Quantocracy’s Daily Wrap for 05/04/2015

For the second Friday in a row, the Nasdaq put in a rally that, under the surface, was not as impressive as its headline gain would suggest. A week ago, we noted that the April 24 rally of more than 1.5% in the Nasdaq 100 (NDX) to a 52-week high was accompanied by A) both negative breadth and volume breadth on the exchange and B) a decline on the day in the Russell 2000 small cap index

We analyze the information content of corporate insiders trades after accounting for certain trading patterns. Insiders spread their trades over longer periods of time when they have a longer-lived informational advantage and when outside investors are less attentive. In contrast, they make isolated trades in short windows of time when their informational advantage is short-lived. Both

Ive just finished the rough draft of a new book about concentrated value investing and the investors who practice it. One of the side-effects of extreme concentration is idiosyncratic portfolio performanceconcentrated portfolios behave differently from the market. This makes sense. To beat the market one must hold stocks in a different composition to the market, which in turn means pe

Yes its May and that is an exciting time for us financial writer types as we stumble over one another in our haste to post our obligatory Sell in May and Go Away related articles. As you can see, at #2,106 (for the record just sort of a ballpark guess but probably pretty close to correct) I am a little late to the game (I knew I shouldnt have gone away this weekend).

Are prominent stock market bloggers in aggregate able to predict the markets direction? The Ticker Sense Blogger Sentiment Poll is a survey of the webs most prominent investment bloggers, asking What is your outlook on the U.S. stock market for the next 30 days?' (bullish, bearish or neutral) on a weekly basis. The site currently

Most people think about where to get into and out of positions. Nearly all traders know how important it is to follow their rules, and the majority of them always work toward being more disciplined. These are important pieces of a successful investment strategy, and most traders work on these things. But theres one thing that is usually neglected, and it can turn winners into losers. When you

May has seen a rise on the 1st trading day of the month a high percentage of the time. But that start of May strength has not typically seen follow-through in the next few days. This can be seen in the results table below. Of the 18 instances that rose on the first day in May since 1987, 14 of them closed lower 4 days later. Traders may want to keep this in mind this week. Want research like this

Martingale Decomposition of Discrete Markov Chains

Good Carry, Bad Carry

Idiosyncratic Volatility Puzzle: A Behavioral Explanation

Note on Validity of Cross-Validation for Evaluating Time Series Prediction