This is a summary of links featured on Quantocracy on Monday, 04/19/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Site: Machine learning for finance – part 2 [Thiago Marzagao]In this series of posts Im trying some of the ideas in the book Advances in Financial Machine Learning, by Marcos Lpez de Prado. Here I tackle an idea from chapter 5: fractional differencing. the problem Stock prices are nonstationary – their means and variances change systematically over time. Take for instance the price of BOVA11 (an ETF that tracks Brazils main stock market index,
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Myth-Busting: Money Printing Must Create Inflation [Factor Research]The link between central bank policy, money supply, and inflation seems to have changed QE money printing had no substantial impact on inflation, aside from asset price inflation More direct stimuli might change that INTRODUCTION London ranks ninth on the UBS Global Real Estate Bubble index for residential properties. Like in many other countries, property prices in the United Kingdom reached an
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Statistical arbitrage risk premium [SR SV]Any asset can use a portfolio of similar assets to hedge against its factor exposure. The factor residual risk of the hedged position is called statistical arbitrage risk. Consequently, the statistical arbitrage risk premium is the expected return of such a hedged position. A recent paper shows that both theoretically and empirically this premium rises in the stocks statistical arbitrage risk.