This is a summary of links featured on Quantocracy on Wednesday, 02/17/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Finance Database GitHub (h/t @PyQuantNews)As a private investor, the sheer amount of information that can be found on the internet is rather daunting. Trying to understand what type of companies or ETFs are available is incredibly challenging with there being millions of companies amd derivatives available on the market. Sure, the most traded companies and ETFs can quickly be found simply because they are known to the public (for example,
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Identifying Anomalies in Capital Markets: Accrual Anomaly [Milton FMR]Since the financial crisis in 2008 the number of anomaly related academic papers exploded and has grown so quickly that it is impossible to keep up with the full scope of research. To accommodate the need of an overview in this interesting research field we will summarize the most prominent market anomalies and present our findings in a series of articles. We start our series with the accrual
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Copula for Pairs Trading: Strategies Overview [Hudson and Thames]This is the third article of the copula-based statistical arbitrage series. You can read the previous two articles: Copula for Pairs Trading: A Detailed, But Practical Introduction. Copula for Pairs Trading: Sampling and Fitting to Data. Introduction Systematic approaches of pairs trading gained popularity from the mid-1980s. Gatev et al (2006) examined the profitability of a distance-based