Quantocracy’s Daily Wrap for 05/21/2018

Lisbon sits wedged between the Atlantic on the West and the river Tagus on the south. Its buildings seemingly tanned to deep pastel shades, reflect a sun, which seems forever present. Whilst is it the history of the city, which appears to greet the visitor at first, whether it the Tower of Belem, or monastery, in recent years Lisbon has embraced change. Fancy buildings such as the MAAT (Museum

The authors conduct a comprehensive analysis of five categories of technical trading rules (including channel break rules, filter rules, moving average rules, oscillator rules and support/resistance rules) using aggregate data from the Chinese stock market for the period 1997 to 2015. Do technical trading rules work in the Chinese stock market after mitigating the impact of data mining

Portfolio construction is a lot like cooking. There are two equally important elements: the ingredients and the recipe. The ingredients are the signals that are used to select investments. The recipe is the set of rules used to transform those signals into portfolio allocations. In factor investing, the signals (e.g., value, momentum, carry) often get all the attention and the importance of the

Volatility spiked in the first quarter of 2018 when global stock markets declined, which was mainly due to concerns on proposed tariffs by the US government and rising interest rates. Since then markets recovered and volatility declined again, but higher interest rates are likely to have a negative impact on the global economy given record levels of public, corporate and consumer debt. Higher

A new paper combines two key aspects of commodity pricing: [1] a rational pricing model based on the present value of future convenience yields of physical commodity holdings, and [2] the activity of financial investors in form of rational short-term trading and contrarian trading. Since convenience yields are related to the scarcity of a commodity and the value of inventories for production and