This is a summary of links featured on Quantocracy on Wednesday, 01/18/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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A New Study Quantifies The Impact Of Time Horizon On Risk [Capital Spectator]Can you distinguish alpha from beta? Childs play, right? Measure an investment portfolio against a relevant benchmark and, voila, all is clear. But as a new paper reminds, analyzing risk and return based on time horizon changes a black-and-white world of equity factors into 50 shades of gray. Different risk factors are priced over different horizons, write the authors of Short-horizon
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A Tactical Asset Allocation Researcher You Should Know [Alpha Architect]Im a huge fan of hard-core academics that produce incredible research, and yet, very few are familiar with their research. I call these folks, undiscovered gems. One might ask why undiscovered gems exist. On one hand, if a researcher produces incredible research, they should be widely recognized. However, this logical construct relies on an assumption: good researchers are good at sharing
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Playing with Docker – some initial results (pysystemtrade) [Investment Idiocy]This post is about using Docker – a containerisation tool – to run automated trading strategies. I'll show you a simple example of how to use Docker with my python back testing library pysystemtrade to run a backtest in a container, and get the results out. However this post should hopefully be comprehensible to non pysystemtrade and non python speaking people as well. PS: Apologies for the
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Essential Books on Algorithmic Trading [Quant Insti]These are some of the questions that popular forums get inundated with from aspiring novice algorithmic traders around the world. A good starting point for a wannabe trader would be to pick up a good book, immerse oneself, and absorb all that the book has to offer. This post details down the core areas in which aspiring quants need to focus on, and covers some of the good reads in each of these
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Asset Allocation is Not for the Faint of Heart (Long Live Diversification) [GestaltU]Im starting to feel like a rancourous curmudgeon, but I am frustrated by some of the misguided commentary on asset allocation and how diversification is a myth. We have posted a lot of research on fairly complex asset allocation topics, but I think many readers would be surprised to learn that I am actually highly skeptical about historical market statistics. I dont think that we can draw