This is a summary of links featured on Quantocracy on Sunday, 01/27/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Value, Momentum & Carry Across Asset Classes [Alpha Architect]There is a 72% probability of the San Franciso Bay Area getting hit by at least one earthquake of a magnitude of 6.7 or stronger between today and 2043 according to the United States Geological Survey, which is a scientific agency of the U.S. government. An earthquake of that magnitude is likely to cause major damage in populated areas, especially if accompanied by a tsunami. Given high
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R tips and tricks higher-order functions [Eran Raviv]A higher-order function is a function that takes one or more functions as arguments, and\or returns a function as its result. This can be super handy in programming when you want to tilt your code towards readability and still keep it concise. Consider the following code: # Generate some fake data > eps > x > y # Load libraries required > library(quantreg) > library(magrittr) >
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Is Jerome Powell The Most Hated Fed Chairperson Ever? [Quantifiable Edges]Fed Days have a long history of showing a bullish tendency, and we have a large number of Fed Day studies to refer. For those that are unaware, a Fed Day is simply a day where the Federal Reserve completes a scheduled meeting and provides a policy announcement. Meetings typically take place 8 times per year, and in recent years the meetings have all been 2 days in length, with the 2nd day being
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Compound Your Knowledge: Episode 2-ESOPs, Factors, Incentives [Alpha Architect]In todays video, we examine three posts. First, we examine ESOPs and 1042 QRP (qualified replacement property) with Doug Pugliese. Second, we examine a guest post by Nicolas Rabener examining Value, Momentum and Carry over the past 10 years. Last, we examine a guest post by Elisabetta discussing a new paper on rankings/incentives.