This is a summary of links featured on Quantocracy on Tuesday, 03/05/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Intraday Momentum with Leveraged ETFs [Quant Rocket]Does forced buying and selling of underlying shares by leveraged ETF sponsors cause predictable intraday price moves? This post explores an intraday momentum strategy based on the premise that it does. Daily rebalancing of leveraged ETFs Source: Ernie Chan, Algorithmic Trading: Winning Strategies and Their Rationale, Wiley, May 28, 2013, chapter 7. Per their fund objectives, leveraged ETFs must