This is a summary of links featured on Quantocracy on Monday, 04/12/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Time Machines for Investors [Factor Research]Investors are challenged when evaluating investment opportunities with limited track records Factor exposure analysis can be used to create replication portfolios These empower investors to walk backward and forward in time, enhancing the investment decision process INTRODUCTION Investing is all about time traveling. Most investors travel forward a few days, months, or even years, in order to take
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Where You Can Trade Cryptocurrencies using Fiat Currencies? [Quant at Risk]With a myriad of new crypto-exchanges popping up every quarter, lots of newcomers to this fields can be overwhelmed by their number. Big names can quickly stand out if you filter the list according to daily trading volume or the total number of cryptocurrencies available for trading. Some offer decent liquidity but some are newly born rising stars. In this quick note, we will show a few-liner in
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Cryptocurrency Volatility Indexes [Only VIX]Last week I wrote about BVOL – bitcoin volatility index launch on Deribit. However this is not the first crypto volatility index. In fact last year T3 Indexes – the folks behind SPIKES volatility index launched both Bitcoin and Etherium volatility indexes, and already executed trades tied to their BitVol index on LedgerX platform. The first trade executed about a month ago was a call spread; the
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The Definitive Guide to Pairs Trading [Hudson and Thames]Born at Morgan Stanley in the late 1980s, under the wing of Nunzio Tartaglia and his team, who later split up to start several of the worlds best hedge funds, namely PDT Partners and D.E. Shaw (which then lead to Two Sigma). Pairs trading has proven to be a popular and sophisticated trading strategy, often taught in advanced MSc Financial Engineering programs. A special mention to Gerry
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Trend-Following Filters Part 3 [Alpha Architect]This is the third article in a series of three, the first two are available here and here. Those articles focus on examining from a digital signal processing (DSP) perspective 1 various types of digital filters that are designed to model trends in time series, in order to illustrate their properties and limitations. This article discusses a different signal processing tool called a filter
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Research Review | 9 April 2021 | Bitcoin [Capital Spectator]How Much Bitcoin Should I Own? A Mathematical Answer Adam Grealish (Betterment) March 9, 2021 It goes without saying that this is a hard question to answer. But we can borrow a page from modern quantitative finance to help us arrive at a potential answer. For years, Wall Street quants have used a mathematical framework to manage their portfolios called the Black-Litterman model. Yes, the