This is a summary of links featured on Quantocracy on Monday, 04/03/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Diversification, Adaptation, and Stock Market Valuation [Philosophical Economics]Looking back at asset class performance over the course of market history, we notice a hierarchy of excess returns. Small caps generated excess returns over broad equities, which generated excess returns over corporate bonds, which generated excess returns over treasury bonds, which generated excess returns over treasury bills (cash), and so on. This hierarchy is illustrated in the chart and table
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Early April s Bullish Inclination [Quantifiable Edges]The study below is one I have shown here on the blog a few times over the years. It examines the bullish inclination the market has had in early April. 2017-04-03 Numbers here appear impressive. Of further note, sixteen of the 1st eighteen years were higher on day 4, but the 2012-2014 instances saw mild declines. Meanwhile, the 2-day time period has been positive 10 of the last 11 years, with 2015
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The Curious Case of the Missing Credit Premium [Flirting with Models]Before we dive into this weeks commentary, we want to extend a very heartfelt thank you to everyone who nominated us for ETF.coms 2016 ETF Strategist of the Year Award. The award ceremony was held on Thursday night and we were fortunate enough not to leave empty handed! Were incredibly honored and humbled and would like to thank ETF.com, our partners, our advisor community, and all the
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A Tensorflow Exercise [Quintuitive]A previous post in this series, implemented the Walk Forward Loop on top of Microsofts CNTK. There was interest in a Googles Tensorflow implementation, which seems to be the more popular framework in this domain, I decided to put what have already done with Tensorflow. The full source code is here. It will not work without modifications it needs data, and some of my modules. These are