This is a summary of links featured on Quantocracy on Thursday, 02/04/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Fitting time series models to the forex market: are ARIMA/GARCH predictions profitable? [Robot Wealth]Recently, I wrote about fitting mean-reversion time series models to financial data and using the models predictions as the basis of a trading strategy. Continuing my exploration of time series modelling, I decided to research the autoregressive and conditionally heteroskedastic family of time series models. In particular, I wanted to understand the autogressive integrated moving average
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Navigating Active Asset Allocation When Diversification Fails [GestaltU]Exactly one month ago clients of ReSolve Asset Management received our 2015 annual letter, entitled Navigating Active Asset Allocation When Diversification Fails. People who signed up for our email distribution list received it aa few days later. If you would like to receive premium content in a timely manner, we invite you to sign up and download the full report here. CHECK YOUR NARRATIVE
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Does my Tail Look Fat in This? Part 2 [Cantab Capital]Investors and managers are concerned with fat tails. In the second part of this post, we look at kurtosis in more detail. An apology and a warning This piece is more technical and longer than I had expected. The problem we're looking at here is subtle and not easy to distill down to a short, punchy and maths-free post. Sometimes the world isn't simple. Introduction In Part 1 of
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MythBusters: Oil Driving Stocks More Than Ever? [Flirting with Models]As the news cycle spins faster and faster, we are seeing more and more market observations based on gut feelings. One such observation that I have heard recently is that oil and energy are driving stocks more than ever before. I thought we would look to the hard data in our own version of MythBusters. So what does the data say? Below we plot three sets of rolling 1-year correlations using data
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State of Trend Following in January [Au Tra Sy]Strong start of the year for the State of Trend Following index, nearly closing the month with double-digit gains. Please check below for more details. Detailed Results The figures for the month are: January return: 8.28% YTD return: 8.28% Below is the chart displaying individual system results throughout January: StateTF January And in tabular format: System January Return YTD Return BBO-20
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The Strong Historical Tendency for the Feb Employment Report [InvestiQuant]I have discussed the employment report a number of times here on the blog. Over the years the release of the report has generated a high amount of volatility for overnight trades. While the direction of those volatile moves has undergone some big hot and cold streaks, it has not provided a consistent long-term directional edge except around Groundhog Day. Below are results of going long the