This is a summary of links featured on Quantocracy on Wednesday, 03/02/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quality is Rewarded: Clickthroughs vs Voting [Quantocracy]I'm very proud of the following graph. Below I've shown the average number of clickthroughs a link receives from our website (excluding RSS, Twitter and Stocktwits) broken out by the number of votes cast by our readers. Votes by Clickthroughs Clearly (and way more starkly than I expected) we're rewarding quality by pushing more eyeballs to the best work. That was the most important
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Tech is Alpha [Cantab Capital]Cantab's Founding Partner and CTO, Erich Schlaikjer, explores the virtues and complexities of technology, and how good technology is ultimately what allows Cantab to create profits for our investors. Introduction When analysts enumerate the virtues of systematic funds, the first benefit in the list is usually the diversification that CTAs provide to your portfolio. Liquidity often comes next,
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Is your data in good shape? Would you know it if it was not? [Alvarez Quant Trading]At the end of last year, I was working with a client and we were having problems with code I had written. We would get different results depending on who ran the code. After comparing trade lists and doing some debugging, we discovered that their database was missing several symbols. These symbols existed in my database but did not exist in theirs. We were both using Norgates Premium Data,
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Do the Size, Value, and Momentum Factors Exist in Emerging Markets? [Quantpedia]This paper investigates the size, value and momentum effects in 18 emerging stock markets during the period 1990?2013.We find that size and momentum strategies generally fail to generate superior returns in emerging markets. The value effect exists in all markets except Brazil, and it is robust to different periods and market conditions. Value premiums tend to move positively together across