This is a summary of links featured on Quantocracy on Monday, 01/23/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Investigation into the Power of Co-integration / Mean Reversion Tests [Gekko Quant]The term statistical arbitrage (stat-arb) encompasses a wide variety of investment strategies that typically aim to exploit a statistical equilibrium relationship between two or more securities. The general principal is that any divergence from the equilibrium is a temporary effect and that bets should be placed on the process reverting to its equilibrium. The major caveat of stat-arb /pairs
Your Quantitative Trading Questions Answered w/ Delaney Mackenzie (@thestreetquant) [Chat With Traders]Throughout this series, which has been a window into the workflow of professional quant trading firms, weve encouraged you to submit questions and requests for further clarification. So, in this episode, being the final installment, Delaney answers as many of these questions as possible (within 80-minutes). Sponsored by DataCamp: Once you commit to learning how to programspecifically for
Managing Active Risk [Flirting with Models]Position sizing is often the result of portfolio construction and is therefore largely overlooked in manager selection. Risks introduced by active strategies can change not only the absolute risk level of the portfolio, but also the relative composition of risk. Active risk can also create tracking error, which can lead to investor misbehavior if unchecked. We believe that understanding,