This is a summary of links featured on Quantocracy on Friday, 03/04/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Machine learning for financial prediction: experimentation with Aronson’s latest work – part 1 [Robot Wealth]One of the first books I read when I began studying the markets a few years ago was David Aronson's Evidence Based Technical Analysis. The engineer in me was attracted to the 'Evidence Based' part of the title. This was soon after I had digested a trading book that claimed a basis in chaos theory, the link to which actually turned out to be non-existent. Apparently using
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Advanced Trading Infrastructure – Portfolio Handler Class [Quant Start]In the current series on Advanced Trading Infrastructure we have described both the Position Class and the Portfolio Class – two essential components of a robust backtesting and live trading system. In this article we are going to extend our discussion to the Portfolio Handler Class, which will round out the description of the portfolio Order Management System (OMS). The OMS is the backbone of any
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Trend Following Works [Larry Swedroe]The academic research has provided investors with strong evidence that there is a small group of factors-or sources of returns-that have provided higher returns over the long term. To be considered among this group, the evidence should have the following characteristics: Persistence-it holds across long periods of time and various economic regimes. Pervasive-it holds across countries, regions,
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MiB: Emanuel Derman (h/t @AbnormalReturns) [Big Picture]In our latest Masters in Business podcast, we speak with quant and financial engineer Emanuel Derman. One of the first high-energy particle physicists to migrate to finance, he spent 17 years onWall Street, eventually becoming head of the renowned Quantitative Strategies group at Goldman, Sachs. At GS he co-developed the Black-Derman-Toy interest rate model and the Derman-Kani local volatility
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What I’ve been reading… [Backtest Wizard]Was 2015 a hard year to make money if you were managing a portfolio of global asset classes? Absolutely! The Resolve Asset Management 2015 Annual Letter: "Navigating Active Asset Allocation When Diversification Fails", helps to explain why. You can read the summary of the letter and access the download link here. It's a fascinating piece of research which I would highly recommend