This is a summary of links featured on Quantocracy on Sunday, 02/17/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Aggregator for Academic Quant Research: Academic-Quant-News.comAcademic Quant News is, at heart, an aggregator of academic research articles and journals related to quantitative finance. A question? A suggestion? Drop me an email! Interested in quantitative portfolio allocation? You can find on my GitHub account an open source JavaScript library with algorithms to solve portfolio allocation problems (Mean-Variance optimization, Risk Budgeting
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Algorithmic strategies: managing the overfitting bias [SR SV]The business of algorithmic trading strategies creates incentives for model overfitting and backtest embellishment: researchers must pass Sharpe ratio thresholds for their strategies to be considered, while managers lack interest in realistic simulations of ideas. Overfitting leads to bad investment decisions and underestimated risk. Sound ethical principles are the best method for containing this