This is a summary of links featured on Quantocracy on Saturday, 03/04/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Slava Ukraini! Latest from Quantocracy contributor in Ukraine: DVOL Futures [Only VIX]The biggest news this week is that Deribit is moving ahead with launching futures on their DVOL Bitcoin volatility index. Like with every new product launch, I am cautiously optimistic, but given that Deribit has ~ 90% market share in cryptocurrency options volume, I think that the product has a great chance of success! If you trade volatility on Deribit, in addition to straddles and strangles you
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Applying Corrective AI to Daily Seasonal Forex Trading [EP Chan]We applied Corrective AI (Chan, 2022) to a trading model that takes advantage of the intraday seasonality of forex returns. Breedon and Ranaldo (2012) observed that foreign currencies depreciate vs. the US dollar during their local working hours and appreciate during the local working hours of the US dollar. We first backtested the results of Breedon and Ranaldo on recent EURUSD data from
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Intangibles and the Value Factor [Alpha Architect]Traditional value strategies use common valuation metrics, such as book-to-market (B/M), price-to-earnings (P/E), price-to-sales (P/S) or price-to-cash flow (P/CF), to establish a ratio between a market value and a fundamental anchor to assess the cheapness of a stock. The largest historical drawdown for traditional value strategies over the period November 2016-October 2020 raised the question of