This is a summary of links featured on Quantocracy on Friday, 02/02/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
FX Order Flow as a Predictor [EP Chan]Order flow is signed trade size, and it has long been known to be predictive of future price changes. (See Lyons, 2001, or Chan, 2017.) The problem, however, is that it is often quite difficult or expensive to obtain such data, whether historical or live. This is especially true for foreign exchange transactions which occur over-the-counter. Recognizing the profit potential of such data, most FX
Measuring Momentum s Duration For The US Stock Market [Capital Spectator]Momentum-based investing strategies may be one of the most reliable drivers of alpha, but like all sources of excess return this factor premium waxes and wanes through time. Accordingly, deciding when to exit the trade (or reduce exposure to it) is no less critical than determining when to jump on the gravy train. Research Affiliates recently advised that momentum can be divided into fresh and
Value and Momentum Factors in Fixed Income [Alpha Architect]Smart beta (or factor investing) seems to be the product du jour in ETFs. There are so many different factor products available that just about every fund company seems to offer themeven Vanguard is launching their own suite of factor-based stock funds. Note that nearly all of these products are focused on stocksnot bonds. Why the lack of factor love for fixed income instruments? Fixed