This is a summary of links featured on Quantocracy on Tuesday, 04/03/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Timing Country Exposure with Value: A Valuation Measure Horserace [Alpha Architect]Buy cheap. This is a motto many live by, not only in their daily lives but also in their investment philosophy. Historically, buying cheap stocks was a good idea (i.e., the so-called value premium). But how might valuation matter when it comes to country allocations? In other words, given valuations, how much money should I allocate to U.S. equity and how much should I allocate to
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How to Perform Investment Sentiment Analysis on Twitter [Alpha Architect]What are the research questions? By studying tweets on thirty companies in the Dow Jones Index, the authors ask the following research question: Is it possible to develop a system for the detection and discovery of the popularity of special events on Twitter that may influence the financial markets? What are the Academic Insights? The system devised by the authors is composed of five steps: