This is a summary of links featured on Quantocracy on Thursday, 03/12/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Vector Autoregression Trading Model [Robot Wealth]The vector autoregression (VAR) framework is common in econometrics for modelling correlated variables with bi-directional relationships and feedback loops. If you google vector autoregression youll find all sorts of academic papers related to modelling the effects of monetary and fiscal policy on various aspects of the economy. This is only of passing interest to traders. However, if we