This is a summary of links featured on Quantocracy on Sunday, 03/28/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Market Consequences of Investment Advice on Reddit’s Wallstreetbets [SSRN]We examine the market consequences of due diligence (DD) reports on Reddits Wallstreetbets (WSB) platform. We find average buy recommendations result in two-day announcement returns of 1.1%. Further, the returns drift upwards by 2% over the subsequent month and nearly 5% over the subsequent quarter. Retail trading increases sharply in the intraday window following publication, and retail
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Market/Volume Profile and Matrix Profile [Dekalog Blog]A quick preview of what I am currently working on: using Matrix Profile to search for time series motifs, using the R tsmp package. The exact motifs I'm looking for are the various "initial balance" set ups of Market Profile charts. To do so, I'm concentrating the investigation around both the London and New York opening times, with a custom annotation vector (av). Below is a