This is a summary of links featured on Quantocracy on Sunday, 01/02/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Asset Price Dynamics and Trading Strategy’s PnL Volatility [Relative Value Arbitrage]In a previous post, we discussed how the dynamics of assets are priced in the options prices. We recently came across a newly published article [1] that explored the same topic but from a different perspective that does not involve options. The conclusion of the new article [1] is consistent with the previous one [2]; that is, the volatilities of mean-reverting assets are smaller than those of
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Top Ten Blog Posts on Quantpedia in 2021 [Quantpedia]As usual, at this time of the year, let us do a short recapitulation of posts on our blog in the previous 12 months. We have published nearly 70 short analyses of academic papers and our own research articles on this blog in 2021. We want to use this opportunity to summarize 10 of them, which were the most popular (based on the Google Analytics tool). Maybe you will be able to find something you