This is a summary of links featured on Quantocracy on Wednesday, 04/25/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Exploring Alternative Price Bars [Black Arbs]This post explores a concept at the heart of quantitative financial research. Most qfin researchers utilize statistical techniques that require varying degrees of stationarity. As many of you are aware financial time series violate pretty much all the rules of stationarity and yet many researchers, including me, have applied or will apply techniques when not appropriate thereby calling into
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Mean Reversion Entry Timing [Alvarez Quant Trading]One of the first tests I did when I got AmiBroker twenty years ago was a mean reversion test. It was a classic set up, a stock in an uptrend, followed by a pullback. But the entry differed from what I do now. The entry waited for a confirmation of the trend back up. The trade would enter when the stock crossed above the previous days high. The exit was also different. The exit was on a close
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Crypto-asset Research Survey [CXO Advisory]What is the body of academic research on crypto-assets? In their March 2018 paper entitled Cryptocurrencies as a Financial Asset: A Systematic Analysis, Shaen Corbet, Brian Lucey, Andrew Urquhart and Larisa Yarovaya review available research on cryptocurrencies as financial assets. They define crypto-assets as peer-to-peer electronic transaction systems which allow payment by one party