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Quantocracy’s Daily Wrap for 04/05/2016

This is a summary of links featured on Quantocracy on Tuesday, 04/05/2016. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Detecting Human Fear in Electronic Trading: Emotional Quantum Entanglement [Quant at Risk]

    This post presents an appealing proof for the progressing domination of algorithmic trading over human trading. By analysing the US stock market between 1960 and 1990, we estimate a human engagement (human factor) in live trading decisions taken after 2000. We find a clear distinction between 2000-2002 dot-era trading behaviour and 2007-2008 crisis. By the use of peculiar data samples, we
  • Taleb: “Problems and Inverse Problems” Follow-Up [Blue Event Horizon]

    In my previous post I published a bunch of R Scripts that will enable a reader of Taleb's "Silent Risk", Chapter 3, Section 3.2 "Problems and Inverse Problems" to play with the ideas he presents. I thought I should discuss one of the results those scripts produce that does not jive with Taleb's. I know from writing blog posts that it is incredibly difficult to be
  • Bounceback portfolio 2016 [UK Stock Market Almanac]

    The Bounceback Portfolio invests in the 10 worst performing FTSE 350 stocks of the previous year and holds them for the 3-month period, January-March. Performance in 2016 The following table lists the ten worst performing FTSE 350 stocks in 2015. These ten stocks form the 2016 Bounceback Portfolio. Company TIDM 2015 2016 (Jan-Mar) Anglo American AAL -75.1 84.4 Glencore GLEN -69.7 73.9 KAZ Minerals

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