This is a summary of links featured on Quantocracy on Tuesday, 01/16/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quant_rv_MV5_big, and a milestone [Babbage9010]The same multi-vol quant strategy we all love, but now with 2000+ vol signals to choose from. quant_rv is a daily SPY strategy that uses realized volatility measures of SPY to predict days of lower volatility ahead, that in turn predict positive returns. In the net, quant_rv wins by very modest improvements to the SPY win ratio and by modest improvements to the average win size relative to the
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Advanced FX carry strategies with valuation adjustment [SR SV]FX forward-implied carry is a popular ingredient in currency trading strategies because it is related to risk premia and implicit policy subsidies. Its signal value can often be increased by considering inflation differentials, hedging costs, data outliers, and market restrictions. However, even then, FX carry is an imprecise and noisy signal, and previous research has shown the benefits of
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46 awesome books for quant finance, algo trading, and market data analysis [PyQuant News]One of the most common questions I get: What books should I read for quant finance, algorithmic trading, and market data analysis? And one of my favorite hobbies is collecting books on the subject. 46 awesome books for quant finance, algo trading, and market data analysis 46 books for quant finance, algo trading, and market data analysis. Books for quant finance, algorithmic trading, and market
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Getting Value Exposure from Non-Value Funds [Finominal]The factor betas of value-focused ETFs range dramatically Non-value-focused funds can have high betas to the value factor However, these often come with large unintended bets INTRODUCTION While some investors are die-hard believers in value investing, others regard this more opportunistically and only occasionally seek exposure to this investing style. Perhaps cheap stocks have been outperforming,