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Quantocracy’s Daily Wrap for 08/03/2021

This is a summary of links featured on Quantocracy on Tuesday, 08/03/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Distance Approach in Pairs Trading: Part II [Hudson and Thames]

    We have discussed Basic Distance Approach in the previous blog post. In this post, well look into one of the advanced methods in the Distance Approach and its differences to the Basic Distance Approach. If you havent read the previous blog post, we recommend reading it before you read this post: Introduction to Distance Approach in Pairs Trading: Part I Pearson Correlation Approach So, what

Quantocracy’s Daily Wrap for 08/02/2021

This is a summary of links featured on Quantocracy on Monday, 08/02/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A quick example on using next day open-to-open returns for Tactical Asset Allocation [QuantStrat TradeR]

    First off, for the hiring managers out there, after about a one-year contracting role at Bank of America doing some analytical reporting coding for them in Python, I am on the job market. Feel free to find my LinkedIn here. This post will cover how to make tactical asset allocation strategies a bit more realistic with regards to execution. That is, by using next-day open-to-open rather than
  • Building a Long Volatility Strategy without Using Options [Factor Research]

    Long volatility strategies can be built without using options Portfolios would have primarily consisted of certain currency pairs and treasury bonds They lack explosive returns when volatility spikes, but they also lack the bleed INTRODUCTION Almost all asset classes are implicitly short volatility as they are bets on the economy doing well. Occasionally there are periods like during the tech
  • Factor Investing and International Markets [Alpha Architect]

    nternational markets have been a fertile testbed for factor research because they offer an opportunity to test old ideas on new data. Much of the previous work studying factor structure and risk premia in international markets uses highly aggregated test assets, such as country portfolios, industry portfolios, or style portfolios. In this paper, the authors propose a methodology customized for

Quantocracy’s Daily Wrap for 08/01/2021

This is a summary of links featured on Quantocracy on Sunday, 08/01/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 07/29/2021

This is a summary of links featured on Quantocracy on Thursday, 07/29/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A Personal Portfolio Allocation Approach [Open Source Quant]

    My experience in financial markets to date has mostly been related to trading and investment banking. From executing index arbitrage and various other strategies, to product managing a team building execution algorithms for automating strategies which minimize market impact and make relative and conditional trading decisions. More recently, post a move to Canada from South Africa, I have had the
  • Five Small Shards of Insight Hidden in Data [Quantpedia]

    Around a month ago, we launched a series of short videos called Quantpedia Explains, in which we plan to show and explain some of the themes out of quantitative finance that we think are worth mentioning. We have started with a quick intro to individual Quantpedia Pro reports, and now, we have expanded our content with a series of short case study articles. Each article uses one Quantpedia
  • Pricing Deribit Options [Tr8dr]

    We have been working on some option strategies and wanted to get a sense of how well BTC and ETH options are priced on Deribit, i.e. is there a substantial IV premium over realized volatility or are options fairly priced. At first glance, based on the documentation, it seemed that Deribit options were Europeans on spot or spot equivalent. On closer inspection, however, and with some follow-ups
  • The Benefits of Sin Stocks [Alpha Architect]

    While environmental, social, and governance (ESG) investing continues to gain in popularity, economic theory suggests the share prices of sin businesses (typically those involved in the gambling, tobacco, alcohol, guns, and defense industries) will become depressed if a large enough proportion of investors choose to avoid themthe shunned-stock hypothesis. Such stocks would have a

Quantocracy’s Daily Wrap for 07/28/2021

This is a summary of links featured on Quantocracy on Wednesday, 07/28/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • March for the Fallen 2021: Detailed Logistics Outline and What to Expect [Alpha Architect]

    March for the Fallen (#MFTF) will happen on September 25, 2021. COVID can't kill the event this year! Action Item: Please let us know your trip details so we can support you as much as possible. Here are the links to prior updates if you'd like to review: Footwear and foot care Uniform/Gear Nutrition Secret Weapons My personal travel plan this year (hope to see many of you at both
  • 7 Things I’ve learned about trading from the industry’s smartest people [Tradologics]

    The first (annual) Algo Trading Summit was a huge success! Over 2,500 registered for the event, with an average of 500 people watching the live stream at any given moment and, so far, the video recordings have over 5,000 views. Not too shabby. In this post, I want to share and summarize some of my takeaways from the event. I would love to know what you think about these takeaways. Let me know

Quantocracy’s Daily Wrap for 07/27/2021

This is a summary of links featured on Quantocracy on Tuesday, 07/27/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Intro to Partial Sample Regression [Hudson and Thames]

    Ordinary least squares (OLS) regression is probably the most commonly used statistical method in quantitative finance (and likely in other quantitative fields). It is very fast to compute, and the results are often quite interpretable. Due to its simplicity, it serves as the cornerstone for many more complex statistical or machine learning models. Also, it has been studied so thoroughly
  • Residualization of Risk Factors: Examples and Pitfalls [Portfolio Optimizer]

    The most common approach to measuring portfolio (risk) factor exposures is linear regression analysis, which describes the relationship between a dependent variable – portfolio returns – and explanatory variables – factors – as linear. One of the outputs of this analysis are the partial regression coefficients, also known as the betas ( ). Each one of them measures the expected change in the
  • “Low-effort Trading Strategies” with Cesar Alvarez (@AlvarezQuant) [Better System Trader]

    Algorithmic trader Cesar Alvarez from Alvarez Quant Trading joins us to discuss low effort trading strategies, including: An explanation of rotational trading and the benefits/challenges of using rotational strategies, Why rotational trading is a fantastic way to diversify time (and also get to trade lazy), How often to rebalance and the impacts of the day you choose to rebalance, Ranking

Quantocracy’s Daily Wrap for 07/26/2021

This is a summary of links featured on Quantocracy on Monday, 07/26/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Test and Trade RSI Divergence in Python [Raposa Trade]

    Divergences occur when price and your indicator move in opposite directions. For example, youre trading with the RSI and it last had a peak at 80, now it peaks at 70. The underlying security youre trading was at $14 when RSI hit 80, and now hits a new peak at $18. This is a divergence. Traders will refer to the price as reaching a higher high and the RSI as a lower high because
  • Digital Asset ETFs: Not Crypto Enough? [Factor Research]

    Digital asset ETFs have outperformed tech stocks in recent years However, they provide no exposure to cryptocurrencies Their returns are explained by market beta and equity factors INTRODUCTION Cathie Wood, the founder and CEO of Ark Invest, an ETF manager, is the latest entrant to launching a Bitcoin ETF in the US. The Winklevoss twins of Facebook fame have been trying this for years, but have
  • The Role of Book-to-Market in Bond Returns [Alpha Architect]

    My August 17, 2020, article for Advisor Perspectives, Factor-Based Investing Beats Active Management for Bonds, provided the evidence from a series of academic papers on the ability of common factors to explain the variation of returns of bond funds, results which have important implications for investors in terms of portfolio construction, risk monitoring, and manager selection. Following
  • Accounting data as investment factors [SR SV]

    Corporate balance sheet data are important building blocks of quantitative-fundamental (quantamental) investment factors. However, accounting terms are easily misunderstood and confused with economic concepts. Accounting is as much driven by assessment of risk as it is by economic value. For example, earnings are recognized only when receipt of cash is highly certain. Investment spending is

Quantocracy’s Daily Wrap for 07/22/2021

This is a summary of links featured on Quantocracy on Thursday, 07/22/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Growth Trend Timing With US Stocks [Decoding Markets]

    Im always on the lookout for interesting ways to time the market. Using a market timing model can help to avoid painful bear markets and indicate when is a good time to buy stocks. Recently, I was looking at some of the strategies on Allocate Smartly and came across one called Growth Trend Timing. Growth Trend Timing was originally created by Jesse Livermore from Philosophical Economics. (Not
  • 4 Simple Strategies to Trade Bollinger Bands [Raposa Trade]

    Bollinger Bands have been a popular indicator by traders since they were invented in the early 1980s. Theyre calculated in four, easy steps and are intended to provide traders an idea of the price range of a security. We can use these to develop a number of different algorithmic strategies to test. Below, we walk through 4 different trading strategies relying on the bands for mean reversion

Quantocracy’s Daily Wrap for 07/21/2021

This is a summary of links featured on Quantocracy on Wednesday, 07/21/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Beyond linear: the Extended Kalman Filter [Quant Dare]

    Although linear systems are pretty convenient at many levels, many real world applications cannot rely in this assumption. The Extended Kalman Filter can deal with these nonlinearities in a simple way. Learn how in this post. Introduction In the 1960s, Rufold E. Kalman codeveloped one of the most important and used algorithms of the 20th century: the Kalman Filter [6][7]. The Kalman Filter is an

Quantocracy’s Daily Wrap for 07/20/2021

This is a summary of links featured on Quantocracy on Tuesday, 07/20/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Stock Market Data And Analysis In Python [Quant Insti]

    Are you looking to get stock market data and analyse the historical data in Python? You have come to right place. After reading this, you will be able to: Get historical data for stocks Plot the stock market data and analyse the performance Get the fundamental, futures and options data For easy navigation, this article is divided as below. How to get Stock Market Data in Python? How to get Stock
  • Factor Investing in Sovereign Bond Markets: 221 years of evidence! [Alpha Architect]

    Despite government bonds being one of the major asset classes invested in global portfolios, 30% of overall market capitalization according to Doeswijk, et al. (2020), little work has been done to investigate whether factors are present in the sovereign bond market. (Here is a deep dive into fixed income factors by Ward). If factors are indeed present in the sovereign bond market do they add value