This is a summary of links featured on Quantocracy on Thursday, 04/27/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Machine Learning Trading Essentials (Part 2): Fractionally differentiated features, Filtering, and Labelling [Hudson and Thames]Welcome back, fellow traders and machine learning enthusiasts! We hope youve been enjoying our journey towards building a successful machine learning trading strategy. If you missed Part 1 of our series, dont fret you can always catch up on our exploration of various financial data structures, such as dollar bars. In this post, well continue to investigate key concepts related to
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Democratize Quant 2023 is Live. Sign-up! [Alpha Architect]We will host our 6th annual Democratize Quant conference on May 18th via Zoom. The event is 100% free, but we do screen participants to enforce our no spammers policy. Request access Conference website Our speaker line-up is excellent, and we look forward to some exciting discussions. Date Time Topic Presenter Notes 5/18 09:30 09:45 Introduction Wes Gray CEO Alpha Architect 5/18
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Novel explanations for risk-based option momentum [Alpha Architect]Stock momentum trading is popular in practice and extensively investigated in academic studies. The paper finds a new option momentum, extending a recent study by Heston et al. (2022), who show that options also display momentum. Our risk-based option momentum is substantially stronger, has a risk explanation, and is also an extension of the stock risk momentum patterns uncovered by Li, Yuan, and