This is a summary of links featured on Quantocracy on Thursday, 02/21/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Pairs Trading – Part 2: Practical Considerations [Jonathan Kinlay]One of the first things you quickly come to understand in equity pairs trading is how important it is to spread your risk. The reason is obvious: stocks are subject to a multitude of risk factors amongst them earning shocks and corporate actions -that can blow up an otherwise profitable pairs trade. Instead of the pair re-converging, they continue to diverge until you are stopped out of the
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Factor Decay [Talton Capital]Recently John Cotter and Niall McGeever posted an interesting paper to ssrn.com. They studied the persistence of nine anomalies in the U.K. equity market: Accruals Asset growth Book to market ratio Profitability Stock issuance Return reversal Momentum Equity turnover Size