This is a summary of links featured on Quantocracy on Wednesday, 04/14/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Copula for Statistical Arbitrage: Intro to Vine Copula [Hudson and Thames]Copula is a great statistical tool to study the relation among multiple random variables: By focusing on the joint cumulative density of quantiles of marginals, we can bypass the idiosyncratic features of marginal distributions and directly look at how they are related. Indeed, traders and analysts have been using copula to exploit statistical arbitrage under the pairs trading framework for
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A self optimising moving average [Philipp Kahler]Different markets and different timeframes will need different moving average periods. This article will show a way to construct a self optimising moving average, one which automatically adjusts its period to the charted market and timeframe. Reading a simple moving average I would like to start this new indicator with some thoughts about how to define how good a moving average is. Usually
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What cannot be hedged [Quant Dare]When looking to generate appreciable returns and increase diversification, it is natural to consider investing in foreign instruments. Currency risk then comes up, since the returns coming from these funds, stocks, bonds need to be translated into your home currency. The most straightforward solution to deal with this undesired extra risk is to hedge. In this context, the main objective of
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The Fibonacci Timing Pattern – Coding a Reversal Pattern to Trade the Markets [Milton FMR]I am always fascinated by patterns as I believe that our world contains some predictable outcomes even though it is extremely difficult to extract signals from noise, but all we can do to face the future is to be prepared, and what is preparing really about? It is anticipating (forecasting) the probable scenarios so that we are ready when they arrive. Pattern recognition is the search and