This is a summary of links featured on Quantocracy on Sunday, 05/05/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
When the Jobs Report Sparks the NASDAQ to Rally to a New High [Quantifiable Edges]The employment report was the catalyst for the big rally Friday, and the NASDAQ closed at a new high. The study below looks back at other instances where the NASDAQ spiked higher and closed at a new high on the day of an employment report. 2019-05-05 Employment-sparked momentum leading to new highs like we saw on Friday has seen positive short-term follow through in the past. This certainly
Bayesian Risk Forecasting [SR SV]Portfolio risk forecasting is subject to great parameter uncertainty, particularly for longer forward horizons. This simply reflects that large drawdowns are observed only rarely, making it hard to estimate their structural properties. Bayesian forecasting addresses parameter uncertainty directly when estimating risk metrics, such as Value-at-Risk or Expected Shortfall, which depend on