This is a summary of links featured on Quantocracy on Monday, 02/18/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quant Minds International – May, 2019 – Vienna, Austria (Use VIP Code FKN2595QCYMU to Save 10%)QuantMinds International heads to Vienna on 13-17 May! Now in its 26th year, QuantMinds International brings together 400+ global quant finance experts from banks, buy-side, academia and beyond, to cover every hot topic in quant finance over the course of 5 days. Quote VIP code FKN2595QCYMU for a 10% discount.
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Exploiting Business Day Patterns in Forex Markets [Quant Rocket]Do businesses exchange currencies in predictable ways that forex traders can exploit? This post explores an intraday EUR.USD strategy based on the hypothesis that businesses cause currencies to depreciate during local business hours and appreciate during foreign business hours. Business patterns in foreign exchange Source paper: Breedon, Francis and Ranaldo, Angelo, Intraday Patterns in FX Returns
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What is Worse: Data-Mining or Not Innovating? [Two Centuries Investments]In most decisions including investing, there are two ways to be wrong: Doing something that doesnt work (false positive, type 1 error) Not doing something that would have worked (false negative, type 2 error) Investors and quants in particular worry more about the type 1 error – accepting a fake result thinking it is real. However there is another type of error that lurks behind – the type 2
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Factor Investing in Financials, Real Estate & MLPs [Factor Research]Beating benchmarks is challenging for fund managers, even in unique sectors Factor performance in financials, REITs, and MLPs is comparable to the cross-sector factor returns Classic factor investing strategies are likely more attractive than industry expertise INTRODUCTION Stating that active managers have a performance problem would be a slight understatement, especially if the benchmark is a