This is a summary of links featured on Quantocracy on Friday, 01/19/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mixture Model Trading (Part 4 – Strategy Implementation) [Black Arbs]This notebook will walkthrough the algorithm implementation process on the quantconnect platform. Please be advised that this notebook will not actually run the algorithm as I have not installed the quantconnect backtesting engine locally. This is a demonstration of the process. The script is available to copy and paste into the quantconnect environment within the ./scripts/ directory of the
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Value and Momentum Factor Portfolio Construction: Combine, Intersect or Sequence? [Alpha Architect]Wes asked that I contribute to the ongoing debates regarding the construction of value and momentum portfolios. There are three key research pieces on the topic, all with different viewpoints: Alpha Architects take AQRs take Newfound Researchs Take I encourage everyone to dig into the three articles above and then tackle my article below. And if you are interesting in learning more about
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Most popular posts 2017 [Eran Raviv]Writing this, I cant believe how quickly the year 2017 has gone by. Also weird, we are already three weeks into 2018, unreal. Time flies when youre having fun I guess. The analytics report shows that the three most popular posts for 2017 are: Understanding False Discovery Rate (4 minutes average time on page) R vs MATLAB round 4 Understanding K-Means Clustering Own personal
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Research Review | 19 January 2018 | The Business Cycle [Capital Spectator]Fama-French Factors and Business Cycles Arnav Sheth and Tee Lim (Saint Marys College of California) December 4, 2017 We examine the behavior of Fama-French factors across business cycles measured in various ways. We first split up the business cycles into four stages and examine the cumulative returns of factors in each of those stages. We then look at the behavior of the factors after a yield