This is a summary of links featured on Quantocracy on Monday, 04/15/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
The Speed Limit of Trend [Flirting with Models]Trend following is mechanically convex, meaning that the convexity profile it generates is driven by the rules that govern the strategy. While the convexity can be measured analytically, the unknown nature of future price dynamics makes it difficult to say anything specific about expected behavior. Using simulation techniques, we aim to explore how different trend speed models behave for