This is a summary of links featured on Quantocracy on Sunday, 05/28/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
An Evaluation of the Skewness Model on 22 Commodities Futures [Quantpedia]Skewness is one of the less-known but practical measures from statistics that can be used in trading. It is defined as a measure of the asymmetry of the probability distribution of a random variable around its mean. Financial mathematics and most quantitative models assume some kind of symmetric distribution of random variables, such as near-normal distribution, which would have zero skewness.
Active Reading with ChatGPT [Gautier Marti]Another experiment with ChatGPT-4: Active reading a semi-technical book. This book by Michael Isichenko is probably the best I have read so far in this field. Lets dive into it! You can (and should) buy this book. Chapter 1 Market Data Gautiers Prompt: The author mentions in his book that one can argue that a suitable analysis of the order book could detect the presence of a big
Intangible-Adjusted Profitability Factor [Alpha Architect]The past decade has witnessed a dramatic increase in spending on intangibles (not just research and development and advertising expenditures, but also expenses related to human capital) relative to tangible capital expenditures on plants and equipment. Given the change, it is not surprising that researchersincluding the authors of the 2020 studies Explaining the Recent Failure of Value