This is a summary of links featured on Quantocracy on Wednesday, 01/17/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Mixture Model Trading (Part 2 – Gaussian Mixtures) [Black Arbs]This is the beginning of a three part series that I completed towards the end of 2017 as a learning module for Quantinsti.com. The purpose of the series is to demonstrate a research workflow focused around the theory and application of mixture models as the core framework behind a algorithmic trading strategy. Below is a quote taken from the README of the github repo: The primary goal of this
-
Covered Call Options Strategy using Machine Learning [Quant Insti]A covered call is used by an investor to make some small profit while holding the stock. Mostly the reason why a trader would want to create a covered call is because the trader is bullish on the underlying stock and wants to hold for long-term, but the stock doesnt pay any dividend.The stock is expected to go up over a period of next 6 months, and in the meantime, you would want to use this
-
Cointegration in Economy: a long-term relationship [Quant Dare]The relationship between series can be measured by different methods. The most common is to check if both series move in the same way. Wed like to go further, and see if the difference between them is always the same. We call it cointegration. In many cases, we are interested in expressing one series according to another, or looking for common characteristics from which we can draw conclusions