This is a summary of links featured on Quantocracy on Monday, 01/10/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Modeling Intent in R and/or Python [Open Source Quant]Learning or experimenting with Tidytext has been on my radar for at least a few years. Only recently did i have a need to pick it up. As with most learnings, they lead you down a path of more knowledge (read: rabbit holes) than you foresaw. This post is a hat-tip to the resources i used, knitting them together in a sample use case with an extension using parallel processing for the R
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Research Compendium 2021 [Factor Research]There is nothing new in the world except the history you do not know Harry S. Truman January 2022. Reading Time: Several hours. Author: FactorResearch. RESEARCH COMPENDIUM 2021 In 2021 we published more than 50 research notes on mostly quantitative strategies, but also on topics like venture capital, catastrophe bonds, inflation, long volatility strategies, and direct indexing. The
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Variance risk premia for patient investors [SR SV]The variance risk premium manifests as a long-term difference between option-implied and expected realized asset price volatility. It compensates investors for taking short volatility risk, which typically comes with a positive correlation with the equity market and occasional outsized drawdowns. A recent paper investigates a range of options-related strategies for earning the variance risk
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Oversold $NDX does not bounce as reliably as $SPX [Quantifiable Edges]The NDX was hit especially hard last week. It fell 4.5% on the week and Friday was the lowest close since October. Many times we will see multi-day pullbacks and/or intermediate-term lows during a long-term uptrend suggest the market is primed for a bounce. But in running some studies on NDX this weekend, I found results like below. NDX oversold shows no hint of upside edge Such setups have been a