This is a summary of links featured on Quantocracy on Tuesday, 05/29/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Dollar-Cost Averaging: Improved by Trend? [Flirting with Models]The choice to lump sum invest (LSI) or dollar-cost average (DCA) is one fraught with emotion. Intuition tells us that LSI likely offers the best bet for long-term investors as markets, in general, tend to go up. However, can signals derived from simple trend models offer an edge? We find that over longer-term periods (e.g. 6- and 12-months), LSI largely dominates DCA.However, in the
How Seasonality The Week Of Memorial Day Has Changed Over The Years [Quantifiable Edges]Happy Memorial Day! The week of Memorial Day has shown some interesting seasonal tendencies over the years. But it has faltered greatly the last few. The chart below is one I have shown in the past, and have now updated. It examines SPX performance from the Friday before Memorial Day to the Friday after it. 2018-05-28 There was no substantial edge apparent throughout the 70s, but starting in 1983
Short-Term Return Reversals and Intraday Transactions [Quantpedia]I examine whether a short-term reversal is attributed to past intraday or overnight price movements. The results show that intraday returns significantly reverse in the following week, while overnight returns do not, indicating that the short-term reversal is attributed to past intraday price movements. In addition, the reversal of intraday returns is stronger for more illiquid stocks and during