This is a summary of links featured on Quantocracy on Saturday, 03/30/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Noisy Data strategy testing [Philipp Kahler]Algorithmic trading adds noise to the markets we have known. So why not add some noise to your historic market data? This way you can check if your algorithmic trading strategies are fit for the future. Learn how to generate noisy data and how to test your strategies for stability in a noisy market. Synthetic market data? Generating synthetic market data to test algorithmic strategies is a
-
Survival in the trading factor zoo [SR SV]The algorithmic strategy business likes quoting academic research to support specific trading factors, particularly in the equity space. Unfortunately, the rules of conventional academic success provide strong incentives for data mining and presenting significant results. This greases the wheels of a trial-and-error machinery that discover factors merely by the force of large numbers and