Previously, we used Google’s Feedburner to deliver our Daily Wraps via email. Google is dropping that service, so all email followers will be moved over to Follow.it later this week.

I’m expecting this to be a seamless transition apart from Daily Wraps coming from a different email address. If you don’t receive your emails, please take the usual steps of checking your spam folder and marking the Daily Wraps as coming from a safe sender.

Side note: If you follow Quantocracy via RSS (also provided by Feedburner) you will not see a change. Google will continue to support Feedburner RSS feeds for now. I don’t know how long that will last though, so moving forward all new RSS users will use the native WordPress RSS feed.

Read on readers!
Mike @ Quantocracy

Check out our awesome new book library curated by four of the top rated authors in our community:

• Investment Idiocy (Rob Carver):
  General Quantitative Finance, Market History, Hedge Funds, General Programming
• Quant Start (Michael Halls-Moore):
  Python, C++, Financial Math, Quant Jobs & Interviews
• QuantStrat TradeR (Ilya Kipnis):
  R Programming
• Robot Wealth (Kris Longmore):
  Quant Trading, Machine Learning

The General Programming and Market History categories are brand new, and a number of categories have been entirely reworked, particularly General Quant Finance, Python and Financial Math.

I’m very excited to have the subject matter expert in each category doing the curation. Who’s better than Rob on hedge funds, Mike on Python, Ilya on R, or Kris on machine learning? Exactly. A big mahalo gentlemen for your contribution to the Quantocracy community.

[check out the new book library now]

Why the change?

Unfortunately, Jacques Joubert was unable to continue curating the books section due to compliance issues with his new firm. Jacques has made a number of important contributions to this community over the years, and did a yeoman job with the very difficult task of trying to curate such a broad array of books all by himself.

Jacques asked me to pass along this note. Your presence will be sorely missed sir.

I wanted to say a special thank you to Mike for letting me take part in curating the books list on Quantocracy. I have learned a lot whilst putting it together and made many friends along way. Going forward the books list will be curated by several members of our community, many from the “A-team” and I look forward to reading their recommendations.

P.S. For those of you who are left curious, I decided that I would like to lower my overall online presence, and free up some more time to dedicate to my career objectives.

Best Regards
Jacques Joubert

Two bits of site news:

First, after 4+ years of running this site mostly gratis, I’ve decided to dabble in adding advertisements, so expect to begin seeing the first baby steps with a handful of ads from Google. I’ve tried to keep the ads as unobtrusive as possible and my hope is that your reading experience will be essentially unchanged.

On to more fun news, here’s an updated view of where the all the clicks on the mashup went in 2016. The numbers include any site that received at least 500 clicks, but ignore our Twitter, Stocktwits and daily RSS/Email.

I’ve labeled the top 10 recipients. The number in parenthesis represents the number of links we carried from that site, and the % represents the portion of all clicks that that site received.

Alpha Architect remains the top dog at 7.1% of clickthroughs (how they maintain their amazingly consistent publishing schedule I’ll never know).

We’re casting a wide net though. The top 10 recipients together only received about 35% of total clickthroughs. A whopping 117 sites received at least 500 clickthroughs for the year. I’m happy with that. The goal of Quantocracy is to improve not just the quality of work in the quantitative blogosphere (read more), but the quantity as well.

At no point in history has so much good work on these subjects been shared so freely. To all of the denizens of Quantocracy: a big mahalo, gracias, 謝謝 and thank you for helping this community to grow.

And finally, the 5 most clicked links of the year:

1. Machine learning for financial prediction: experimentation with Aronson’s work – part 1 [Robot Wealth]
2. Machine learning for financial prediction: experimentation with Aronson’s work – part 2 [Robot Wealth]
3. Recommended Reading [Robot Wealth]
4. A simple breakout trading rule (pysystemtrade) [Investment Idiocy]
5. Get Rich Slowly [Financial Hacker]

Read on Readers!
Mike @ Quantocracy

It’s been about a year since we launched Quantocracy. Over that time, we’ve sent about 450,000 clickthroughs to sites in the quant community, and that doesn’t even include RSS, Twitter, StockTwits  and Facebook. To all of the denizens of Quantocracy: a big mahalo, gracias, 謝謝 and thank you for helping this community to grow.

But where are all those clicks going? I view this site as “ours” rather than “mine”, so I think a nerd data dump is in order. As we’ve shown previously, we’re rewarding quality by sending a lot more traffic to higher rated links. That’s good, but it’s only part of the story. The chart below shows the % of all clickthroughs, by recipient. I’ve highlighted a couple of important reference points, including the ten top ranked bloggers on the mashup.

Click graph to zoom. We drill down further into these numbers in the second graph at the bottom of the page.

Calculation notes: The number in parenthesis shows the number of links from that recipient. When we launched this site, we backfilled historical links from our old site, The Whole Street. Most of those links essentially never got clicked, so we required a link to be clicked at least 10 times to be included. Links on our blogroll (in the sidebar) were also included. Books in our library (as opposed to our mashup), as well as RSS and all of our social media feeds, were excluded.

Observations:

• We’re spreading the wealth across A LOT of sites. That’s good.
• As previously shown, higher rated links receive the most clickthroughs per link, but in terms of total clickthroughs, quantity often matters more. For example, the three highest rated bloggers on the mashup at the moment: Financial Hacker, Robot Wealth and Turing Finance, who also receive the most clicks per link, are fairly middling in terms of total clickthroughs, because they haven’t posted often.
• As a result, when a blog is both highly rated and posts often (ex. Alpha Architect and Flirting with Models aka “thinknewfound”), they receive an outsized portion of our total clickthroughs (Alpha Architect at 6%…wow).
• The numbers above only show Amazon clickthroughs from our mashup. 75% of clickthroughs to Amazon are from our book library or from the widget in the sidebar. That’s good, as I don’t want books to take up too much valuable real estate on the mashup itself.
• I don’t think that a blogger should conclude from this data simply that they should post more often. There’s real, tangible differences in the “quality” of clickthroughs. Without going into details, I can anecdotally say that a number of top ranked bloggers have found significant offline success as a result of the quality of their workmanship, despite posting infrequently. I think the inverse holds true as well.

And finally, this final chart shows all recipients of at least 0.1% of total clickthroughs (i.e. everything that got a slice of the pie chart above). Some sites may now be defunct. Click to zoom.

Jacques Joubert of Quants Portal, curator extraordinaire of the books at Quantocracy, has collaborated with Robot Wealth to add the humble beginnings of a Machine Learning section to our library.

Denizens of Quantocracy know Robot Wealth well. Within months of launching his blog, RW had already become one of the top rated quant bloggers here at Quantocracy (a feat only matched by Financial Hacker). For a taste of the Robot Master’s brain, check out this brilliant article applying Machine Learning:

http://robotwealth.com/machine-learning-financial-prediction-david-aronson/

RW represents a prototypical example of the quality of workmanship we hope to foster here. RW can be found on his website at RobotWealth.com, or on Twitter at @Robot_Wealth.

Without further ado, the humble beginnings of our Machine Learning library. Have a suggestion for a book to include here? Contact Jacques via LinkedIn, Twitter or email.

Machine Learning with R

An Introduction to Statistical Learning with Applications in R

Applied Predictive Modeling

The Elements of Statistical Learning

Statistically Sound Machine Learning for Algorithmic Trading of Financial Instruments

This is not quant related, but I found it interesting and thought it worth sharing for the benefit of our friends in the blogosphere.

Long-time readers remember that we rebranded this site from The Whole Street to Quantocracy at the start of April, 2015. Although the rebranding included changes to our website, nothing other than our name and profile pic changed on our Twitter feed. Both the subject of our tweets, and the way in which we formed our tweets, remained the same.

But interestingly, look at the impact of the rebranding on the number of new Twitter followers per day (dotted line marks the date of rebranding):

In the seven months before the rebranding, we averaged 1.8 new followers per day or 648/year, but in the seven months after, 5.6 per day or 2038/year. That’s more than a 3-fold increase.

Note that we didn’t see even a remotely similar increase in site traffic, and we didn’t do anything radically different in terms of how we promoted the Twitter feed. In other words, the increase wasn’t the result of pushing more users to Twitter. Rather, it was a change in how the Twitter community perceived our Twitter account.

I realize that I just discovered what any first year marketing major could have told me in two seconds, but as a quant nerd, I tend not to think in these terms. The purist in me says that all that matters is the substance of what we do, but as the numbers clearly show, that’s naive.

If the goal of Quantocracy is to build and support this community of quants, then it’s also my responsibility to consider how I “market” this site. I get the heebeegeebees just using that word, but if a simple branding change means that the next amazing piece from Turing Finance, or Quant Start, or Financial Hacker, or Robot Wealth or any of the other 100+ kick ass quants included on the mashup gets more of the recognition that it deserves, then marketing becomes just as important as the substance of what we do. Lesson learned.

Mike @ Quantocracy

I’m very proud of the following graph.

Below I’ve shown the average number of clickthroughs a link receives from our website (excluding RSS, Twitter and Stocktwits) broken out by the number of votes cast by our readers.

Clearly (and way more starkly than I expected) we’re rewarding quality by pushing more eyeballs to the best work. That was the most important goal of our new site.

There are a lot of factors that affect clickthroughs that aren’t captured here: where a link is placed on the mashup, the amount of time it spends “above the fold”, and our community’s interest in a given blogger or subject. But clearly, voting has a huge impact.

That’s partially because readers are more likely to click on a higher rated link, and it’s partially because they simply get seen more via both the “best links of the week” reports we do every weekend, and the sorted “best of” lists in the menu bar (recent, month, and all time).

All of this highlights the power that you, our reader, has been given. Through your votes, you have the power to impact the entire quant community for the better by encouraging bloggers to write great content.

I launched the first iteration of Quantocracy almost four years ago, but I began following the quant blogosphere long before that, and I submit to you that at no time in history has there been more quality work so easily accessible to traders. I’d like to think that the Quantocracy community played a small part in that.

If you haven’t done so already, register to vote. Once registered, you can choose to remain logged in indefinitely, making voting as simple and painless as possible.

Mike @ Quantocracy

Check out our new books section, curated by Jacques Joubert of Quants Portal.

The backstory:

I wanted to put together a collection of quantitative trading books as deep and wide as our quant mashup.

The problem was that, because of my “get to the point” nature, my reading consists mostly of posts and papers. I don’t have the temperament for the uber long-form. But I recognize that a lot of readers don’t learn the way I do. They benefit more from the degree of focus that only a book can provide.

So I needed to find someone who (a) knows quantitative trading, (b) is well-respected by our readers, (c) is an avid devourer of good ol’ ink and paper, and (d) would be willing to take on such a monumental task out of love for our community (because unfortunately, Amazon links are not going to be paying anyone’s salary anytime soon).

Jacques Joubert of Quants Portal fits that bill perfectly.

Jacques is a quant developer specializing in hedge funds, a top rated contributor to Quantocracy, and a major advocate for this community. He adheres to a strict monthly reading goal of at least two significant books a month, with the breadth and depth I think our readers are looking for.

Check out the fruits of Jacques’ labor, covering everything from quant trading to specific programming languages like R and Python.

I’ve asked Jacques to effectively “own” this section of Quantocracy, so I encourage readers to send your suggestions and comments about books to Jacques directly via LinkedIn, Twitter or email.

Note that when you order a book from Amazon through our site, Amazon throws a few shekels our way. There’s no additional cost to you, and it’s a great way to show your love for Quantocracy.

Check out our new books section, curated by Jacques Joubert of Quants Portal.

Categories: Quant Trading, General Quant Finance, Financial Math, C++, Python, R, Excel/VBA, Quant Jobs & Interviews, Hedge Funds, Our Bloggers

Read on Readers!
Mike @ Quantocracy

Three bits of site news for both readers and bloggers:

• For readers: Our new “filter mashup” feature
• For bloggers: Our policy on voting for your own link and vote padding
• For bloggers: Quantocracy badges

For readers: Our new “filter mashup” feature

Each site on our blogroll in the sidebar to the right now includes the following three icons (if you don’t see a sidebar to the right, it’s because you’re on a mobile or other small screen device):

The house and Twitter icons are (I hope) self-explanatory, taking you to the site itself and the site’s Twitter account.

The magnifying glass in the middle is the new bit of niftiness. It allows readers to filter mashup results to only show links from that particular source. Try the magnifying glass above which has been set to just show links from the site GestaltU. When filtering results, readers can still do all of the same sorting (by ratings, etc.) as on the normal mashup.

We hope that this feature will make it easier for readers to really drill down on bloggers that they find especially interesting.

For bloggers: Our policy on voting for your own link and vote padding

We’ve added the text below to our FAQs, but I wanted to bring it to bloggers’ attention as this has become an issue a few times in recent weeks:

I fully expect each site to vote once for their own link. In other words, every site is allowed one “gamed” account. Creating multiple accounts for the same site for the purpose of inflating votes though is prohibited, and will be punished by our vote management software.

Note that when I say that each “site” is allowed to vote once for their own link, I’m including everyone within an organization. So an office with 100 employees is still only allowed one “gamed” account. This is to ensure that all links have an equal opportunity to be recognized, regardless of whether they come from a large office or a lone blogger.

Our software keys off of a number of factors to flag padded votes, including IP address, geographic region, and voting patterns.

Minor infractions will simply be cancelled out by the system. In more serious cases, I’ll speak directly with the blogger, and if the site continues to pad votes they’ll be dropped from Quantocracy altogether.

Sorry to be such a fascist on this, but it’s important that we protect the sanctity of the voting here.

For bloggers: Quantocracy badges

A number of sites have taken it upon themselves to add their own Quantocracy badge, similar to those provided by Seeking Alpha.

Some sites where I’ve seen the badge off the top of my head: GestaltU, Flirting with Models, CSS Analytics, Turing Finance, and Quant Insti. I am incredibly touched by the gesture folks. This is mostly a thankless job, but moments like these are the fuel that keep the engine burning.

For other sites that wish to do the same, feel free to use the badges included here. The first is 130 x 130 pixels, more or less the same size as the Seeking Alpha badge, and the second is 180 x 180 pixels, the size most of the aforementioned sites used. Both are on a transparent background, and super streamlined (thanks to the awesome tiny png site), so they should play well with most themes.

Read on readers!
Mike @ Quantocracy