance of the decline in interest rates in the discovery of asset pricing anomalies. We investigate 153 discovered anomalies as well as 1,395 potential undiscovered anomalies and find that absent the decline in interest rates, the asset

Quantocracy’s Daily Wrap for 10/04/2022

This is a summary of links featured on Quantocracy on Tuesday, 10/04/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Multi Strategy Management for Your Portfolio [Quantpedia]

    If you follow Quantpedias blogs, you probably know that Quantpedia PRO already contains multiple risk management and portfolio construction tools for your quantitative investment strategies. For example, Crisis Hedge can find you suitable investment hedges for negative months and for bear markets. The Correlation Analysis report, on the other hand, reviews your model portfolios correlation
  • Factor Olympics Q3 2022 [Finomial]

    Value is leading the performance scoreboard in YTD 2022 Low volatility is the worst-performing factor Oddly, the value and low volatility factors are strongly positively correlated INTRODUCTION We present the performance of five well-known factors on an annual basis for the last 10 years. Specifically, we only present factors where academic research supports the existence of positive excess
  • Transaction costs and portfolio strategies [SR SV]

    Transaction costs are a key consideration for the development of trading strategies; and not just in final profitability checks. Indeed, disregard for trading costs at the design stage leads to excessive reliance on fleeting small-scale characteristics for return predictors. It also skews the conventional efficient frontier of portfolio choice towards risky trading strategies. A realistic

Quantocracy’s Daily Wrap for 09/27/2022

This is a summary of links featured on Quantocracy on Tuesday, 09/27/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The Probabilistic Sharpe Ratio: Hypothesis Testing and Min Track Record Length [Portfolio Optimizer]

    In the first post of this series about the Sharpe ratio considered as a statistical estimator, I introduced a probabilistic framework to answer the question What is the probability that an estimated Sharpe ratio is statistically significantly greater than a reference Sharpe ratio? In this second post, I will present additional results, described in the paper Comparing Sharpe ratios: So where are
  • How Much Can You Lose with Bonds? [Factor Research]

    Bonds are typically considered safe investments However, there were decades of negative real returns Drawdowns reached 50% for U.S. Treasuries and Bonds INTRODUCTION Inflation greater than 10% was unknown for the majority of people in developed markets before this year, but it is nothing particularly new for emerging market citizens. Russia experienced 15.5% in 2015, India 10.1% in 2013, Brazil

Quantocracy’s Daily Wrap for 09/25/2022

This is a summary of links featured on Quantocracy on Sunday, 09/25/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Use pandas DateOffsets for easy date manipulation [Wrighters.io]

    So much useful data has a date or time component. Often, data has a timestamp to represent when the data was acquired, or when an event will take place, or as an identifying attribute like an expiration date. For this reason, understanding how to work with dates and times effectively can be a very useful skill. One common need is to select dates (and times) using rules based on their offset from
  • Inflation-Linked Bonds for Inflationary Periods? [Factor Research]

    Inflation-linked bonds are considered inflation-hedges However, these have lost almost as much as plain-vanilla bonds in 2022 The sensitivity to interest rates matters more than that to inflation INTRODUCTION Inflation is the biggest issue facing the U.S. and is more important to citizens than crime, health care, or immigration according to a Pew Research Centre survey from May 2022. Given
  • Sector vs Factor-based Benchmark Selection [Factor Research]

    Manager-selected benchmarks are suboptimal as they are not free of conflict of interests Investors can use sectors to identify more appropriate benchmarks However, this ignores factors, which are better at explaining investment returns INTRODUCTION In our last research article (Mirror, Mirror on the Wall, which is the fairest Benchmark of them All?) we highlighted that investors can use factor

Quantocracy’s Daily Wrap for 09/24/2022

This is a summary of links featured on Quantocracy on Saturday, 09/24/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Slava Ukraini! Latest from Quantocracy contributor in Ukraine: Jupyter Notebook To Download VIX Futures [Only VIX]

    I will be publishing some of my research notebooks, starting with downloader for VIX data, fitting Nelson-Siegel model for term structure ( static ) , and dynamic ( Kalman Filter ), and possibly some recent work I did on regime clusters in VIX and ML for VIX trading. Here is the link to the first one. Email me if you have any questions. In the last 2 days UN Human Right Commission published their
  • Consumer Spending Data and the Cross-Section of Stock Returns [Alpha Architect]

    Consumer demand drives the cash flows of consumer-oriented companies. Thus, they should serve as a reliable source of information to predict future fundamentals above and beyond the information contained in financial statements and readily available market data. For example, Jiekun Huang, author of the 2018 study The Customer Knows Best: The Investment Value of Consumer Opinions, analyzed
  • Should Levered and Inverse ETFs Even Exist? [Alpha Architect]

    In 2019, the SEC proposed that all brokers and advisors be required to determine whether or not their clients understood the risks of investing in levered and inverse exchange traded products before selling such products to them. The SEC moved on this requirement in response to a series of fund failures. For example, after losing 96% of its value in a single day, Credit Suisse closed its Daily