This is a summary of links featured on Quantocracy on Monday, 05/30/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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An introduction to accessing financial data in EDGAR, using Python [Wrighters.io]Some sources of financial data can be expensive or difficult to find. For example, some is only available from exchanges or vendors who charge a hefty fee for access. However, the financial industry is also heavily regulated, and one of its main regulators provides free access to its data. The (U.S. Securities and Exchange Commission)[https://www.sec.gov] (known as the SEC), has the mission of
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Introduction and Examples of Monte Carlo Strategy Simulation [Quantpedia]The Monte Carlo method (Monte Carlo simulations) is a class of algorithms that rely on a repeated random sampling to obtain various scenario results. Monte Carlo simulations are used to predict the probability of different outcomes when it would be difficult to use other approaches such as optimization. The main aim is to create alternative scenarios, which account for possible risk and help with
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Duration volatility risk premia [SR SV]Duration volatility risk premium means compensation for bearing return volatility risk of an interest rate swap (IRS) contract. It is the scaled difference between swaption-implied and realized volatility of swap rates changes. Historically, these premia have been stationary around positive long-term averages, with episodes of negative values. Unlike in equity, simple duration volatility risk
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Biotech Stocks: High Idiosyncratic Risks, High Alpha? [Factor Research]Most technological change today is an evolution rather than a revolution. Naturally, it is great to have a mobile device that allows instant access to the global knowledge depository, entertainment, shopping, and so on, but most of these innovations have been predicted decades ago by science fiction authors. Reading such novels actually makes human progress seem awfully slow. Human colonies