This is a summary of links featured on Quantocracy on Friday, 02/26/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Nothing but (neural) net [OSM]We start a new series on neural networks and deep learning. Neural networks and their use in finance are not new. But are still only a fraction of the research output. A recent Google scholar search found only 6% of the articles on stock price price forecasting discussed neural networks.1 Artificial neural networks, as they were first called, have been around since the 1940s. But development was
-
VIX and More: The Evolution of the VIX (1) [VIX and More]Volatility is notorious for clustering in the short-term, mean-reverting in the medium-term and settling into multi-year macro cycles over the long-term. I have chronicled each of these themes in this space in the past. Apart from volatility, I have also taken great pains to talk about the movements of the VIX, which is one of the most famous instances of implied volatility and represents investor
-
A Robust Approach to Multi-Factor Regression Analysis [Quantpedia]Practitioners widely use asset pricing models such as CAPM or Fama French models to identify relationships between their portfolios and common factors. Moreover, each asset class has some widely-recognized asset pricing model, from equities through commodities to even cryptocurrencies. However, which model can we use if our portfolio is complex and consists of many asset classes? Which factors
-
Correlation and correlation structure (5) a new coefficient of correlation [Eran Raviv]This is the fifth post which is concerned with quantifying the dependence between variables. When talking correlations one usually thinks about linear correlation, aka Pearsons correlation. One serious limitation of linear correlation is that its, well.. linear. By construction its not useful for detecting non-monotonic relation between variables. Here I share some recent academic
-
The Forecasting Power of Value, Profitability, and Investment Spreads [Alpha Architect]Studies such as the 2019 paper Value Return Predictability Across Asset Classes and Commonalities in Risk Premia, have demonstrated that while it is difficult to time investments based on their value spreads 1 which weve covered occasionally here and here, value spreads do contain information on the returns to value strategies in individual equities, industries, commodities, currencies,
-
Research Review | 26 February 2021 | Inflation [Capital Spectator]The Increased Toxicity of the U.S. Treasury Security Market Scott E. Hein (Texas Tech University) January 2, 2021 This short research paper documents the fact that exclusively watching for rising yields on conventional U.S. Treasury securities to reflect increased inflationary fears in the U.S. is no longer appropriate. With the Federal Reserve seeking to keep short-term nominal yields near zero