This is a summary of links featured on Quantocracy on Monday, 02/19/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mixture Model Trading (Part 5 – Algorithm Evaluation with pymc3) [Black Arbs]See . This research demonstrates a systematic trading strategy development workflow from theory to implementation to testing. It focuses on the concept of using Gaussian Mixture Models as a method for return distribution prediction and then using a simple market timing strategy to take advantage of the predicted asset return outliers. Chapter Goals Demonstrate how to extract algorithm portfolio
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Sequential Model: Sorting by 5 Factors [Factor Research]The sequential model ranks stocks by factors sequentially Allows investors to prioritise factors and results in concentrated portfolios However, the factor sequence matters and only a few factors can be considered INTRODUCTION In a recent research report we showed how investors can combine factors into a multi-factor portfolio by ranking for several factors simultaneously (please see