This is a summary of links featured on Quantocracy on Saturday, 03/03/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
The New Short Volatility Instrument Landscape [QuantStrat TradeR]This post will discuss the consequences of ProShares decision to change the investment objective of SVXY, and possible alternatives that various investors can use to try and create an identical exposure if their strategy calls for such an instrument. So, to begin with, Proshares recently decided to make SVXY
Hidden Markov Modelling of Synthetic Periodic Time Series Data [Dekalog Blog]I am currently working on a method of predicting/projecting cyclic price action, based upon John Ehlers' sinewave indicator code, and to test it I am using Octave's implementation of a Hidden Markov model in the Octave statistics package hosted at Sourceforge. Basically I measure the dominant cycle period ( using either the above linked sinewave indicator code or autocorrelation
SPX Performance After Three 1% Down Days [Quantifiable Edges]Last night I looked at 3-day pullbacks a number of ways in relation to current market conditions. I thought blog readers might find the following interesting. I noted that SPX closed lower by greater than 1% for the 3rd day in a row on Thursday. In the past, that has often been followed by gains the next day. But times where is wasntwell, take a look at the chart below.