This is a summary of links featured on Quantocracy on Sunday, 04/12/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Capital Recycling at Elevated Valuations: A Historical Simulation [Philosophical Economics]Those who expect U.S. equities to deliver poor returns going forward can cite two compelling reasons in defense of their expectation: (1) Equity prices are significantly elevated relative to underlying earnings fundamentals. The S&P 500?s trailing price-to-earnings ratio, for example, is 20.5 on a GAAP basis and 18.8 on an operating basis, more than a full standard deviation above the
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[Academic Paper] State-of-the-Art in Sequential Change-Point Detection [@Quantivity]State-of-the-Art in Sequential Change-Point Detection
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[Academic Paper] Observability of Market Daily Volatility [@Quantivity]Observability of Market Daily Volatility