This is a summary of links featured on Quantocracy on Wednesday, 02/28/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Excess VIX: A Predictive Volatility Model [Quant Fiction]The events of the past month, most notably the implosion of XIV, has focused public interest on volatility as an asset class. Theyve also illustrated that short vol as a strategy might be a little more risky than advertised (gasp!). The VIX is supposed to serve as a gauge of how much uncertainty exists in the market. For the long-form, math-heavy definition of this, the CBOE lays it out here.
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Size and Value Factor Performance in Pakistan Stock Exchange [Azam Yahya]The main objective is to identify and understand cross-sectional patterns in expected stock returns in PSX(Pakistan Stock Exchange). Our reasons for doing so are simple. First, to effectively execute empirical asset pricing research, it is important to have a deep understanding of the characteristics of the sample and data being used. The main objective of this blog is to empirically investigate
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XIV Barbell Strategy [Alvarez Quant Trading]Well that was fun! I have been telling my trading buddy and anyone else that would listen that I fully expected XIV to open at zero one day. Now I did not expect it to happen so soon or the way it did. I trade a strategy that can be long XIV or long VXX or in cash. Because of the very likely possibility of XIV blowing up, I had constructed my portfolio using ideas from the barbell portfolio and
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Retail Short Sellers: Trading Skill or Insider Trading? [Alpha Architect]What are the research questions? This study uses a new classification system for informed vs. uninformed retail trades: short selling stocks without options available indicates more informed trading than short selling stocks with options available. Is there a difference in returns between shorted stocks without listed options and shorted stocks with listed options available? Using account level
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Is a 4% Down Day a Black Swan? [Relative Value Arbitrage]wn Day a Black Swan? On February 5, the SP500 experienced a drop of 4% in a day. We ask ourselves the question: is a one-day 4% drop a common occurrence? The table below shows the number of 4% (or more) down days since 1970. 4% down 4% down and bullish From 1970 40 5 On average, a 4% down day occurred each 1.2 years, which is probably not a rare occurrence. We next counted the number of days when
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A Two-Day SPY Pattern Suggesting A Bullish Edge For Wednesday [Quantifiable Edges]SPY gapped up and closed lower Tuesday after leaving an unfilled up gap on Monday. This triggered a simple study that I have examined a number of times over the years in the subscriber letter. The study can be found below. 2018-02-28 The numbers here all look solidly bullish, suggesting a potential 1-day upside edge. Traders may want to keep this in mind toda