This is a summary of links featured on Quantocracy on Tuesday, 04/28/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to Design Intraday Algo-Trading Model for Cryptocurrencies using Bitcoin-based Signals? [Quant at Risk]With a growing popularity of cryptocurrencies and their increasing year-over-year traded volumes, crypto algo-trading is a next big thing! If you study this market closely you will notice that it offers quick gains in much shorter unit of time comparing to stocks or FX. No wonder why a participation in trading, even using mobile apps like Coinbase or Binance attracts more people now than ever. A
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Overnight Risk Premium in Equity and Commodity Markets [Philipp Kahler]Over the last 20 years equity markets and ETFs did a significant part of their total performance over night. This article will examine the relationship of in-session moves vs. the out-of-session moves of ETFs and commodities. The overnight risk premium As an investor you can expect to get paid for taking risk. If someone sell its stock to you he gets the risk free return for holding cash, but you
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Ways to Measure Extreme Downside Risk [Alpha Architect]Larry Swedroe recently wrote a post titled Is there a Tail Risk Premium in Stocks. This post is a good complement to Larrys as this paper proposes two new measures of systematic tail risk and explores whether they are associated with a significant risk premium. The first measure, Extreme Downside Correlation (EDC), is based on the tendency of stock returns to crash at the same time as the