This is a summary of links featured on Quantocracy on Wednesday, 05/20/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to Wrangle JSON Data in R with jsonlite, purr and dplyr [Robot Wealth]Working with modern APIs you will often have to wrangle with data in JSON format. This article presents some tools and recipes for working with JSON data with R in the tidyverse. Well use purrr::map functions to extract and transform our JSON data. And well provide intuitive examples of the cross-overs and differences between purrr and dplyr. library(tidyverse) library(here)
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A Big Gap Up That Wipes Out A Big Loss Yesterday [Quantifiable Edges]After closing down more than 1% yesterday, SPY is set to open up enough to erase all of yesterdays losses. I decided to look back at other times this has happened. SPY Big Gap Up Erases Yesterdays Loss – Open to Close Results Not exactly a consistent edge, but I thought the general upside tendency might be worth noting for some intraday traders. Good luck trading today!
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Probabilistic Sharpe Ratio [Quant Dare]Can a Sharpe ratio of 1.55 be better than a Sharpe ratio of 1.63 in a 1 year track-record? Not necessarily. Sharpe ratios are not comparable, unless we control the skewness and kurtosis of the returns. In this post we are going to analyze the advantages of the Probabilistic Sharpe Ratio exposed by Marcos Lpez de Prado in this paper. It will include an example coded in Python. Context The Sharpe