This is a summary of links featured on Quantocracy on Friday, 04/13/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Correlated Volatility Shocks by Dr. Xiao Qiao [Quantopian]Commonality in idiosyncratic volatility cannot be completely explained by time-varying volatility. After removing the effects of time-varying volatility, idiosyncratic volatility innovations are still positively correlated. This result suggests correlated volatility shocks contribute to the co-movement in idiosyncratic volatility. Motivated by this fact, Dr. Xiao Qiao proposes the Dynamic Factor
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Goodbye Google, Hello Tiingo! [Foss Trading]First, the bad news: Google Finance no longer provides data for historical prices or financial statements, so we say goodbye to getSymbols.google() and getFinancials.google(). (#221) They are now defunct as of quantmod 0.4-13. Now, the good news: Thanks to Steve Bronder, getSymbols() can now import data from Tiingo! (#220) This feature is part of quantmod 0.4-13, which is now on CRAN. Windows and
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The Elo system [Quant Dare]My favorite moment of the film The Social Network takes place when Mark Zuckerberg asks his roommate Eduardo Saverin to explain the Elo system to him. This algorithm is used to rank chess players. At that time, Zuckerberg was developing the just-for-fun website Facemash, an early predecessor of Facebook targeted at Harvard students. In this website, visitors would be shown pairs of pictures of
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A Scary Pattern [Quantifiable Edges]Friday the 13th is upon us. Known for bad luck and horror movies, I decided to go back and see how SPX has performed on this day. What I found was scary 2018-04-13 Good luck trading today!
