This is a summary of links featured on Quantocracy on Wednesday, 01/20/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Bootstrapping avoids seductive backtest results [Predictive Alpha]Nothing gets the adrenaline rushing as strong backtesting results of your latest equity trading idea. Often, however, it is a mirage created by a subset of equities, which have performed particularly well or poorly thereby inflating the results beyond what seems reasonable to expect going forward. The investment community has come a long way in terms of becoming more statistically sound, but it is
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The Betting Against Beta Anomaly: Fact or Fiction? [Quantpedia]This paper suggests an alternative explanation for the recently documented betting against beta anomaly. Given that the equity of a levered firm is equivalent to a call option on firm assets and option returns are non-linearly related to underlying stock returns, linear CAPM-type regressions are generally misspecified. We derive theoretical expressions for the pricing error and analyze its
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Quantitative Trading Strategy Using R: A Step by Step Guide [Quant Insti]In this post we will discuss about building a trading strategy using R. Before dwelling into the trading jargons using R let us spend some time understanding what R is. R is an open source. There are more than 4000 add on packages,18000 plus members of LinkedIns group and close to 80 R Meetup groups currently in existence. It is a perfect tool for statistical analysis especially for data
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Numerical Analysis – JavaScript for Financial Analysts – Chapter 13 [John Orford]First draft of 'JavaScript for Financial Analysts' Chapter 13. Download all the code here and give it a test run! ~ The central theme of this book has been transforming data in a stateless manner using map and reduce. Data flows through our code until it's in the form we want it to be. Data comes in all shapes and sizes, but when when we are only working with numbers we can set
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A Few Notes on DIY Financial Advisor (@AlphaArchitect) [CXO Advisory]Wesley Gray, Jack Vogel and David Foulke preface their 2015 book, DIY Financial Advisor: A Simple Solution to Build and Protect Your Wealth, by stating that: This book is a synopsis of our research findings developed while serving as a consultant and asset manager for large family offices. Our book is meant to be an educational journey that slowly builds confidence in ones own ability to
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Stock Correction Sets Lowly Record [Dana Lyons]Persistent selling has resulted in an unprecedented stretch of elevated levels of New 52-Week Lows. One of the most noteworthy aspects to the ongoing stock market correction has been the persistence of selling pressure. Unlike declines in recent years, there has been little to no let up, even when indicators or chart levels suggest the high probability of a bounce. This has left the V-bottomers