This is a summary of links featured on Quantocracy on Friday, 05/15/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Singular Value Diversification Strategy [John Orford]Being a loser is an art. I am not interested in being a good loser, but in knowing when to quit. The art of quitting can be acquired after a little numerical analysis. (Not necessarily due to all the confusing linear algebra!) In the world of numerical solutions there is no correct answer. Knowing when your search for an answer is 'goo
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New related paper to #5 – FX Carry Trade [Quantpedia]The paper gives evidence of a novel pricing factor for the cross-section of carry trade returns based on trade relations between countries. In particular, we apply network theory on countries' bilateral trade to construct a measure for countries' exposure to a global trade risk. A higher level of exposure implies that the economic activity in one country is highly dependent on the econo
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Another commodity hits bull market threshold $UNG [@NautilusCap]Another commodity hits bull market threshold $UNG
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Live Trading with Interactive Brokers [Quant Connect]We're very proud to announce our public release of live trading with Interactive Brokers! Now you can seamlessly design and trade your algorithm within QuantConnect. Automated live trading is one of the most challenging engineering problems in financial technology. It involves controlling large financial resources, while pushing computational power to its limits!
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Lazy Backtest IDE Update [John Orford]Another week another Lazy Backtest IDE update. Now you can incorporate yield data into your strategies, oh, and also use it in your Sharpe ratio calculations. Also – no one likes little black boxes, right? No one! So, I included a link to download a CSV file of results. Meaning you can understand calculations in a spreadsheet – plus gr