This is a summary of links featured on Quantocracy on Saturday, 05/16/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quant Geek Weekend Homework: Academic Finance Research [Alpha Architect]Post-discovery Performance: Will Anomalies Fade Away After Discovery? (Qu, Lu, Sun and Yan) The Search for Crisis Alpha: Weathering the Storm Using Relative Momentum (Newfound Research) Are Your Backtest Results fooling you? Try Monte Carlo Analysis (Better System trader) Buffetts Alpha (Frazzini, Kabiller and Pedersen) (older, but good)
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Quasi-Maximum Likelihood [Eran Raviv]Beauty.. really? well, beauty is in the eye of the beholder. One of the most striking features of using Maximum Likelihood (ML) method is that by merely applying the method, conveniently provides you with the asymptotic distribution of the estimators. It cant get more general than that. The how you do, not the what you do permits proper inference. The only caveat, thou