This is a summary of links featured on Quantocracy on Monday, 05/16/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
Inflation as equity trading signal [SR SV]Academic research suggests that high and rising consumer price inflation puts upward pressure on real discount rates and is a headwind for equity market performance. A fresh analysis of 17 international markets since 2000 confirms an ongoing pervasive negative relation between published CPI dynamics and subsequent equity returns. Global equity index portfolios that have respected the inflation
Bayesian net and Boparan 7.625% 30 Nov 2025 Prospectus [Gautier Marti]This blog is a follow-up on a first naive modelling of Matalan notes using Bayesian nets. Bayesian nets are a good tool to quantify qualitative knowledge, as explained here. The work presented in this blog post was mostly realized by Zhiyuan Shen in the context of his financial mathematics master of science at HKUST. The purpose of this work is to build a Bayesian network which would summarise and
Form 3 and Form 4 Alpha: Focus on What Insiders Don’t Trade [Alpha Architect]Plenty of research ( most recently, Cziraki et al. 2021) shows that insider buys contain value-relevant information while insider sales include little to no information. But what about the action of not trading? The authors of this study ask the following: Are the trades of portfolio insiders informative about the stocks they choose not to trade, those they choose not to buy, and those they