This is a summary of links featured on Quantocracy on Thursday, 03/30/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Free Friday #14 and #14a [Build Alpha]Happy Friday. The trader in me could not risk doing Free Friday #13 so I decided to release 2 strategies this week (14 and 14a). The first strategy shorts $GDX, the Gold Miners ETF, and the second strategy goes long $GLD, the Gold ETF. ff14a gdx_ff14 The strategy above is the GDX short strategy. The left chart is from Build Alpha (which now highlights out of sample trades – new feature) and the
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Why have asset price properties changed so little in 200 years? [Quantpedia]We first review empirical evidence that asset prices have had episodes of large fluctuations and been inefficient for at least 200 years. We briefly review recent theoretical results as well as the neurological basis of trend following and finally argue that these asset price properties can be attributed to two fundamental mechanisms that have not changed for many centuries: an innate preference