This is a summary of links featured on Quantocracy on Saturday, 01/19/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Drawdown control [SR SV]Containment of drawdowns and optimization of performance ratios for multi-asset portfolios is critical for trading strategies. Alas, short data series or structural changes often render estimates of covariance matrices unreliable. A popular solution is risk-parity with volatility targeting. An alternative is MinMax drawdown control, which builds on a broad interpretation of drawdowns as
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Software engineering is as important as data science [Cuemacro]I end up tweeting a lot. Possibly, far too much of what I tweet is random, about burgers and so on, albeit with a modicum of tweets about markets and Python. Twitter inevitably acts like some sponge, absorbing your attention, which can often be a bad thing, but can actually also be a good thing. A lot of what I have learnt about markets and coding in recent years has been a result of seeing tweets
