This is a summary of links featured on Quantocracy on Monday, 02/15/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Advanced Pairs Trading Lecture Videos [Hudson and Thames]ArbitrageLab is a python library filled with algorithms from the best academic journals and graduate-level textbooks, which focuses on the branch of statistical arbitrage known as pairs trading. This playlist is a series of lecture videos that explore advanced topics and highlight how your team can compete with the worlds best hedge funds! The Distance Approach Presentation Slides From at least
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Do ETFs Adversely Affect Market Quality? Nope. [Alpha Architect]Editors note: Seeing how the results may have shifted since the ARK phenomenon would be a great robustness test for this paper. ETFs are growing at a rapid pace and becoming a significant contributor to intraday activity (and we are only making the problem worse!). Naturally, some will begin to wonder how the ETF innovation impacts trading in the underlying securities that ETFs own.
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Research Review | 12 February 2021 | Equity Factor Risk [Capital Spectator]Why Are High Exposures to Factor Betas Unlikely to Deliver Anticipated Returns? Chris Brightman (Research Affiliates) et al. January 11, 2021 By choosing investment strategies that intentionally create exposure to factor betas, investors may be obtaining uncompensated risks. We show across a wide variety of factors and geographical markets that factors constructed from fundamental characteristics