Quantocracy

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Quantocracy’s Daily Wrap for 03/03/2022

This is a summary of links featured on Quantocracy on Thursday, 03/03/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 03/01/2022

This is a summary of links featured on Quantocracy on Tuesday, 03/01/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Where Tactical Asset Allocation Stands Now (Feb 28, 2022) [Allocate Smartly]

    It always feels a little offensive talking dollars and cents at times like this (*), but we hope that by helping investors to have a concrete strategy, we can at least take this one stress off the table. We track 60+ Tactical Asset Allocation (TAA) strategies, allowing us to draw some broad conclusions about TAA as a style. So far, TAA has followed the pattern investors have come to expect:
  • Is 60:40 a dead parrot? Or just resting? [Investment Idiocy]

    Very brief blog post this month; I'm deep into book writing mode at the moment. Chanelling Clif Assness, I'm just going to present a few charts and lead you to draw your own conclusions. Excess / futures returns from portfolio of 60% S&P 500, 40% US Ten year treasuries (Authors own data) Jorda et al The rate of return on everything QJE 2019 One year rolling correlation of

Quantocracy’s Daily Wrap for 02/28/2022

This is a summary of links featured on Quantocracy on Monday, 02/28/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Momentum in Emerging Markets [Factor Research]

    Long-short momentum investing highlights attractive performance in Asia and emerging markets However, realized excess returns are significantly lower than theoretical ones Likely explained by transaction costs INTRODUCTION Momentum has been shown to generate attractive excess returns across eight different markets and asset classes by AQR, a quantitative asset manager. Christopher Geczy and
  • Follow The Leader To Make Money In Stocks [Decoding Markets]

    Theres a reason that international traders, whether theyre in Tokyo, Singapore, or London, follow the US markets. The US is the hub of global finance. Its on Wall Street where everything is happening. Watching the reaction of European markets to the opening of US markets demonstrates this. When the US market bell rings, theres a spike in volume (and volatility) across European assets.

Quantocracy’s Daily Wrap for 02/26/2022

This is a summary of links featured on Quantocracy on Saturday, 02/26/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Beware of Excessive Leverage – Introduction to Kelly and Optimal F [Quantpedia]

    Most investors focus solely on the profitability of their investment strategy. And, even though having a profitable strategy is important, it is not everything. There are still numerous other things to consider. One of them is the size of the investment. The investment size can increase or decrease the profitability of a strategy, so it is essential to choose it right. The following article is our
  • Re: Ukraine [Only VIX]

    As I am sure all of you know Russia has began a full scale war against my home country Ukraine. Please make no mistake – Putin's goal in not to stop the expansion of NATO, not to install puppet government, and certainly not to bring peace. The goal is genocide of Ukrainian people. When Ukraine was under Russian communist occupation, Russians started off with killing of political leaders,
  • Is there any edge in holding stocks overnight? [Rotating Stocks]

    Holding stocks overnight is when we buy the close and sell the following day on the open. Is there any edge in this approach in comparison to buying the open and selling the close. Today we will check this phenomenon. We will check the performance of the SPY, then we will try to check it on individual stocks. What is holding stocks overnight? There is a common knowledge that the stock market

Quantocracy’s Daily Wrap for 02/23/2022

This is a summary of links featured on Quantocracy on Wednesday, 02/23/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Developing systematic smart beta strategies for crypto assets [Artur Sepp]

    I am delighted to share the video from my QuantMinds presentation that I made in Barcelona in December 2021. Many thanks to QuantMinds organizers for allowing me to share this video. First, it was nice to attend the onsite conference in a while and to meet old friends and colleagues. I was positively surprised by how many people attended. Many thanks to organizers for making it happen during these
  • What’s the Relation Between Grid Trading and Delta Hedging? [Quantpedia]

    Delta hedging is a trading strategy that aims to reduce the directional risk of short option strategy and reach a so-called delta-neutral position. It does so by buying or selling small increments of the underlying asset. Similarly, grid trading is a trading strategy that buys/sells an asset depending on its price moves. When the price falls, it buys and sells when the price rises a certain amount
  • Toward an efficient hybrid method for pricing barrier options [Artur Sepp]

    I am excited to share the latest paper with Prof. Alexander Lipton. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4035813 We find the semi-analytical solution to one of the unsolved problems in Quantitative Finance, which is to compute survival probabilities and barrier option values for two-dimensional correlated dynamics of stock returns and stochastic volatility of returns. An analytical
  • Does diversification always benefit investors? No. [Alpha Architect]

    Diversification has been around since the early 1950s and is often considered a free lunch in finance. But is that actually the case? Weve highlighted here and here that the reality is more complicated than the theory. Consider the two basic assumptions about correlations in the context of mean-variance optimization: (1) Pair-wise correlations are assumed to be symmetrical relative to
  • Black-Litterman Sector Allocation [Quant Dare]

    Incorporating market expectations and forecasts into asset allocation used to be more of an art than an analytical process in the 80s. In this post we will review Fisher Blacks elegant and very practical solution to portfolio construction, going through a sector allocation example. The Black Litterman Model The BL (Black-Litterman) model can be considered one of the greatest contributions in

Quantocracy’s Daily Wrap for 02/18/2022

This is a summary of links featured on Quantocracy on Friday, 02/18/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Are There Seasonal Intraday or Overnight Anomalies in Bitcoin? [Quantpedia]

    At Quantpedia, we love seasonality effects, and our screener includes several strategies that exploit them. These anomalies are fascinating since they usually offer a favorable risk and reward ratio and are commonly invested only during short periods. Frequently, these strategies are valuable additions to portfolios because they are not that sensitive to overall market performance. This short
  • Factor Investing: Is a Human Capital Factor on the Horizon? [Alpha Architect]

    From 1991 to 2018, capital expenditures as a percentage of total sales remained relatively flat, at about 10 percent. On the other hand, personnel expenses almost doubled during that time. In fact, by 2018 personnel expenses (the costs for hiring, wages, salaries, and bonuses; social security and insurance costs; costs for employee training and development; perquisites like catering and workwear;

Quantocracy’s Daily Wrap for 02/16/2022

This is a summary of links featured on Quantocracy on Wednesday, 02/16/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Internal Bar Strength for Mean Reversion [Alvarez Quant Trading]

    Ive been writing this blog for nine years now. Sometimes I am amazed about topics I have not covered and this is one of them. When developing a new strategy, these are the indicators I likely test: RSI, Historical Volatility and Internal Bar Strength (IBS). I had a reader send me an email pointing me to research done on IBS. I thought let me send him my blog post on this. After searching my

Quantocracy’s Daily Wrap for 02/15/2022

This is a summary of links featured on Quantocracy on Tuesday, 02/15/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Trend-Following Filters Part 5 [Alpha Architect]

    Previous articles in this series examine, from a digital signal processing (DSP) frequency domain perspective, various types of digital filters used by quantitative analysts and market technicians to analyze and transform financial time series for trend-following purposes. An Introduction to Digital Signal Processing for Trend Following Trend-Following Filters Part 1 Trend-Following Filters

Quantocracy’s Daily Wrap for 02/13/2022

This is a summary of links featured on Quantocracy on Sunday, 02/13/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The Inverse Fisher Transform [Financial Hacker]

    The Fisher Transform converts data to or from a Gaussian distribution. It was first used in algorithmic trading by John Ehlers (1) , and became a common part of indicators since then. In a TASC January 2022 article, Ehlers described a new indicator, the Elegant Oscillator, based on the Inverse Fisher Transform. Lets have a look at this indicator and how its used in a trading system. First,

Quantocracy’s Daily Wrap for 02/11/2022

This is a summary of links featured on Quantocracy on Friday, 02/11/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How to Utilize Anticipated ETF Rebalances [Quantpedia]

    Passive investing enjoys substantial popularity and subsequently attracts the attention of researchers. We blogged about the boom of passive investing and market inelasticity in the past. However, the novel research by Li (2021) examines a different perspective. With the boom of passive investing, we are also witnessing a boom of index-tracking mutual funds, but especially index-tracking ETFs. For
  • Naive modelling of Matalan defaulting on its MTNLN 9.5 01/31/24 Notes [Gautier Marti]

    When reading Denevs book Probabilistic Graphical Models A New Way of Thinking in Financial Modelling, commented on my blog back in Summer 2020, I put a note in my todo list to model Matalan probability of default using a Bayesian network (for fun, not work). I was rather familiar with this single name, former member of the iTraxx Crossover index, which had been a target for orphaning (cf.
  • Research Review | 11 February 2022 | Financial Crises [Capital Spectator]

    Financial Cycles Early Warning Indicators of Banking Crises? Sally Chen (Bank for Intl Settlements) and Katsiaryna Svirydzenka (IMF) April 2021 Can the upturns and downturns in financial variables serve as early warning indicators of banking crises? Using data from 59 advanced and emerging economies, we show that financial overheating can be detected in real time. Equity prices and output