This is a summary of links featured on Quantocracy on Wednesday, 03/18/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Is robustness an ally? [Quant Dare]Many investment strategies use the mean like an official parameter. However, this estimator can be considered non-robust, being easily affected by outliers. But if we take a look at almost any financial series, we will notice that outliers may appear more often than we might think. Introduction In this post, we will try to study what happens if we introduce a robust parameter (such as the median)