This is a summary of links featured on Quantocracy on Thursday, 01/07/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Book from Meb Faber: Invest With The House: Hacking The Top Hedge Funds [Amazon]Picking stocks is hardand competitive. The most talented investors in the world play this game, and if you try to compete against them, its like playing against the house in a casino. Luck can be your friend for a while, but eventually the house wins. But what if you could lay down your bets with the house instead of against it? In the stock market, the most successful large
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Augmented Dickey Fuller (ADF) Test for a Pairs Trading Strategy [Quant Insti]About two weeks ago I decided to attempt to write a blog series on Pairs trading and statistical arbitrage. What I found is that everyone tends to reference the ADF test but I really dont see a lot of posts that explain the test in full. As you read about building a pairs trading strategy there is talk of testing a pair for co-integration and then you learn that they use ADF to do this. However
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Streaming OANDA with python and ZeroMQ [Shifting Sands]I have been looking at its REST API for OANDA, for potential use with an FX trading system I developed. The API has two streaming endpoints, one for prices and one for account events such as trades opening and stuff like that. Asynchronous IO is always a bit fiddly, and I wanted separate processes for incoming tick data and events. This enables them to be managed separately, and generally makes