This is a summary of links featured on Quantocracy on Friday, 02/28/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Smart Money Indicator Rebuttal [Alpha Architect]In February 2019, Wes asked that I share my research on what I call the Smart Money Indicator. I did a guest post on the subject that summarized the results of a paper introducing my research on the topic. The indicator measures the relative sentiment in equities between institutional investors and individual investors. The metric is formed using the information on how each class of
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pandas for Quants: New Video Course from QaR [Quant at Risk]Hi Guys! Im happy to kick off a new series of free video lectures devoted to Pythons library of pandas. Every week, I will be uploading something between 2 to 4 new videos especially crafted around practicalities of pandas library applied to financial data and their analysis and processing. The official webpage of this course is here. We start from the level of an absolute beginner/newcomer
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Global Low Volatility and Momentum Factor Investing Portfolios [Alpha Architect]A Springbok antelope can reach a top speed of 55 miles per hour in the African savanna, whereas the fastest human manages barely half that speed and only for a few meters. In a short race, we are left in the dust. However, we are built for endurance and can run for hours at an almost constant speed, ultimately even run a Springbok into exhaustion. Persistence hunting is one of the earliest human
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Market will be up 9.7% in 3 months! [Alvarez Quant Trading]When this sell-off indicator triggers, it is correct 100% of the time! On average the market is up only 2.6% in 3 months. OR NOT! After big moves in the market, we often see research saying that when the market has done X it will move Y%. I had a reader send me such research asking for my thoughts on it. The indicator was that the market had closed down 3 days in a row with volume each