This is a summary of links featured on Quantocracy on Friday, 05/15/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to Run Python from R Studio [Robot Wealth]Modern data science is fundamentally multi-lingual. At a minimum, most data scientists are comfortable working in R, Python and SQL; many add Java and/or Scala to their toolkit, and its not uncommon to also know ones way around JavaScript. Personally, I prefer to use R for data analysis. But, until recently, Id tend to reach for Python for anything more general, like scraping web data or
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Is this the pullback you ve been waiting for? [Quantifiable Edges]It has been 47 trading days since SPX posted its last 3-day pullback. That is a long time. And it is especially long considering SPX is still below its 200ma. Should SPX fail to rally out of this early hole this morning, we will finally see the 1st 3-day pullback since March 9th. Bulls could look at it and exclaim Finally, the 3-day pullback I have been waiting for to load up!. Bears might
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YTD Performance of Equity Factors – Update After Two Months [Quantpedia]Nearly two months ago, in a time of the highest turmoil during the current pandemic crisis, we performed a quick assessment of the status of performance of equity factor strategies. The world has still not been able to ward-off health-care crisis completely, but a lot of countries have made significant progress (on the other hand, there are still a lot of countries in a worse state than a few
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Discussion: Managing the Costs of Passively Investing in Active Strategies [Alpha Architect]We recently covered a paper by David Blitz that highlighted the potential problems with passively investing in active strategies. The research piece is great and surfaces a lot of great concepts. Like a lot of research we publish/summarize this article appears to shoot Alpha Architect in the foot. To summarize, the piece was essentially a smack-down on implementing factors via ETFs
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Tracking Bitcoin Gains since its 3rd Halving in May 2020 using Python [Quant at Risk]The Bitcoins 3rd halving was the most anticipated event this year. This a moment when a reward for all Bitcoin block miners is cut by half. It happens every 4 years or every 210,000 blocks on the Bitcoin blockchain. The previous two halving events took place in 2012 and 2016, respectively. Before the 1st halving, miners were rewarded with 50 BTC and after that only with 25 BTC per block. After