This is a summary of links featured on Quantocracy on Sunday, 05/05/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Bootstrap Simulations with Exact Sample Mean Vector and Sample Covariance Matrix [Portfolio Optimizer]Bootstrapping is a statistical method which consists in sampling with replacement from an original data set to compute the distribution of a desired statistic, with plenty of possible variations depending on the exact context (non-dependent data, dependent data). Because bootstrap methods are not, in general, based on any particular assumption on the distribution of the data, they are well
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Dual Momentum in Cryptocurrencies? [Hanguk Quant]Over the last few weeks, we talked about funding arbitrage, Crypto Arbitrage (1 Week Setup) Crypto Arbitrage (1 Week Setup) HangukQuant Apr 10 Read full story extended the quant library to incorporate crypto backtesting Announcing Crypto and Other Backtesting Logic ; Quantpylib Announcing Crypto and Other Backtesting Logic ; Quantpylib HangukQuant Apr 27 Read full story and introduced new
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Inventory scores and metal futures returns [SR SV]Inventory scores are quantamental (point-in-time) indicators of the inventory states and dynamics of economies or commodity sectors. Inventory scores plausibly predict base metal futures returns due to two effects. First, they influence the convenience yield of a metal and the discount at which futures are trading relative to physical stock. Second, they predict demand changes for restocking by
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Momentum and the Clarity of the Trend [Alpha Architect]Momentum continues to receive much attention from researchers because of the strong empirical evidence. Out of the hundreds of exhibits in the factor zoo, momentum (both cross-sectional [long-short] and absolute [trend]) was one of just five equity factors that met all the criteria (persistent, pervasive, robust, implementable, and intuitive) Andrew Berkin and I established in our book Your