This is a summary of links featured on Quantocracy on Saturday, 02/04/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Back to Basics: Introduction to Algorithmic Trading [Robot Wealth]This is the first in a series of posts in which we will change gears slightly and take a look at some of the fundamentals of algorithmic trading. So far, Robot Wealth has focused on machine learning and quantitative trading research, but I had several conversations recently that motivated me to explore some of the fundamental questions around algorithmic trading. In the next few posts, we will
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Value and Growth Stock Behavior During Market Declines [Quantpedia]Using data for five major stock market declines during the 1987-2008 period, this paper provides evidence that value stocks are generally less sensitive to major stock market declines than growth stocks, controlling for beta, firm size, and industry group. Further analysis using several hundred different significant market move events between 1980 and 2015 confirms the observation that value