This is a summary of links featured on Quantocracy on Thursday, 05/02/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Tops Wobble Before Falling Over [Quantifiable Edges]Ive shown numerous studies in the past that suggest uptrends often become choppy before they ultimately end. It is highly unusual for an uptrend that is showing strong persistence to abruptly top out. The study below demonstrates this concept. The persistent uptrend of late has kept SPX above its short-term moving averages for an extended period. Tuesday, after 22 consecutive closes above the
Deep Dive into the Value Factor [Alpha Architect]The financial equivalent of the famous Miller Lite, tastes great, less filling debate is the debate between traditional financial economics which uses risk theories to explain asset pricing and the newer behavioral finance field that uses human behavior to provide the explanations. Unfortunately, theres no consensus on which side of the debate is correct. My own view is that both have