This is a summary of links featured on Quantocracy on Monday, 05/29/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Big Little Details [Flirting with Models]Limited attention drives us to focus on the big details of investment strategies. Small details can have an outsized impact on performance, especially if they can compound upon one another. To quote Aaron Brown, Head of Risk at AQR: It takes a lot of compounding to turn a mistake into a disaster. There will never be any shortage of mistakes . So its the compounding you have to prevent,
Know what you don t know with data [Cuemacro]Lets say you had to identify a city youd never heard of on a map. Lets take a city chosen at random, Stockton and you wanted to identify which country it is in. You have with you a list of every single town in the world, alongside its country. A simple brute force way to find the country, is literally to go through every town on the list till you get to Stockton. You can obviously use