This is a summary of links featured on Quantocracy on Thursday, 01/05/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Scream if you want to go faster [Investment Idiocy]Happy new year. I didn't post very much in 2022, because I was in the process of writing a new book (out in April!). Save a few loose ends, my work on that project is pretty much done. Now I have some research topics I will be looking at this year, with the intention of returning to something like a monthly posting cycle. To be clear this is *not* a new years resolution, and therefore is
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Which System Has The Lowest Risk of Ruin? [Relative Value Arbitrage]Would you rather choose a trading system that wins small amounts most of the time but when it loses, the loss is big? Or would you rather choose a trading system that loses small amounts most of the time but when it wins, the gain is big? In this blog post, we will examine such systems from the risk of ruin perspective. The risk of ruin is the probability of an investors eventual bankruptcy due
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Optimal Trend Following with Transaction Costs [Alpha Architect]Despite the widespread popularity of trend-following investing, little is known about optimal trend-following with transaction costs. A few existing studies consider this question using a continuous-time model within the stochastic optimal control theory framework. However, despite being theoretically the most appropriate, this approach makes the problem intractable analytically, and the numerical