This is a summary of links featured on Quantocracy on Saturday, 02/24/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Building Intuition for Trading with Convex Optimisation with CVXR [Robot Wealth]This article continues our recent stat arb series. The previous articles are linked below: A short take on stat arb trading in the real world A general approach for exploiting stat arb alphas Ideas for crypto stat arb features Quantifying and combining crypto alphas A simple and effective way to manage turnover and not get killed by costs How to model features as expected returns Next, well
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Build state-of-the-art portfolios with machine learning [PyQuant News]Portfolio optimization usually requires an estimate of the future returns of the assets in the portfolio. This is hard because we cant see into the future. Traditional risk parity uses a quadratic optimizer A cutting edge technique called Hierarchical Risk Parity (HRP) uses graph theory and machine learning to build a hierarchical structure of the investments. By the end of todays
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Regression-based macro trading signals [SR SV]Regression is one method for combining macro indicators into a single trading signal. Specifically, statistical learning based on regression can optimize model parameters and hyperparameters sequentially and produce signals based on whatever model has predicted returns best up to a point in time. This method learns from growing datasets and produces valid point-in-time signals for backtesting.
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Biotech stocks – is making a bet on them a lottery ticket? [Alpha Architect]The academic research, including the 2023 studies Lottery Preference and Anomalies and Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households, the 2022 study Lottery Demand and the Asset Growth Anomaly, and the 2014 study Do Investors Overpay for Stocks with Lottery-like Payoffs? An Examination of the Returns on OTC Stocks, has found that there