This is a summary of links featured on Quantocracy on Monday, 01/09/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Asymmetry of Reaching for Yield at Low Spreads [EconomPic]Bloomberg Gadfly's Lisa Abramowicz (follow her on twitter here) outlined in a recent piece The Credit Boom that Just Won't Die the insatiable demand for investment grade credit. Last month, bankers and investors told Bloomberg's Claire Boston that they expected U.S. investment-grade bond sales to finally slow after six consecutive years of unprecedented issuance. But the exact
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Webinar: Alpha Generation 01/10/2017 [Portfolio Effect]Asset returns based on low frequency prices (e.g. end-of-day quotes) are still dominating modern portfolio analysis. To make portfolio metrics more relevant intraday and improve the precision of estimates, new data frequency needs to be explored. In this presentation we demonstrate how using high frequency market data for portfolio risk management and optimization could improve the classic
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The Laguerre RSI vs Classic RSI [System Trader Success]John Ehlers is a name youll run across when you start your journey into testing various indicators and filters to be used in your trading models. I remember reading about the Laguerre Filter and Laguerre RSI many years ago when they first appeared on the scene. At the time I was not nearly into quantitative trading as I am today. So lets take a closer look at the Laguerre RSI and answer a