This is a summary of links featured on Quantocracy on Thursday, 05/30/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Python Monte Carlo vs Bootstrapping [Python For Finance]In this article I thought I would take a look at and compare the concepts of Monte Carlo analysis and Bootstrapping in relation to simulating returns series and generating corresponding confidence intervals as to a portfolios potential risks and rewards. Both methods are used to generate simulated price paths for a given asset, or portfolio of assets but they use slightly differing
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Skewness Effect in Commodities [Alpha Architect]Nothing lasts forever and this definitely stands true for equity markets where volatility can explode and investors can lose a lot of money very quickly. Because of equity market volatility investors often seek so-called crisis alpha instruments, or assets that tend to go up when equity markets are in crisis. (Here, here, and here are some prior write-ups on the topic). Unfortunately,