Quantocracy’s Daily Wrap for 04/24/2023

I have seen some chat about the Russell Death Cross that occurred on Friday and the potential bearish implications for the market. A Death Cross is a catchy (though not terribly accurate) term for when the 50-day moving average of a security cross below its 200-day moving average. It is sometimes promoted as a warning of a potential bear market. Of course all bear markets will see this

Thanks to the courtesy of Packt Publishing, I had the pleasure of receiving, reading, and studying the new release of Python for Finance Cookbook, the book by Eryk Lewinson. This is the second (and probably the last) edition, according to the author himself. Therefore, it must be solid and memorable. I do think Eryk made every effort to deliver a masterpiece in a neat and condensed form. Since

Investors typically use correlation to identify diversifying strategies, but the metric can be misleading Upside and downside betas and correlations provide a better perspective Common hedge fund strategies failed to provide attractive diversification benefits INTRODUCTION Are investors as rational as portrayed in the finance literature? For example, when Lehman Brothers collapsed in October 2008,

What are the Research Questions? Communication in social networks is not new. In fact, it goes back to coffee houses in the 17th century. According to Standage (2006), the drama of the South Sea Bubble, a fraudulent investment scheme that collapsed in September 1720, ruining thousands of investors, was played out in coffeehouses. The author ask the following questions: How do social networks

In our book Your Complete Guide to Factor-Based Investing, Andrew Berkin and I provided evidence that among the hundreds of equity factors identified in the literature, there were only five that met our criteria for investment. The factor must have provided a premium that was: persistent across long periods and different economic regimes; pervasive across countries, regions, sectors, and