This is a summary of links featured on Quantocracy on Saturday, 05/28/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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From Artur Sepp: Gaining the Alpha Advantage in Vol Trading (h/t Quant News)1. Present some empirical evidence for short volatility strategies and the cyclical pattern of their P&L: alpha in good times, beta in bad times 2. Introduce a factor model with risk-aversion to explain the risk-premium of short volatility strategies as a compensation to bear losses in bad market regimes 3. Consider an econometric model for statistical inference of market regimes and for