This is a summary of links featured on Quantocracy on Wednesday, 03/27/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Pitfalls When Assessing Market-Timing Strategies [Alpha Architect]Consider a market-timing strategy which supposedly predicts the direction of the stock market trend. Such a strategy generates Buy and Sell signals. A Buy signal is the signal to buy stocks, whereas a Sell signal is the signal to sell. Simple enough, but how does one evaluate the forecast accuracy of the market timing strategy? Quant traders often evaluate the forecast accuracy of a market-timing
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Risk targeting and dynamic asset allocation: absolute or relative momentum? [Investment Idiocy]Quite a few of my recent blog pieces have been picked up by the lovely folk at allocate smartly. So I thought I'd write an asset allocation piece, as the readers of my second book "Smart Portfolios" probably feel neglected with the lack of articles on investment rather than trading. Absolute or relative momentum? The motivation for this comes from a table in my second book, which
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Fundamental Manifoldness [Quant Dare]One of the hardest and most frequent tasks for anyone in the quantitative finance world is to summarize or visualize in a simple way a vast amount of data to represent a company. In this blog, we have covered different Machine Learning techniques that allow us to summarize information through dimensionality reduction. These techniques let us improve the performance of our models and the display of