This is a summary of links featured on Quantocracy on Tuesday, 05/21/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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QuantMinds 2019 Vienna [Cuemacro]Vienna is one of those places which has somehow largely eluded my travels. The last time I visited it was 25 years ago. However, it has very much stuck in my memory. History is one of those things which you can never escape from in Vienna. The echos of musical history are everywhere, whether it is Mozart or Beethoven, or the Viennese waltz. There are also the very well known difficult periods of
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Volatility Anomalies: IVOL and Vol-of-Vol [Alpha Architect]Two of the more interesting puzzles in finance are related to volatilitystocks with greater idiosyncratic volatility (IVOL) have produced lower returns and stocks with high uncertainty about risk, as measured by the volatility of expected volatility (vol-of-vol), underperform stocks with low uncertainty. These are anomalies because greater risk should be compensated with higher expected