Quantocracy

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Quantocracy’s Daily Wrap for 09/01/2016

This is a summary of links featured on Quantocracy on Thursday, 09/01/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tactical Asset Allocation Performance in August [Allocate Smartly]

    This is a summary of the recent performance of a number of excellent asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. They range from simple, static portfolio allocations, to complex and dynamic portfolio optimization. Read more about our backtests and what we do. Recent Performance of Asset Allocation Strategies Use the Arrows to Sort
  • No Signal [Automated Trader]

    NO SIGNAL is a regular column where we examine various snafus in the trading, particularly the automated trading, world. We look at errors in application logic, mistakes by overzealous co-workers, failures in technology and temporary losses of power to both infrastructure as well as craniums. These all make for good stories that everyone can alternatively either learn from or be amused by. If you
  • Multivariate Volatility Forecast Evaluation [Eran Raviv]

    The evaluation of volatility models is gracefully complicated by the fact that, unlike other time series, even the realization is not observable. Two researchers would never disagree about what was yesterdays stock price, but they can easily disagree about what was yesterdays stock volatility. Because we dont observe volatility directly, each of us uses own proxy of choice. There are many
  • What is Quantler? [Quantler]

    WHAT IS QUANTLER? Quantler is an open source cloud-based trade automation software designed for individual traders of FX and CFDs. Our goal is to help individual traders optimize their trading performance through innovative but simple-to-use trading technology. Quantler makes it easy to build your own trading algorithms or work from a number of preset trading strategy templates. Unique is our

Quantocracy’s Daily Wrap for 08/31/2016

This is a summary of links featured on Quantocracy on Wednesday, 08/31/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Time Series Momentum and Volatility Scaling [Alpha Architect]

    There is a new paper published in the Journal of Financial Markets that digs a bit deeper into the Moskowitz, Ooi, and Pedersen Time Series Momentum paper (some background here). ts paper The paper is behind a pay firewall, but luckily there is a 4 part lecture by the authors explaining the key results: #1: https://www.youtube.com/watch?v=2akXA5y2Abw #2:

Quantocracy’s Daily Wrap for 08/30/2016

This is a summary of links featured on Quantocracy on Tuesday, 08/30/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Dynamic Hedge Ratio Between ETF Pairs Using the Kalman Filter [Quant Start]

    A common quant trading technique involves taking two assets that form a cointegrating relationship and utilising a mean-reverting approach to construct a trading strategy. This can be carried out by performing a linear regression between the two assets (such as a pair of ETFs) and using this to determine how much of each asset to long and short at particular thresholds. One of the major concerns

Quantocracy’s Daily Wrap for 08/29/2016

This is a summary of links featured on Quantocracy on Monday, 08/29/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Uncertain Alpha [Flirting with Models]

    SUMMARY We have previously discussed many problems associated with the measurement of alpha. Measurement uncertainty, the choice of model risk factors, and the analysis timeframe can all have significant impacts on the calculation and applicability of alpha, and investors are often hard-pressed to obtain sufficient information surrounding the calculation methods. These problems can be exacerbated

Quantocracy’s Daily Wrap for 08/26/2016

This is a summary of links featured on Quantocracy on Friday, 08/26/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • March for the Fallen. Come Join the Alpha Architect Team! [Alpha Architect]

    Looking for a great challenge on a Saturday morning on September 24th? 2016-08-26 14_58_14-March for the Fallen Come join some members of the Alpha Architect team and our tribe of friends/clients when we take part in the March for the Fallen on Saturday, September 24, 2016. Were aiming to take on the individual effort 28 mile + 35lb rucksack challenge, but there are other versions for
  • Research Review | 26 August 2016 | The Business Cycle [Capital Spectator]

    Do Stock Market Trading Activities Forecast Recessions? Ujjal Chatterjee (University of Wisconsin-Milwaukee, American University of Sharjah) August 9, 2016 This paper re-examines the existing recession forecasting models with stock market liquidity as an additional forecasting variable. We investigate three distinct aspects of stock market trading activities, namely stock market liquidity, returns

Quantocracy’s Daily Wrap for 08/25/2016

This is a summary of links featured on Quantocracy on Thursday, 08/25/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tactical Asset Allocation Software [Meb Faber]

    I used to update an old post on free data sources and stock screeners for investors. I thought Id summarize a handful of websites that focus on tactical asset allocation software, tools, and backtesters. For a long time I was going to build this on tacticalassetallocation.com, but there are now lots of resources here so we just make our Excel sheet available on The Idea Farm. In no particular
  • Cesar’s Ask Me Anything Webinars [Alvarez Quant Trading]

    To those on my new blog notification list, I sent out the opportunity to join me in a one hour webinar where people could ask me anything about trading. I had a ton of fun answering lots of great questions. See the bottom of the post for links to download the mp3 files of the webinars. Some questions, I answered are: What types of strategies are you trading? How long a period of underperformance
  • Managed Futures: Understanding a Misunderstood Diversification Tool [Alpha Architect]

    In my two previous blog posts (here and here), I analyze the performance of bonds during really bad months for US stocks (Crisis Alpha months), and I analyze the performance of US stocks during really bad months for US bonds. A quick summary of the results from those prior studies: Bonds have historically provided some diversification benefit during bad months for stocks. Bonds have

Quantocracy’s Daily Wrap for 08/24/2016

This is a summary of links featured on Quantocracy on Wednesday, 08/24/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tactical Asset Allocation Performance in July [Allocate Smartly]

    This is a summary of the recent performance of a number of excellent asset allocation strategies. These strategies are sourced from books, academic papers, and other publications. They range from simple, static portfolio allocations, to complex and dynamic portfolio optimization. AllocateSmartly is still its early days, so expect to see this list grow in the months and years ahead. Read more about

Quantocracy’s Daily Wrap for 08/23/2016

This is a summary of links featured on Quantocracy on Tuesday, 08/23/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The folly of panic selling [Mathematical Investor]

    Mark Hulbert has compiled an interesting list of recent market panics: August 2015: Concerns about the Chinese economy and stock market led to panic selling, with the Shanghai index plunging 8.5% in one day. Soon after in the U.S., on August 24, 2015, the DJIA plunged over 1,000 points in just a few minutes, its most precipitous drop ever, ending the day down 588 points, its worst one-day loss in
  • Client -1- Intro [Algorythmn Trader]

    After I covered some basics about WCF Services and setup a server, we need to connect a client. In this post I want explain a little more the overall design philosophy. Than in followup posts we come closer to coding and bring it all up. First, lets talk about some basic design stuff. There are many choices and crossroads when it comes to front end design. The first and most important choice is
  • Equity Anomalies Persist in International Markets [Quantpedia]

    Motivated by McLean and Pontiff (2016), we study the pre- and post-publication return predictability of 138 anomalies in 39 stock markets. Based on more than a million anomaly country-months, we find that the United States is the only country with a statistically significant and economically meaningful post-publication decline in long/short returns. The surprisingly large differences between the