This is a summary of links featured on Quantocracy on Sunday, 05/10/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Online Portfolio Selection: Mean Reversion [Hudson and Thames]Mean Reversion is an effective quantitative strategy based on the theory that prices will revert back to its historical mean. A basic example of mean reversion follows the benchmark of Constant Rebalanced Portfolio. By setting a predetermined allocation of weight to each asset, the portfolio shifts its weights from increasing to decreasing ones. This module will implement four types of mean