This is a summary of links featured on Quantocracy on Tuesday, 03/03/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Algo Trading in the Cloud [Ran Aroussi]The last few months got me busy like a bee… It all started in 2016 with the release of QTPyLib. I was trying to shorten the time it takes to go from an idea to live trading by abstracting all the techie stuff as much as possible (while still allowing flexibility for developers). Last year I shared my vision for the next version of QTPyLib in hopes of making the lives of programmatic traders ever
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Drawdowns by the data [OSM]Were taking a break from our series on portfolio construction for two reasons: life and the recent market sell-off. Life got in the way of focusing on the next couple of posts on rebalancing. And given the market sell-off we were too busy gamma hedging our convexity exposure, looking for cheap tail risk plays, and trying to figure out when we should go long the inevitable vol crush. Joking.