This is a summary of links featured on Quantocracy on Monday, 02/20/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Modeling Asset Processes [Jonathan Kinlay]Over the last twenty five years significant advances have been made in the theory of asset processes and there now exist a variety of mathematical models, many of them computationally tractable, that provide a reasonable representation of their defining characteristics. While the Geometric Brownian Motion model remains a staple of stochastic calculus theory, it is no longer the only game in town.
-
President’s Day Factor Investing Geekout [Alpha Architect]Our epic piece on factors from a few weeks ago is still ringing in our own ears: Are factors even real? Or just data-mining? The conclusion: who knows. We need more data. And more data we can find. To include a recent masters thesis on nordic country equities, which looks at Size, value, momentum, profitability and investment in a stock market that hasnt been data-dredged as heavy as the US.