This is a summary of links featured on Quantocracy on Thursday, 06/02/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Cointegrated Time Series Analysis for Mean Reversion Trading with R [Quant Start]A while back we considered a trading model based on the application of the ARIMA and GARCH time series models to daily S&P500 data. We mentioned in that article as well as other previous time series analysis articles that we would eventually be considering mean reverting trading strategies and how to construct them. In this article I want to discuss a topic called cointegration, which is a
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A Factor Investor s Perspective of the Economic Cycle [Factor Investor]Debates abound on the relative importance of the economic cycle to investment success. Peter Lynch famously said, "If you spend more than 13 minutes analyzing economic and market forecasts, you've wasted 10 minutes. On the flip side, macro investment houses have constructed intricate frameworks to understand the economic machine. The challenge with economic data is that it is