This is a summary of links featured on Quantocracy on Thursday, 01/18/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mixture Model Trading (Part 3 – Strategy Research) [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
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The Mother of All Momentum Research Reports. A Must Read! [Alpha Architect]J.P. Morgan researchers, Marko Kolanovic and Zhen Wei, produced an incredibly detailed report on all aspects of momentum (one of our favorite topics!) Here is a link to the report 188 pages of pure effort and information. Here is a summary of what is examined in the research: As the virtually unlimited number of possible implementations may confound an investor, we first provide a framework for
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Crash Sensitivity Explains the Momentum Effect in Stocks [Quantpedia]This paper proposes a risk-based explanation of the momentum anomaly on equity markets. Regressing the momentum strategy return on the return of a self-financing portfolio going long (short) in stocks with high (low) crash sensitivity in the USA from 1963 to 2012 reduces the momentum effect from a highly statistically significant 11.94% to an insignificant 1.84%. We find additional supportive
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Highly Unusual Behavior Between SPX and VIX [Quantifiable Edges]Wednesday saw both SPX and VIX close at 40-day highs (about 2 months). Since they commonly trade opposite each other, to have them both be extended up like this is very rare. In fact, it has only happened 4 other times. Below is a list of those instances along with their 4-day results. 2018-01-18 The takeaway here is not that they all lost money over the next few days. Though that is notable, it