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Quantocracy’s Daily Wrap for 03/26/2021

This is a summary of links featured on Quantocracy on Friday, 03/26/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • More on the Factor Investing Replication Debate [Alpha Architect]

    There has been a wave of articles (and press) suggesting that academic research suffers from a replication crisis. A replication crisis simply means that other researchers are unable to replicate the results from prior research using similar experimental conditions. Psychology seems to be the field that has received the most scrutiny, but financial economics has also received criticism.
  • New Feature: Optimized Model Portfolios [Allocate Smartly]

    We track more than 60 Tactical Asset Allocation strategies. Members can combine those strategies into what we call Model Portfolios. Combining strategies in this way reduces the risk of any single strategy going off the rails and helps to provide smoother, more consistent investment returns. But deciding which strategies to trade in your Model Portfolio and how much to allocate to each can
  • Democratize Quant Conference Recap and Materials [Alpha Architect]

    COVID is killing conference mojo overall, but we were able to host a short and sweet Democratize Quant conference this morning. The speakers were terrific and I personally learned a lot from them. This post is a recap of what we heard and some resources we can make available to the public. Session 1: State of the Asset Management Industry (with a focus on the ETF aspect) We started the day

Quantocracy’s Daily Wrap for 03/24/2021

This is a summary of links featured on Quantocracy on Wednesday, 03/24/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • In Search of Lost Covered Interest Parity [Quant Dare]

    The puzzle of Covered Interest Parity (CIP) began in 2008 and has remained as such for many years. There have been multiple attempts to solve the mystery but none of them has reached a complete consensus and the debate is still ongoing. Nevertheless, the discussion has lead to a fair amount of interesting insights. CIP is one of the backbones of international finance and the basic tool for FX

Quantocracy’s Daily Wrap for 03/23/2021

This is a summary of links featured on Quantocracy on Tuesday, 03/23/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Is There a Replication Crisis in Finance? [Alpha Architect]

    In recent years the field of empirical finance has faced challenges from papers arguing that there is a replication crisis because the majority of studies cannot be replicated and/or their findings are the result of multiple testing of too many factors. For example, Paul Calluzzo, Fabio Moneta, and Selim Topaloglu, authors of the 2015 study When Anomalies Are Publicized Broadly, Do Institutions

Quantocracy’s Daily Wrap for 03/22/2021

This is a summary of links featured on Quantocracy on Monday, 03/22/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Modelling Slippage for Limit Orders using Adaptive KDE-based Loss Severity Distribution [Quant at Risk]

    Placing limit orders for trade execution is both quite popular and handy method in (algo)trading. A trader expects that the executed price of his buy/sell trade will ideally match the one requested in his limit order. Unfortunately, depending on a momentary market/asset liquidity, the difference between both prices can vary or vary significantly. This difference, by many known as an executed
  • An Economic Framework for ESG Investing [Alpha Architect]

    The 2018 Global Sustainable Investment Review reports over $30 trillion invested with explicit ESG goals as of the beginning of 2018. In the words of the authors: There is a clear tendency for many investors to own ethical companies in a saintly effort to promote good corporate behavior while hoping to do so in a guiltless way that does not sacrifice returns. To empower future investors in the ESG
  • Building a real-time market distress index [SR SV]

    A new Fed paper explains how to construct a real-time distress index, using the case of the corporate bond market. The index is based on metrics that describe the functioning of primary and secondary markets and, unlike other distress measures, does not rely on prices and volatility alone. Thus, it includes issuance volumes and issuer characteristics on the primary side and trading volumes and

Quantocracy’s Daily Wrap for 03/21/2021

This is a summary of links featured on Quantocracy on Sunday, 03/21/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Conditional Volatility Targeting [Alpha Architect]

    Financial economists have long known that volatility and returns are negatively correlated. Fischer Black documented this in his 1976 paper Studies of Stock Price Volatility Changes. This relationship results in the tendency to produce negative equity returns in times of high volatility. In addition, the research, including the 2017 study Tail Risk Mitigation with Managed Volatility
  • Research Review | 19 March 2021 | Forecasting [Capital Spectator]

    Predictable Financial Crises Robin Greenwood (Harvard University), et al. March 2021 Using historical data on post-war financial crises around the world, we show that crises are substantially predictable. The combination of rapid credit and asset price growth over the prior three years, whether in the nonfinancial business or the household sector, is associated with about a 40% probability of

Quantocracy’s Daily Wrap for 03/17/2021

This is a summary of links featured on Quantocracy on Wednesday, 03/17/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • 4 simple ways to label financial data for Machine Learning [Quant Dare]

    We have seen in previous posts what is machine learning and even how to create our own framework. Combining machine learning and finance always leads to interesting results. Nevertheless, in supervised learning, it is crucial to find a set of appropriate labels to train your model. In todays post, we are going to see 3 ways to transform our data into a classification problem and 1 to transform
  • How to Predict Stock Returns (using a simple model) [Alpha Architect]

    Jack Bogle, the founder of Vanguard, created a simple explanation for predicting future stock returns. The so-called Occams razor (law of parsimony) approach is an attempt to explain projected returns as simple as possible. Mr. Bogles model is pretty simple: Expected returns (nominal, annualized over the next 10 years) = Starting Dividend Yield + Earnings Growth rate + Percentage

Quantocracy’s Daily Wrap for 03/16/2021

This is a summary of links featured on Quantocracy on Tuesday, 03/16/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 03/15/2021

This is a summary of links featured on Quantocracy on Monday, 03/15/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Introduction to Sell-Off Analysis for Crypto-Assets: Triggered by Bitcoin? [Quant at Risk]

    They say that small fishes buy and sell driven by unstable waters but only big whales make the waves really huge. Recently, this quite popular phrase, makes sense when it comes to cryptocurrency trading influenced by sudden dives of the Bitcoin price. The strategies of buying and selling executed by the whales, often referred to as the institutional buying/selling, may differ in their
  • How to Measure the Liquidity of Cryptocurrency? [Alpha Architect]

    n January 2020, trading in bitcoin exceeded $930 billion and has certainly grown over the past year. Unlike nearly any other asset, bitcoin can be traded 24 hours a day, 7 days a week on trading platforms around the globe. While trading cryptocurrencies has become relatively frequent, the high number of exchanges combined with the lack of regulated data makes determining the liquidity of these
  • Hierarchical Clustering in Python [Quant Insti]

    With the abundance of raw data and the need for analysis, the concept of unsupervised learning became popular over time. The main goal of unsupervised learning is to discover hidden and exciting patterns in unlabeled data. The most common unsupervised learning algorithm is clustering. Applications for cluster analysis ranges from medical to face recognition to stock market analysis. In this blog,

Quantocracy’s Daily Wrap for 03/12/2021

This is a summary of links featured on Quantocracy on Friday, 03/12/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Activate sigmoid! [OSM]

    In our last post, we introduced neural networks and formulated some of the questions we want to explore over this series. We explained the underlying architecture, the basics of the algorithm, and showed how a simple neural network could approximate the results and parameters of a linear regression. In this post, well show how a neural network can also approximate a logistic regression and
  • Z-Score Factor Portfolio Weighting [Philipp Kahler]

    Factor investing has been around for some years and has shown to be a valid concept for portfolio strategies. Usually the investor selects a few factors and then goes long the 10% of stocks with the highest factors and goes short (if he wants to trade delta neutral) the 10% of stocks with the lowest factors. But I think this approach misses a lot of performance, so I would like to show you a

Quantocracy’s Daily Wrap for 03/09/2021

This is a summary of links featured on Quantocracy on Tuesday, 03/09/2021. To see our most recent links, visit the Quant Mashup. Read on readers!

  • An Introduction to Volatility Targeting [Quantpedia]

    One of the most popular reports in the Portfolio Analysis section of our Quantpedia Pro tool is Volatility Targeting. In this article, we will explain some theory behind this portfolio management method. And then, we will go more in-depth, pick several examples and explain some common volatility targeting variants. Introduction Volatility is the most common risk metric of a stock. The main