This is a summary of links featured on Quantocracy on Monday, 05/04/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Using Apache Airflow to Extract CoT Data [Robot Wealth]In todays post we are going to be extracting CoT (Commitment of Traders) reports from the CFTC website using a pipeline built on Apache Airflow. What is CoT data? The CoT report is a weekly publication which reports the open positions of market participants in the U.S futures market. Its published every Friday at 3:30 E.T but the actual report from the participants is compiled on the same
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Online Portfolio Selection: Momentum [Hudson and Thames]Today we will be exploring the second chapter of our newest online portfolio selection module, momentum. Momentum strategies have been a popular quantitative strategy in recent decades as the simple but powerful trend-following allows investors to exponentially increase their returns. This module will implement two types of momentum strategies with one following the best-performing assets in the
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Value Crashes: Deep History [Two Centuries Investments]Value investing is struggling big time! As of March 2020, Value factor is down -51% from the peak reached 14 years ago. It is the longest and largest drawdown in values recent history. Many value investors have already rotated into growth. The remaining diehards also want to quit. Even Warren Buffett is selling. Source: Professor French Source: Professor French Is value investing dead? In the
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Market Profile Chart in Octave [Dekalog Blog]In a comment on my previous post, visualising Oanda's orderbook, a reader called Darren suggested that I was over complicating things and should perhaps use a more established methodology, namely Market Profile. I had heard of Market Profile before Darren mentioned it, but had always assumed that it required access to data that I didn't readily have to hand, i.e. tick level data. With my
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Merger Arbitrage: Arbitraged Away? [Factor Research]As AUM in merger arbitrage has increased, alpha decreased Investors can access merger arbitrage via hedge funds, bank indices, and ETFs The strategy is not as uncorrelated from equities as likely perceived by allocators INTRODUCTION Working in the restructuring team of a corporate finance boutique is like being a trader focused on short-selling. Most money is made when companies falter, and stocks
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Equilibrium theory of Treasury yields [SR SV]An equilibrium model for U.S. Treasury yields explains how macroeconomic trends and related expectations for future short-term interest rates shape the yield curve. Long-term yield trends arise from learning about stable components in GDP growth and inflation. They explain the steady rise of Treasury yields in the 1960s-1980s and their decline in the 1990s-2010s. Cyclical movements in yields