This is a summary of links featured on Quantocracy on Thursday, 02/08/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Examining Short Term Reversals in Stocks Part 1 (Returns Data) [Sober Quant]Short-term reversals, including intraday and monthly reversals, are well-known in academic literature and are observable in the markets every day. This phenomenon persists across many different asset classes, especially stocks. There are many theories to explain this phenomenon. Some say the reversions are news-driven, in that when there is new information (e.g. Earnings or Clinical Trials),
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VIX vs Stock Market Volatility: Similar But Different [Capital Spectator]The recent plunge in the US stock market ended the extended run of tranquility in equity returns. The medias metric of choice to cite this change is the CBOE Volatility Index, or VIX, which surged earlier this week to the highest level in nearly three years, based on daily data. The upward explosion was even sharper on an intraday basis. As useful as the VIX is for quantifying market
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Correlation with prices or returns: that is the question [Quant Dare]Thought you knew everything about correlation? Think theres no fooling you with the question of correlation with financial prices or returns? Well maybe, just maybe, this post will enlighten you. Correlation: the debate is on Correlation can be a controversial topic. Things can go awry when two seemingly unrelated variables appear to move in a similar pattern and are found to be correlated.
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Chess, Jeopardy, Poker, Go and Investing? [CXO Advisory]How can machine investors beat humans? In the introductory chapter of his January 2018 book entitled Financial Machine Learning as a Distinct Subject, Marcos Lopez de Prado prescribes success factors for machine learning as applied to finance. He intends that the book: (1) bridge the divide between academia and industry by sharing experience-based knowledge in a rigorous manner; (2) promote