This is a summary of links featured on Quantocracy on Sunday, 04/18/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Beta in the tails [Eran Raviv]Every form of strength is also a form of weakness*. I love statistics, but I focus to much on methodology, which is not for everyone. Some people (right or wrong) question: wonderful sir, but what can I do with it?. A new paper titled Beta in the tails is a showcase application for why we should focus on correlation structure rather than on average correlation. They discuss the
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The Price Wave Radio [Financial Hacker]Price curves consist of much noise and little signal. For separating the latter from the former, John Ehlers proposed in the Stocks&Commodities May 2021 issue an unusual approach: Treat the price curve like a radio wave. Apply AM and FM demodulating technology for separating trade signals from the underlying noise. A very simple AM (amplitude modulation) receiver is just an antenna, a