This is a summary of links featured on Quantocracy on Thursday, 04/01/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Bitcoin: An Asset Allocation Perspective [Light Finance]Its no secret that 2021 has started off well for Bitcoin. Having breached a new all time high of $61,788.45 on March 13th it seems that each passing month brings with it a new milestone, new players, and greater acceptance. Recently, significant news has focused on the pace of institutional adoption. In fact, in a survey of 800 institutional clients, investment giant Fidelity reported that a
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Conditional Parameter Optimization: Adapting Parameters to Changing Market Regimes via Machine Learning [EP Chan]Every trader knows that there are market regimes that are favorable to their strategies, and other regimes that are not. Some regimes are obvious, like bull vs bear markets, calm vs choppy markets, etc. These regimes affect many strategies and portfolios (unless they are market-neutral or volatility-neutral portfolios) and are readily observable and identifiable (but perhaps not predictable).
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Fixed Income when you re Between a Rock and a Hard Place – Part 1/2 [Alpha Architect]Investors are stuck between a rock and a hard place. On one hand, it is painful to buy bonds that deliver paltry yields near all-time lows (Figure 2). On the other hand, many investors risk tolerance, compliance guidelines or liabilities preclude them from reducing their fixed income allocations. While there is likely no panacea for this dilemma, fixed income factors may offer incremental
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What is Mutual Information? [Quant Dare]In the field of machine learning, when it comes to extracting relationships between variables, we often use Pearson correlation. The problem is that this measure only finds linear relationships, which can lead sometimes to a bad interpretation of the relation between two variables. Nevertheless, other statistics measure non-linear relationships, such as mutual information. Therefore, in this post,