This is a summary of links featured on Quantocracy on Monday, 03/08/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
Detecting Volume Breakouts [Financial Hacker]It is estimated that about 6000 different technical indicators have been meanwhile published, but few of them are based on volume. In his article in Stocks & Commodities April 2021, Markos Katsanos proposed a new indicator for detecting high-volume breakouts. And he tested it with a trading system that I believe is the most complex one ever posted on this blog. The VPN indicator calculates the
Autoregression: Model, Autocorrelation and Python Implementation [Quant Insti]Time series modelling is a very powerful tool to forecast future values of time-based data. Time-based data is data observed at different timestamps (time intervals) and is called a time series. These time intervals can be regular or irregular. Based on the pattern, trend, etc. observed in the past data, a time series model predicts the value in the next time period. The time series models
Low Volatility Factor Investing: Risk-Based or Behavioral-Based or Both? [Alpha Architect]The low-risk effect (aka low volatility) is based on the empirical observation that assets with low risk have high alpha. Specifically in this research, the effect is defined as the risk-adjusted return spread between low-risk and high-risk portfolios and not just low-risk stocks. Since the low-risk effect confounds traditional asset pricing models, various researchers have developed competing