This is a summary of links featured on Quantocracy on Friday, 04/17/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Petra on Programming: A Unique Trend Indicator [Financial Hacker]This months project is a new indicator by John Ehlers, first published in the S&C May 2020 issue. Ehlers had a unique idea for early detecting trend in a price curve. No smoothing, no moving average, but something entirely different. Lets see if this new indicator can rule them all. The basic idea of the Correlation Trend Indicator (CTI) is quite simple. The ideal trend curve is a straight
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Dividends, Stock Prices, and Inflation [Alpha Architect]Building on the concepts presented in my Dividends Are Different article, here we present data and observations highlighting the relationship between inflation and 1) company fundamentals, 2) dividends, and 3) stock market movements. 1 We look at empirical data to investigate how inflation relates to market prices, earnings, and dividends. We measure results over 25-year time periods fairly
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Attention Data Geeks: Our Factor Investing Data Library is Open [Alpha Architect]Are you doing independent factor research? Have you spent countless hours on Ken Frenchs website? Do you run factor regressions for fun? Congrats you are officially a finance geek and you will probably benefit from our new factor investing library. Our library has over 300 factors to choose from and has data available from 92 to the most recent period. The factors are built across the
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Working with High-Frequency Tick Data – Cleaning the Data [Quantpedia]Tick data is the most granular high-frequency data available, and so is the most useful in market microstructure analysis. Unfortunately, tick data is also the most susceptible to data corruption and so must be cleaned and conditioned prior to being used for any type of analysis. This article, written by Ryan Maxwell, examines how to handle and identify corrupt tick data (for analysts unfamiliar