This is a summary of links featured on Quantocracy on Friday, 03/18/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Predicting NASDAQ price using news [Quant Dare]News have a huge impact in the global stock market, but its impossible even for professionals to be constantly updated. One can ask itself: is there any way to automate this procedure? Recently in this blog we have covered the topic of summarizing news by applying the TF-IDF algorithm, which is a powerful algorithm to extract key insights from a given text in an automatic way. In this post, we
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A Deep Dive into the Low Beta Premium [Alpha Architect]One of the big problems for the first formal asset pricing model developed by financial economists, the CAPM, was that it predicts a positive relationship between risk and return. However, empirical studies have found the actual relationship to be basically flat, or even negative. In addition, defensive strategies, at least those based on volatility, have delivered significant Fama-French
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$SPY Short-Term Overbought In A Downtrend [Quantifiable Edges]In last nights subscriber letter I showed a few studies suggesting the market was short-term overbought in a long-term downtrend, and that there appeared to be a short-term downside edge. Below is one of those studies, which also appeared in the Quantifinder yesterday afternoon.
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Research Review | 18 March 2022 | Commodities and Inflation [Capital Spectator]Performance of Gold as a Financial Asset During Different Phases of Financial Cycles Aniket Ranjan and Naveen Kumar (Reserve Bank of India) January 2022 The paper examines the fundamental relationship between gold and financial markets within the framework of unobserved components model. It measures the performance of gold as a financial asset during different phases of financial cycles (credit,