This is a summary of links featured on Quantocracy on Thursday, 03/22/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Machine Learning Modelling in R Cheat Sheet [R Trader]I came across this excellent article lately Machine learning at central banks which I decided to use as a basis for a new cheat sheet called Machine Learning Modelling in R. The cheat sheet can be downloaded from RStudio cheat sheets repository. As the R ecosystem is now far too rich to present all available packages and functions, this cheat sheet is by no means exhaustive . Its rather a
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Momentum Everywhere, Including in Factors [Alpha Architect]Momentum is the tendency for assets that have performed well (poorly) in the recent past to continue to perform well (poorly) in the future, at least for a short period of time. In 1997, Mark Carhart, in his study, On Persistence in Mutual Fund Performance, was the first to use momentum, together with the three FamaFrench factors (market beta, size and value), to explain mutual fund
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Liquidity Creation in a Short-Term Reversal Strategies and Volatility Risk [Quantpedia]We show, both theoretically and empirically, that liquidity creation induces negative exposure to volatility risk. Intuitively, liquidity creation involves taking positions that can be exploited by privately informed investors. These investors' ability to predict future price changes makes their payoff resemble a straddle (a combination of a call and a put). By taking the other side,
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When NDX Has Closed At A Multi-Week Low On A Fed Day [Quantifiable Edges]As far as Fed Days go, Wednesday was a disappointment. Not only did it fail to rally, but it also left SPX and NDX at 10-day lows. With Fed Days typically bullish, finishing at a 10-day low is quite unusual. The results table below is part of a larger examination I did in last nights Subscriber Letter (click here for free trial). It looks at prior Fed Day instances of 10-day low closes for NDX