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Quantocracy’s Daily Wrap for 09/14/2022

This is a summary of links featured on Quantocracy on Wednesday, 09/14/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • NEW Contributor: Multivariate GARCH with Python and Tensorflow [Sarem Seitz]

    In an earlier article, we discussed how to replace the conditional Gaussian assumption in a traditional GARCH model. While such gimmicks are a good start, they are far from being useful for actual applications. One primary limitation is the obvious restriction to a single dimensional time-series. In reality, however, we are typically dealing with multiple time-series. Thus, a multivariate GARCH
  • Optimal Allocation to Cryptocurrencies in Diversified Portfolios [Artur Sepp]

    Cryptocurrencies have been acknowledged as an emerging asset class with a relatively low correlation to traditional asset classes. One of the most important questions for allocators is how much to allocate to Bitcoin and to a portfolios cryptocurrency assets within a broad portfolio which includes equities, bonds, and other alternatives. I wrote a research paper addressing this questions. I will
  • Analyzing U.S. election cycle seasonality in the S&P 500 [Quant Dare]

    Everyone is aware of the importance of the U.S. elections and we take it for granted that, like many other things, financial markets will end up being affected in some way. But have you ever wondered if there is any seasonality throughout those elections that we can take advantage of when making investment decisions? Lets find out! Introduction The following charts show the historical evolution
  • Momentum – a separate factor or does it subsume stock risk? [Alpha Architect]

    Breaking new ground, the authors present a novel view on the nature and source of momentum that differs from our current understanding of momentum, whether it be industry momentum, residual, or any other version of momentum. Explanations of the source of profitability for momentum strategies have traditionally relied on behavioral biases on the part of investors, time-varying risk premiums,

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 09/11/2022

This is a summary of links featured on Quantocracy on Sunday, 09/11/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Slava Ukraini! Latest from Quantocracy contributor in Ukraine: Bloomberg-Columbia Machine Learning in Finance Workshop 2022 [Only Vix]

    On September 23rd Columbia U will hold its annual ML in Finance workshop. Event link. Registration link. Topics include robust portfolio construction, NLP-clustering, novel computational technique for online PCA, deep learning for statistical arbitrage (equities) and futures (momentum, mr ), both using transformers. When I lived in NYC I went there every year, and I highly recommend everyone who

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 09/09/2022

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

  • Own a Part of QuantConnect [Quant Connect]

    Today were launching the next step of our journey. Were proud to be opening ownership of QuantConnect to our community. We want to align our investors and users to continue pioneering as the worlds leading cloud quantitative analytics platform. With more than 210,000 engineers, quants, traders, and scientists in the community we believe you are our best partners going forward. The world
  • Brand Values and Long-Term Stock Returns [Alpha Architect]

    Despite the fact that a companys internally generated intangible investments create future value, (Summary) under current U.S. generally accepted accounting principles, internally developed intangibles are not included in reported assets. While research and development (R&D) is an important intangible asset, so too is branding. Omission of an increasingly important class of assets reduces

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 09/08/2022

This is a summary of links featured on Quantocracy on Thursday, 09/08/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Bootstrap Simulation with Portfolio Optimizer: Usage for Financial Planning [Portfolio Optimizer]

    In statistics, a bootstrap method, also called bootstrapping, is a compute-intensive procedure that allows to estimate the distribution of a statistic through repeated resampling from a single observed sample of data1. Bootstrapping has several applications in quantitative finance, for example to test the robustness of a trading strategy, to compute a portfolio value at risk, etc. In this post, I
  • Self-organizing maps for an investment strategy [Quant Dare]

    In a previous post, we explained how self-organizing maps work, with a very simple example. In this post, we will explain how to implement self-organizing maps for an investment strategy. Last time, we gave a simple example with a map of colors to explain in detail how self-organizing maps (SOM) work. As we saw, similar colors tend to stick together. As such, we may use this algorithm for some
  • Mirror, Mirror on the Wall, Which is the Fairest Benchmark of Them All? [Factor Research]

    Evaluating manager performance is difficult as it requires an appropriate benchmark The managers benchmark selection is often not objective given conflicts of interests Factor exposure analysis can be used to systematically identify the best benchmark INTRODUCTION Although information asymmetries have largely disappeared in capital markets, there are plenty found in the asset management

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 09/02/2022

This is a summary of links featured on Quantocracy on Friday, 09/02/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Automated Trading Edge Analysis [Quantpedia]

    Have you ever wondered if your trading asset trends or mean-reverts? Everyone involved in trading or investments daily solves the task of What trading strategy should I apply to my assets to generate profits? As always, we at Quantpedia will try to help you a bit with this never-ending task with our new tool/report, which will be unveiled next week for all Quantpedia Pro subscribers. The
  • How You Sort Matters in Sorting Factor Portfolios [Alpha Architect]

    In Your Complete Guide to Factor-Based Investing, Andrew Berkin and I established criteria that must be met before considering investing in a factor-based strategy. We established the criteria to minimize the risks that any findings were the result of data-mining exercises. Data mining occurs when, instead of beginning with a hypothesis, researchers torture the data until it confesses.
  • Research Review | 2 Sep 2022 | Trading Costs and Market Frictions [Capital Spectator]

    The Avoidable Costs of Index Rebalancing Robert D. Arnott (Research Affiliates), et al. May 2022 Traditional capitalization-weighted indices generally add stocks with high valuation multiples after persistent outperformance and sell stocks at low valuation multiples after persistent underperformance. For the S&P 500 Index, in the year after a change in the index, additions lose relative to

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 08/29/2022

This is a summary of links featured on Quantocracy on Monday, 08/29/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Bold Asset Allocation [Allocate Smartly]

    This is a test of Dr. Wouter Kellers tactical strategy Bold Asset Allocation (BAA) from his paper Relative and Absolute Momentum in Times of Rising/Low Yields. Backtested results from 1970 follow. Results are net of transaction costs see backtest assumptions. Learn about what we do and follow 60+ asset allocation strategies like this one in near real-time. Logarithmically-scaled.
  • What s wrong with Inverse ETFs? [Factor Research]

    Inverse ETFs come with significant risk disclosure Analyzing the performance of these products justifies the warnings There is a significant difference between performance of inverse ETFs & the inverse underlying indices INTRODUCTION In May 2022, Allianz, the large German insurance company, agreed to pay $6 billion in damages to investors and have its U.S. asset management arm plead guilty to

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 08/28/2022

This is a summary of links featured on Quantocracy on Sunday, 08/28/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Don’t append rows to a pandas DataFrame [Wrighters.io]

    Most pandas users encounter a situation where choosing to append rows to a pandas DataFrame seems like a good idea. A quick search of the API (or your favorite search engine) reveals that pandas has an append method in DataFrame. You may be tempted to use it. In this article Ill show you why you should not use append, how you should grow your DataFrame, and a tip to make it faster. Since pandas
  • Are There Intraday and Overnight Seasonality Effects in China? [Quantpedia]

    At the moment, there is a lot of attention surrounding overnight anomalies in various types of financial markets. While such effects have been well documented in research, especially in US equities and derivatives, there are other asset classes that are not as well addressed. We previously compiled the most influential studies and built strategy upon them and also examined if similar

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 08/24/2022

This is a summary of links featured on Quantocracy on Wednesday, 08/24/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Computation of Theory-Implied Correlation Matrices [Portfolio Optimizer]

    In this short post, I will provide an overview of the TIC algorithm1 introduced by Marcos Lopez de Prado in his paper Estimation of Theory-Implied Correlation Matrices2, which aims to compute a forward-looking asset correlation matrix blending both empirical and theoretical inputs. I will also describe the associated implementation tweaks in Portfolio Optimizer. Notes: A Google sheet corresponding

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 08/23/2022

This is a summary of links featured on Quantocracy on Tuesday, 08/23/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Probabilistic programming in finance: a robust Sharpe ratio estimate [Artifact Research]

    In this post, we will develop a time-varying, probabilistic extension of the Sharpe ratio as a widely used performance metric for financial assets. In particular, we devise a Bayesian regime-switching model to capture different market conditions and infer the full distribution the Sharpe ratio as it changes over time using the probabilistic programming framework bayesloop. We show that by focusing
  • Forecasting Market Indices Using Stacked Autoencoders and LSTM [Jonathan Kinlay]

    The stem paper for this post is: Bao W, Yue J, Rao Y (2017) A deep learning framework for financial time series using stacked autoencoders and long-short term memory. PLoS ONE 12(7): e0180944. https://doi.org/10.1371/journal.pone.0180944 The chief claim by the researchers is that 90% to 95% 1-day ahead forecast accuracy can be achieved for a selection of market indices, including the S&P500
  • Long Volatility versus Tactical Asset Allocation [Factor Research]

    Long volatility strategies are attractive diversifiers, but complex and not easily accessible Tactical asset allocation for equities may be considered as an alternative There is no clear winner between these two options INTRODUCTION Risk management in portfolio construction is primarily achieved via diversification or rules-based frameworks. The former simply means combining asset classes that
  • Is Relative Sentiment an Anomaly? [Alpha Architect]

    Relative sentiment is an indicator that measures the positions, flows, and attitudes of institutional investors compared to those of individual investorswhere institutions typically consist of large asset managers, insurance companies, pension funds, and endowments. In some instances, howeverdepending on the dataset and the asset class under considerationinstitutions might also include

Filed Under: Daily Wraps

Quantocracy’s Daily Wrap for 08/18/2022

This is a summary of links featured on Quantocracy on Thursday, 08/18/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Value and momentum yes, size and CAPM no [Klement on Investing]

    In recent weeks, I have probably ODed my readers with philosophical and highbrow topics. Whether it was my Hitchhikers Guide to Investment Research or yesterdays post on the Fiscal Theory of the Price Level. Since this is my last post before my summer break, I wanted to bring it down to earth and do some good old-fashioned testing of investment returns. I have been going on about the
  • Alpha from Short-Term Signals [Alpha Architect]

    In Your Complete Guide to Factor-Based Investing Andrew Berkin and I provided six criteria that had to be met in order to determine which exhibits in the factor zoo are worthy of investment. For a factor to be considered, it must meet all of the following tests. To start, it must provide explanatory power to portfolio returns and have delivered a premium (higher returns). Additionally,

Filed Under: Daily Wraps

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