This is a summary of links featured on Quantocracy on Saturday, 04/08/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Mean reversion in government bonds [OS Quant]Interest rates are not necessarily a pure random walk. This assumption falls out from noticing that yields of different bond maturities must be in some way related. Have a look at the yields of the 30 year and 3 year U.S. Treasuries in the plot below. Notice that the 3 year yield bounces up and down mostly below the 30 year yield. DGS3 DGS30 0%2%4%6%8%10%12%14%16%18% Interest
-
Undersampling [Financial Hacker]All the popular smoothing indicators, like SMA or lowpass filters, exchange more lag for more smoothing. In TASC 4/2023, John Ehlers suggested the undersampling of price curves for achieving a better compromise between smoothness and lag. We will check that by applying a Hann filter to the original price curve and to a 5-fold undersampled curve. The C code of the used Hann filter, straight