This is a summary of links featured on Quantocracy on Tuesday, 03/08/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Factor Performance in Cold War Crises – A Lesson for Russia-Ukraine Conflict [Quantpedia]The Russia-Ukraine war is a conflict that has not been in Europe since WW2. And it has great implications not only on human lives but also on security prices. It bears numerous characteristics of the cold war crises, where two nuclear powers (Soviet Union and USA/NATO) were often very close to hot war or were waging a proxy war in 3rd countries. We thought it might be wise to look at similar
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New Accounting Standards and Factor Investing [Alpha Architect]How well do quantitative investors navigate around the changes to the accounting standards that are endemic to the financial data used in quantitative strategies? The numbers reported on financial statements are wholly governed by regulation and by each firms interpretation of those accounting standards. So do quants stick to their empirical evidence on old data methods or do they react in