This is a summary of links featured on Quantocracy on Sunday, 03/17/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Generate synthetic market data with TensorFlow [PyQuant News]The lifeblood of quant finance is data. The problem is that data is sometimes hard to come by. It may be expensive or just not available. What if we had a way to generate synthetic market data? Artificially recreating a dataset is a complex process. The new data needs to mimic the existing data distributions and not introduce biasing or noise in the dataset. Thats where Generative Adversarial
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The Gap Momentum System [Financial Hacker]Jerry Kaufman, known for his technical indicators bible, presented in TASC 1/24 a trading strategy based on upwards and downwards gaps. For his system, he invented the Gap Momentum Indicator (GAPM). Here Im publishing the C version of his indicator, and a simple trading system based on it. The indicator is a straighforward conversion of Kaufmans EasyLanguage code to C: var GAPM(int Period,
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Breaking Bad Momentum Trends [Alpha Architect]Perhaps the most well-documented and researched asset pricing anomaly is momentumthe tendency of past winner stocks to outperform past loser stocks over the next several months. While average time-series momentum (trend following) returns have been high, strategies employing trend following have also experienced huge drawdowns (crashes) at turning points (which mark reversals in trend from