This is a summary of links featured on Quantocracy on Sunday, 01/31/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Parsing portfolio optimization [OSM]Our last few posts on risk factor models havent discussed how we might use such a model in the portfolio optimization process. Indeed, although weve touched on mean-variance optimization, efficient frontiers, and maximum Sharpe ratios in this portfolio series, we havent discussed portfolio optimization and its outputs in great detail. If we mean to discuss ways to limit our exposure to
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Are there sources of free data for markets? [Cuemacro]So wheres the best place to get a burger? I get asked that a lot. Ill try to give my best answer, but if you live in a place I havent visited, Ill probably draw a blank. Yes, you can read reviews, but the only real way to tell if a burger joint is good, is to try it. Everyone has their own different taste, some prefer greasier burgers, others prefer lots of cheese on a burger etc. When
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Probing Price Momentum of Bitcoin during its Bull Runs with a Piecewise Linear Model [Quant At Risk]In 2020 Bitcoin delivered us another spectacular bull run. It was as impressive as the one we witnessed in 2017. The analysis of Bitcoin price time-series during its bull runs can uncover interesting results. By comparing a selected set of characteristics we could find some commonalities in trading. In todays learning note we will have a look at the most recent Bitcoins bull run and fit its
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Temporal Clustering Times on Forex Majors Pairs [Dekalog Blog]In the following code box there are the results from the temporal clustering routine of my last few posts on the four forex majors pairs of EUR_USD, GBP_USD, USD_CHF and USD_JPY. This is based on 10 minute bars over the last year or so. Readers should read my last few previous posts for background. The first set of results, EUR_USD, are what the charts of my previous posts were based on and