This is a summary of links featured on Quantocracy on Monday, 05/10/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Copula for Statistical Arbitrage: C-Vine Copula Trading [Hudson and Thames]This is the sixth article of the copula-based statistical arbitrage series. You can read all the articles in chronological order below. In this series, we dedicate articles 1-3 to pairs-trading using bivariate copulas and 4-6 to multi-assets statistical arbitrage using vine copulas. Copula for Pairs Trading: A Detailed, But Practical Introduction. Copula for Pairs Trading: Sampling and Fitting to
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Kalman Filter Techniques And Statistical Arbitrage In China’s Futures Market In Python [Quant Insti]Contrary to a more developed market, arbitrage opportunities are not readily realised which suggests there might be opportunities for those looking and able to take advantage of them. This project focuses on China's futures market using Statistical Arbitrage and Pair trading techniques. This article is the final project submitted by the author as a part of his coursework in Executive
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Improving the Odds of Value Investing [Factor Research]The stock market volatility, skewness, and yield curve influence the performance of the value factor Investors require a certain market environment to buy troubled companies The key performance driver of the value factor is risk sentiment INTRODUCTION Ted Theodore first wrote about value versus momentum stocks way back in 1984, but almost 40 years later, there still is no real consensus among