Quantocracy’s Daily Wrap for 02/23/2023

Deutsche Bank Currency Volatility Index was developed to provide an implied volatility benchmark for major currency markets. The index is designed to represent investors expectation of future volatility, and is calculated as the weighted arithmetic average of the 3-month level of implied volatility for 9 major currency pairs – with weights: EURUSD 35.90% USDJPY 21.79% GBPUSD 17.95 USDCHF 5.13%

Much like in 2008, managed futures as an investment strategy had an impressive year in 2022. With most traditional asset classes struggling to navigate the inflationary macroeconomic environment, managed futures has been drawing interest as a potential diversifier. Managed futures is a hedge fund category that uses futures contracts as their primary investment vehicle. Managed futures managers can

Over the last few years, a number of new market data providers have come online. They tend to have modern websites, broad coverage, and well-documented RESTful APIs. Their services are often priced very competitively especially for personal use and usually have generous free tiers. One such newcomer is finnhub.io . Its offering includes stock, bond, crpto, and FX historical price data and

Short-biased hedge funds provided negative S&P 500 beta until 2011 Thereafter returns became less negatively correlated, but worsened The strategy has generated limited diversification benefits for investors INTRODUCTION Running a hedge fund is tough, but some types are tougher to manage than others. For example, an equity long-short fund benefits from a structurally rising stock market, which

Bayesian statistics is a powerful field of mathematics that has wide-ranging applications in many fields, including finance, medical research, and information technology. It allows us to combine prior beliefs with evidence to obtain new posterior beliefs, thereby enabling us to make more informed decisions. In this post we will have a brief look at some of the main mathematicians that gave birth