This is a summary of links featured on Quantocracy on Wednesday, 04/28/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Copula for Statistical Arbitrage: Stocks Selection [Hudson and Thames]This is the fifth article of the copula-based statistical arbitrage series. You can read the previous four articles with the first three focusing on pairs-trading: Copula for Pairs Trading: A Detailed, But Practical Introduction. Copula for Pairs Trading: Sampling and Fitting to Data. Copula for Pairs Trading: A Unified Overview of Common Strategies. Copula for Statistical Arbitrage: A Practical
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Reducing data dimensionality using PCA [Quant Dare]One common problem when looking at financial data is the enormous number of dimensions we have to deal with. For instance, if we are looking at data from the S&P 500 index, we will have around 500 dimensions to work with! If we have enough computing power, we will be able to process so much data, but that will not always be the case. Sometimes, we need to reduce the dimensionality of the