This is a summary of links featured on Quantocracy on Thursday, 03/21/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Does Meta Labeling Add to Signal Efficacy? [Quants Portal]This weeks research was consumed by the concept of Meta-Labeling, how it works, and does it work out-of-sample? We have published a research report as well as an accompanying slide show. There was quite a bit of discussion this on the topic, the following is a link to a Github issue where a few friends and I discuss it at length: Meta-Labeling Q&A. Maksim Ivanov wrote a good blog post on it
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Why the Size Premium Should Persist w/ @LarrySwedroe [Alpha Architect]As the chief research officer for Buckingham Strategic Wealth and The BAM Alliance, Im often asked, after any asset class or factor experiences a period of poor performance, if the historical outperformance of stocks with that characteristic has disappeared because the premium has become well known and arbitraged away. The size premiums relatively poor performance in U.S. stocks over the
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Revisiting the Kalman Filter [Dekalog Blog]Some time ago ( here, here and here ) I posted about the Kalman filter and recently I have been looking at Kalman filters again because of this Trend Without Hiccups paper hosted at SSRN. I also came across this Estimation Lecture paper which provides MATLAB code for the testing of Kalman filters and my Octave suitable version of this code is shown in the code box below.