This is a summary of links featured on Quantocracy on Tuesday, 02/16/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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The coastline paradox and the fractal dimension of markets [Philipp Kahler]Coastlines are fractal curves. When you zoom in, you will see similar shaped curves on every scale. The same is true for market data. On a naked chart you can hardly tell if it is a daily or hourly chart. This article will explore this feature of crinkly curves and show how much markets and coastlines have in common. The coastline paradox When trying to measure the length of the British coastline
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ESG Factors and Traditional Factors [Alpha Architect]Environmental, Social, and Governance (ESG) investing has become a priority for a lot of investors. We have previously written on ESG being combined with factor investing here and here. However, if one chooses to ignore our previous musings on the subject and only pursue ESG, how would that decision impact the overall factor exposure of the portfolio? In this paper, the authors address the