This is a summary of links featured on Quantocracy on Wednesday, 05/09/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Improving data diversity. Synthetic Financial Time Series Generator [Quant Dare]When dealing with data we (almost) always would like to have better and bigger sets. But if theres not enough historical data available to test a given algorithm or methodology, what can we do? Our answer has been: creating it. How? By developing our own Synthetic Financial Time Series Generator. Lets start using a metaphor to make our purpose clearer: imagine you are a researcher of such an
Introducing Fed-Based Quantifiable Edges for Stock Market Trading (Research Paper) [Quantifiable Edges]I have shown Fed-based studies here at Quantifiable Edges since inception in 2008. And since 2010 I have closely tracked SOMA movement and its influence on the market in the Quantifiable Edges subscriber letter. This has proven extremely valuable in my research and trading. Now, after years of Fed-related work, I have put together a detailed research paper: Fed-Based Quantifiable Edges for Stock
Seasonal Strategy on US Equities + Genovest tests Quantpedia strategy [Quantpedia]We revisit a series of popular anomalies: seasonal, announcement and momentum. We comment on statistical significance and persistence of these effects and propose useful investment strategies to incorporate this information. We investigate the creation of a seasonal anomaly and trend model composed of the Sell in May (SIM), Turn of the Month (TOM), Federal Open Market Committee pre-announcement