This is a summary of links featured on Quantocracy on Wednesday, 01/16/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Historical View Of Extreme Short-Term Gains In $OEX Components [Quantifiable Edges]As I write this around 11am EST both NFLX and CELG are threatening to close up > 50% from their December 24th closing price, just 14 trading days ago. While that sometimes happens with speculative smallcap stocks, it is very unusual to see a largecap S&P 100 stock accomplish such strong gains in such a short period of time. In fact, the last instance of a 50% close to close gain within 15
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Factor investing in the currency market [Quant Dare]Factor investing is a broadly used approach in asset management, specially for the equity market, but, can we apply this idea in order to explain currency returns? The idea at the core of factor investing is that there are different sources of risk in the market and that the exposure of the different assets to these sources of risk explain asset returns over the long term. Lets start the post
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Quarterly Analysis and Commentary: Q4 2018 [Alpha Architect]Weve posted our quarterly attribution materials on our performance site.(1) We enjoyed putting the materials together and think they will be informative for those who follow our Indexes. The materials and videos are part of our long-term plan is to continually improve our quarterly communications and education efforts. If you have suggestions/comments, please reach out and let us know. Lets