This is a summary of links featured on Quantocracy on Tuesday, 04/11/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Pop or Drop part 2: Big Moves Upward [Throwing Good Money]In the last post (here), I examined what happened after a stock moved down a significant multiple of its previous days Average True Range (ATR20 in this case). Stocks tended to have up days on day 1 and days 3-5, with a down day on day 2 as an average. What about bursts upward? Are they the opposite? Would they make a good shorting opportunity? Turns out, the answer is no! The Pop. Big pops
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State of Trend Following in March [Au Tra Sy]Another negative month for this (delayed) State of Trend Following report. To say that the last 12 months have been far from the best performing period for the index seems an understatement. I also include in this months report (further below) the 12-month chart from the post I write for the Wisdom State of Trend Following for a longer-horizon picture. Please check below for more details.
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The Shape of Supply and Demand Curves in Rapidly Clearing Markets [Mechanical Markets]A central challenge in economics is understanding how price affects the quantity of supply and demand, a relationship often assumed to be approximately linear. But there are markets where this notion of linearity, sometimes called elasticity, may not hold. In a paper that deserves more attention, Donier and Bouchaud show that supply/demand curves of rapidly clearing markets (with a Brownian