This is a summary of links featured on Quantocracy on Wednesday, 02/23/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Developing systematic smart beta strategies for crypto assets [Artur Sepp]I am delighted to share the video from my QuantMinds presentation that I made in Barcelona in December 2021. Many thanks to QuantMinds organizers for allowing me to share this video. First, it was nice to attend the onsite conference in a while and to meet old friends and colleagues. I was positively surprised by how many people attended. Many thanks to organizers for making it happen during these
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What’s the Relation Between Grid Trading and Delta Hedging? [Quantpedia]Delta hedging is a trading strategy that aims to reduce the directional risk of short option strategy and reach a so-called delta-neutral position. It does so by buying or selling small increments of the underlying asset. Similarly, grid trading is a trading strategy that buys/sells an asset depending on its price moves. When the price falls, it buys and sells when the price rises a certain amount
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Toward an efficient hybrid method for pricing barrier options [Artur Sepp]I am excited to share the latest paper with Prof. Alexander Lipton. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4035813 We find the semi-analytical solution to one of the unsolved problems in Quantitative Finance, which is to compute survival probabilities and barrier option values for two-dimensional correlated dynamics of stock returns and stochastic volatility of returns. An analytical
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Does diversification always benefit investors? No. [Alpha Architect]Diversification has been around since the early 1950s and is often considered a free lunch in finance. But is that actually the case? Weve highlighted here and here that the reality is more complicated than the theory. Consider the two basic assumptions about correlations in the context of mean-variance optimization: (1) Pair-wise correlations are assumed to be symmetrical relative to
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Black-Litterman Sector Allocation [Quant Dare]Incorporating market expectations and forecasts into asset allocation used to be more of an art than an analytical process in the 80s. In this post we will review Fisher Blacks elegant and very practical solution to portfolio construction, going through a sector allocation example. The Black Litterman Model The BL (Black-Litterman) model can be considered one of the greatest contributions in