This is a summary of links featured on Quantocracy on Sunday, 05/19/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Adaptive Huber Regression [Eran Raviv]Many years ago, when I was still trying to beat the market, I used to pair-trade. In principle it is quite straightforward to estimate the correlation between two stocks. The estimator for beta is very important since it determines how much you should long the one and how much you should short the other, in order to remain market-neutral. In practice it is indeed very easy to estimate, but I