This is a summary of links featured on Quantocracy on Sunday, 01/08/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quantitative Momentum with Jack Vogel (@jvogs02) [Better System Trader]The guest for this episode is Jack Vogel from Alpha Architect, a quantitative asset management and consulting firm. Jack has published a number of papers on SSRN and also co-authored a couple of books including Quantitative Momentum: a practitioners guide to building a momentum-based stock selection system. In our chat with Jack you will hear:
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Seasonalities in Stock Returns [Quantpedia]Existing research has documented cross-sectional seasonality of stock returns the periodic outperformance of certain stocks relative to others during the same calendar month, weekday, or pre-holiday periods. A model based on the differential sensitivity of stocks to investor mood explains these effects and implies a new set of seasonal patterns. We find that relative performance across stocks