Quantocracy’s Daily Wrap for 01/02/2023

In the last article, we discussed one advantage of probabilistic forecasts over point forecasts – namely, handling time-to-exceedance problems. In this post, we will examine another limitation of point forecasts: Higher order statistical properties. The ideas will be very familiar to those with a background in mathematics or statistics. Readers without formal training in either will therefore

The relprice Index in the Performance Data table shows the price of the stock relative to the S&P 500 index over a specified period. Lets look at the median relPrice for all stocks that are currently members of the S&P500 index, eliminating any for which the relevant Performance Data is missing: currentSP500 = Select [ allStocks , # [ Symbol Information ] [ SP500 ] && Length [ #

Generally speaking, one of the major attractions of working in the equities space is that the large number of available securities opens up a much wider range of opportunities for the quantitative researcher than for, say, futures markets. The focus in equities tends to be on portfolio strategies since the scope of the universe permits an unparalleled degree of diversification. Single stock

There are two simple ways to enhance FX carry strategies with economic information. The first increases or reduces the carry signal depending on whether relevant economic indicators reinforce or contradict its direction. The output can be called modified carry. It is a gentle adjustment that leaves the basic characteristics of the original carry strategy intact. The second method equalizes

The past decade has seen a dramatic growth in sustainable investingapplying environmental, social and governance (ESG) criteria to investment strategies. Investments considered environmentally friendly are often referred to as green, while brown denotes the opposite. Important questions for investors are: What are the expected returns to green stocks? What does their past