This is a summary of links featured on Quantocracy on Thursday, 05/18/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Setting up an Algorithmic Trading Business [Quant Start]This is the second in a series of posts written by Frank Smietana, an expert guest contributor to QuantStart. In this detailed post Frank takes a look at the different ways in which an algorithmic trading business can be establishedand why you might want to consider it. – Mike. Setting up an algorithmic trading business can provide the requisite credibility and legal structure to manage
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Constant Expiry VIX Futures (Using Public Data) [QuantStrat TradeR]This post will be about creating constant expiry (E.G. a rolling 30-day contract) using VIX settlement data from the CBOE and the spot VIX calculation (from Yahoo finance, or wherever else). Although these may be able to be traded under certain circumstances, this is not always the case (where the desired expiry is shorter than the front months time to expiry). The last time I visited this
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A Direct Test of the Dividend Catering Hypothesis [Alpha Architect]Why do CEOs decide to pay dividends? That is an interesting question, and one that academics have been researching for years. Miller and Modigiliani in 1961 show that if one assumes perfect and efficient capital markets, and investors should have no preference as to whether or not a firm pays dividends.(1)(2) However, (some) people care about dividends! But are dividend paying stocks better
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Testing Dual Momentum with @AllocateSmartly [Scott’s Investments]I am frequently asked about performance and backtest results for my Dual Momentum portfolio, which is inspired by Gary Antonnaci at Optimal Momentum. I recently began using AllocateSmartly to test some of my favorite tactical strategies, including Dual Momentum. AllocateSmartly tracks some of the most popular tactical asset allocation strategies, with thorough, up-to-date backtests, and users can