This is a summary of links featured on Quantocracy on Tuesday, 03/24/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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OCR for financial documents (h/t @PyQuantNews) [Nanonets]If you have a relative working in the banking industry, ask the person what annoys him/her most about the job. You will surely receive an answer that is related to the task of data entry i.e. the practice of manually entering serial numbers and names from financial documents into the banks database. This can also lead to the following problems: Lapses in Data Entry: Manual data entry would
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Is There Something Wrong with the Value Premium? [Alpha Architect]The dramatic underperformance of the value premium since 2018, among the largest drawdowns in history, has led many to question its existence. It is certainly possible that what economists call a regime change could cause assumptions for why the premium should exist/persist to have changed. For example, if it was purely behavioral-based, the publication of the findings of a premium could
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YTD Performance of Equity Factors [Quantpedia]Actual situation on financial markets changes extremely fast. At the time we are writing this blog post (Monday morning at 23rd of March) we have End-of-Day data to Fridays close (20th of March) and a few hours of trading action from Monday and VIX currently stands over 70. Markets are in turmoil, and there exist very few investors who are unscathed by current global events related to
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Managing Expectations By Simulating S&P 500 Drawdowns [Capital Spectator]The US stock market tumbled again yesterday, falling to a 3-1/2-year low, thanks to expanding coronavirus threat. The economic outlook is grim, at least for the near term, and so the market is attempting to price in this stark change. The result, not surprisingly, is a sobering, rapid fall from grace for stocks, which a bit more than a month ago reached a record high, based on the S&P 500. For