This is a summary of links featured on Quantocracy on Thursday, 02/11/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Dual Momentum on Individual Stocks. Wow. [Alpha Architect]Hot off the press and havent had time to reverse engineer and verify, but this is pretty interesting stuff at first glance. The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly 100-Years This study documents the significant profitability of time-series momentum strategies in individual stocks in the US markets from 1927 to 2014 and in international markets since 1975.
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A Quant’s Approach to Building Trading Strategies: Part One [Quandl]Recently, Quandl interviewed a senior quantitative portfolio manager at a large hedge fund. We spoke about how she builds trading strategieshow she transitions from an abstract representation of the market to something concrete with genuine predictive powers. Can you tell us how you design new trading strategies? It all starts with a hypothesis. I conjecture that there ought to be a