This is a summary of links featured on Quantocracy on Tuesday, 02/06/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Deep Learning for Trading Part 4: Fighting Overfitting with Dropout and Regularization [Robot Wealth]This is the fourth in a multi-part series in which we explore and compare various deep learning tools and techniques for market forecasting using Keras and TensorFlow. In Part 1, we introduced Keras and discussed some of the major obstacles to using deep learning techniques in trading systems, including a warning about attempting to extract meaningful signals from historical market data. If you
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The End of 60/40? The Case for Diversified Value, Momentum, and Carry Risk Exposures [Alpha Architect]What are the research questions? Despite Peter Bernsteins suggestion in 2003 that adherence to a fixed and undiversified policy portfolio is dangerous, benchmarks ( the most used of which is the 60/40) are as popular today as they were 15 years ago. The authors study the following research question: Is a broad investment opportunity set ( an un-levered and long-only version of a value,
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State of Trend Following in January [Au Tra Sy]The State of Trend Following index starts the year with a strong performance to bounce back from the 2017 lows. Please check below for more details. Detailed Results The figures for the month are: January return: 7.25% YTD return: 7.25% Below is the chart displaying individual system results throughout January:
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What Does History Tell Us About The Stock Market s Dive? [Capital Spectator]The 4.1% plunge in the S&P 500 yesterday looks ominous, all the more so since it follows last weeks hefty 3.8% decline. But focusing on what just happened distorts our capacity to maintain a healthy sense of historical perspective. As an antidote, lets step back and consider the latest market action through a longer-term lens. Despite Mr. Markets latest hissy fit, the current one-year
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The Unconventional Guide To The Best Websites For Quants [Quant Insti]Technology moves at a startling speed and it has been the same case in the algorithmic and quantitative trading domain. Traders around the world are making use of Machine Learning, Artificial Intelligence, Blockchain, Neural Networks, Deep Learning and similar techniques to execute their trades. One of the key factors to benefit from the ever-changing trend in technology is to learn the impact of
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What’s In A Factor? Breakdown by Sectors [Factor Research]SUMMARY Some factors show structural sector exposure while others rotate sectors frequently Sector concentrations explain factor performance and may represent concentration risks Value is currently long Financials, Low Volatility is short Health Care, and Growth is short Energy INTRODUCTION Despite all the hustle and bustle surrounding factor investing, considerable uncertainty remains about what
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January 2018 Trend Following UP [Wisdom Trading]January 2018 Trend Following: UP +6.94% / YTD: +6.94% Below is the full State of Trend Following report as of last month, opening the year with a strong performance in January. Performance is hypothetical. Chart for January: WSTF 201801 Index And the 12-month chart: WSTF 201801 Index 12months Below are the summary stats: Horizon Return Ann. Vol. Last month 6.94% 15.12% Year To Date 6.94% 15.12%