This is a summary of links featured on Quantocracy on Friday, 04/07/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Market State Impact on Cross-Sectional and Time-Series Momentum Strategy [Quantpedia]Recent evidence on momentum returns shows that the time-series (TS) strategy outperforms the cross-sectional (CS) strategy. We present new evidence that this happens only when the market continues in the same state, UP or DOWN. In fact, we find that the TS strategy underperforms the CS strategy when the market transitions to a different state. Our results show that the difference in momentum
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Settle For Oil [Throwing Good Money]Above: long-exposure nighttime shot of oil rigs off the coast of California. Strange things happen to options and futures on fairly predictable dates. Options expiration dates, contract settlement datesthese are trading days where and this is just my theory some traders just want to get out of a trade by any means necessary. So it can, in theory, lead to behaviors that cant easily be