Quantocracy’s Daily Wrap for 02/14/2023

The S&P 500 has meaningful exposure to international markets Measuring geographical exposure can be done top-down or bottom-up However, both approaches have flaws INTRODUCTION Globalization has significantly improved our lives, although some countries like Germany have benefitted more than others given export-oriented industries. It is easy for politicians to highlight damage done by foreign

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In his TASC February 2023 article, John Ehlers proposed to use the average of open and close, rather than the close price, for technical indicators. The advantage is a certain amount of noise reduction. On intraday bars the open-close average is similar to an SMA(2). It makes the data a bit smoother, but at cost of additional lag by half a bar. The script below, in C for the Zorro platform,

The recorded history of modern financial markets and macroeconomic developments is limited. Hence, statistical analysis of macro trading factors often relies on panels, sets of time series across different currency areas. However, country experiences are not independent and subject to common factors. Simply stacking data can lead to pseudo-replication and overestimated significance of