This is a summary of links featured on Quantocracy on Monday, 02/01/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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So you want to be a quant/systematic trader? [Investment Idiocy]One of the upsides of having a (very, very minor) public profile is that you get a lot of people asking you for advice, which is flattering (and if you say otherwise, you need to consider just how first world that particular 'problem' is). The only downside of this is you get asked the same sort of question a number of different times. At some point it becomes worth writing a blog
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Myth-Busting: Low Rates Don’t Justify High Valuations [Factor Research]High equity valuations are frequently justified by low interest rates There is no long-term evidence in the US to support this theory P/E ratios in Japan and Europe have remained low, despite zero or negative yields INTRODUCTION One of the more peculiar transactions I worked on as an investment banker at Citigroup was the initial public offering (IPO) of a Kuwaiti property company. This was during
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Hot Topic: Does Gamma Hedging Actually Affect Stock Prices? [Alpha Architect]More and more evidence seems to suggest that social Media impacts daily momentum and volatility. Some hedge funds that were short GME the past couple of months should have read these blog posts. In a similar vein, there is plenty of twitter chatter on the topic and anecdotal evidence that during the last week of February 2020 ( when the US market crashed more than 10%), market volatility was