This is a summary of links featured on Quantocracy on Saturday, 04/25/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Podcast with @MebFaber: Why an investment plan is a must and how to behave in a market crash [System Trader Show]Meb Faber is a co-founder and the Chief Investment Officer of Cambria Investment Management. His speciality is quant investing. Meb is the host of The Meb Faber Show podcast and has authored numerous white papers and books. He is a frequent speaker and writer on investment strategies and has been featured in Barrons, The Wall Street Journal, The New York Times, and The New Yorker. In this
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Risk premia [OSM]Our last post discussed using the discounted cash flow model (DCF) as a method to set return expectations that one would ultimately employ in building a satisfactory portfolio. We noted that if one were able to have a reasonably good estimate of the cash flow growth rate of an asset, then it would be relatively straightforward to calculate the required return. The problem, of course, is figuring
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Research Review | 24 April 2020 | Covid-19 Blowback [Capital Spectator]Howell E. Jackson (Harvard Law School) and Steven L. Schwarcz (Duke U.) April 19, 2020 The coronavirus has produced a public health debacle of the first-order. But the virus is also propagating the kind of exogenous shock that can precipitate and to a considerable degree is already precipitating a systemic event for our financial system. This currently unfolding systemic shock comes a
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Visualising Oanda’s Orderbook [Dekalog Blog]My earlier post of 26th March shows code to visualise the most recent instantaneous snapshot of Oanda's order book, realised as a horizontal bar chart superimposed over a price chart. Below is a screen shot of a different type of chart designed to show the historical order book, which is similar to the proprietary Bookmap software. The background of the chart is a heatmap of the 20 order book