This is a summary of links featured on Quantocracy on Thursday, 04/21/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Measuring uncertainty in time series data [Quant Dare]In financial time series it is very common to make predictions of single points such as expected future prices or returns. But is there any other way of adding more information in our forecasts? In todays post we will be making probabilistic forecasts for time series data using recurrent neural networks with pytorch. Introduction Even though point forecasting gives us information about
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The Implementation Costs of Indexed ETFs [Alpha Architect]A common mistake made by many passive investors is that they view all index funds in the same asset class as commodities(1), often considering only the expense ratio when making their investment choices. However, not all index funds are alike, and not all passively managed funds (what I refer to as systematically structured portfolios) are index funds. Index funds and systematically
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Can Market Maker Capital Constraints Result in Mispricing of ETFs? [Alpha Architect]In this research, the authors explore the role of financial intermediaries in contagion or comovements in pricing efficiency. Specifically, lead market makers (LMMs) like Goldman Sachs, Cantor Fitzgerald, RBC Capital Markets, and others, have funding constraints that may influence their ability to accurately price ETFs and cause contagion in the pricing of financial assets. The market for ETFs
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Thematic Indices: Looking at the Past or the Future? [Factor Research]Thematic indices from MSCI have outperformed their benchmark since 2018 However, they have a rather unattractive factor mix Going against decades of research is not a sound investment strategy INTRODUCTION Although much of the future is uncertain, some technological innovations are rather certain. At some point, we will all have self-driving cars, robots that help us with daily chores, can travel