This is a summary of links featured on Quantocracy on Wednesday, 05/31/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Watch presentations from R/Finance 2017 [Revolutions]It was another great year for the R/Finance conference, held earlier this month in Chicago. This is normally a fairly private affair: with attendance capped at around 300 people every year, it's a somewhat exclusive gathering of the best and brightest minds from industry and academia in financial data analysis with R. But for the first time this year (and with thanks to sponsorship from
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A single value to measure equity market correlation [Quant Bear]There exists a vast amount of studies that show an increase in correlation between global equity indices during bear markets and propose ways to measure/forecast this correlation (see for example Campbell, Koedjik and Kofman or Capiello, Engle and Sheppard, and many, many more). These studies differ greatly in their methodologies and complexities but they more or less all show the same significant
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Can A Simple Market Timing Indicator Be Beat? [Alvarez Quant Trading]As long time readers of my blog know, I often use a market timing indicator in my strategies. My favorite one, and a simple one, is using the 200 day moving average on either the SPY or S&P 500 Index. I recently ran into these posts, Using Market Breadth To Gauge Market Health (Part 5) and Matts Breadth Indicator. Matts Breadth Indicator (MBI) intrigued me because I had not seen
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Portfolio Rebalancing Research: Momentum and Tolerance Bands [Alpha Architect]If you are looking for research on stock selection, youre in luck the research is everywhere and has arguably been overdone. Get started with Moon Cycles & Stock Market Returns and The Congressional Calendar & Stock Market Returns to get a sense for how esoteric the research has gotten. Hundreds of these papers have been covered on the Alpha Architect blog and you could spend a
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What are the Different Types of Quant Funds? [Quant Start]This is the third in a series of posts written by Frank Smietana, an expert guest contributor to QuantStart. In this detailed post Frank examines the different algorithmic trading strategies carried out by quantitative hedge funds. Click for parts one and two. – Mike. Institutional asset managers specialize in a particular asset class, style, sector, or geography, based on their expertise or
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Why Bitcoin is the Ultimate Safe Haven Asset [Signal Plot]In 2008, in the middle of the global financial crisis, Satoshi Nakamoto published a white paper describing the bitcoin protocol. The bitcoin blockchain then came into existence on January 3, 2009 when Nakamoto created the genesis block the first block of the blockchain. All subsequent blocks contain data from the previous block as an input, thus forming an unbroken chain representing all
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SPX Dips After Persistent Move To A New High What s the Next Move? [Quantifiable Edges]One compelling study that triggered tonight suggested the recent persistent upmove is unlikely to abruptly end. (This is a theme we have seen many times over the years.) It considers what happens after SPX moves up at least 5 days in a row to a 50-day high, and then pulls back. (This is the current setup.) 2017-05-31 We see here a decent edge that becomes stronger and more consistent as you look