This is a summary of links featured on Quantocracy on Tuesday, 03/08/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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When Measures Become Targets: How Index Investing Changes Indexes [Investor’s Field Guide]In Vietnam, under French colonial rule, there was a rat problem. To solve the rat infestation, the French offered a bounty on rats, which could be collected by delivering a rats tail as proof of murder. Many bounties were paid out, but the rat problem didnt improve. Officials soon noticed rats running around without tailspeople were cutting off the tails and releasing the rats to breed,
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NR7 Pattern | Trading Strategy (Setup & Exit) [Oxford Capital]I. Trading Strategy Developer: Toby Crabel (NR7 Pattern). Source: Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc. Concept: Volatility cycles. Research Goal: Performance verification of the NR7 pattern. Specification: Table 1. Results: Figure 1-2. Trade Setup: The current daily range is narrower than the previous six days
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Selected Interesting Papers from MFA Conference [MathFinance.cn]I just returned Beijing from the Midwest Finance Association 2016 Annual Meeting in Atlanta, it is my first time in America, and the life there is quite different from that in the British cities… few people in downtown, hard to go out without a car, people are less friendly (at least look like)… MFA annual conference provides a forum for the interaction of finance academics and practitioners
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Estimating Return-Shortfall Risk For Portfolios [Capital Spectator]Failure isnt an option, but it happens. Modeling the possibility that a portfolio strategy will stumble isnt exactly cheery work, but its a productive and necessary exercise for stress testing what the future can do to the best-laid plans for investing. The good news is that theres a rainbow of options for estimating the potential for trouble. But its usually best to start with a