This is a summary of links featured on Quantocracy on Tuesday, 04/27/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Site: GANs and Synthetic Market Data (h/t @thodoha) [Mark Best]I have been thinking a lot about risk lately. The liquidity injections from the FED are pushing risk assets higher and higher. There seem to be bubbles in nearly every speculative assets. The main concern long term would be rising rates at the same time as a falling dollar suggesting there is no longer a market for US debt. Recently however rates have been rising which is causing concern that the
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Learning the Exit (part 2) [Tr8dr]As described in my prior post Learning the Exit (part 1), I have a model that indicates mean reversion entries with ~81% accuracy, however I did not have a good approach in handling the exit. While 81% of MR signals had a minimum profit of 25% (of prior amplitude), the mean profit available was 150%, pointing to a larger profit opportunity to be had if can better handle the exit. I have found it