This is a summary of links featured on Quantocracy on Wednesday, 03/20/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Asset Allocation Roundup [Allocate Smartly]Five recent asset allocation articles (tactical or otherwise) that you might have missed: 1. ETF Bond Rotation (Alvarez Quant Trading) Cesar looks at different flavors of a simple momentum-based bond rotation strategy. Using momentum to time bond asset classes has not worked nearly as well as it has with other assets. And unlike most asset classes, very short-term momentum has been more effective
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Generating Financial Series with Generative Adversarial Networks [Quant Dare]The scarcity of historical financial data has been a huge hindrance for the development of algorithmic trading models ever since the first models were devised. In the ever-changing economic reality we live in, countless models are tried and evaluated. Most of these models seek to extract information from the market by measuring a set of reasonable variables. Through backtesting, an overwhelming
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Hedging Long-Term Risk with an Intraday Strategy [Quant Rocket]Do intraday strategies have a place in the portfolios of long-term investors and fund managers? This post explores an intraday strategy that works best in high volatility regimes and thus makes an attractive candidate for hedging long-term portfolio risk. Trading hypothesis: first half hour predicts last half hour Source paper: Gao, Lei and Han, Yufeng and Li, Sophia Zhengzi and Zhou, Guofu,