This is a summary of links featured on Quantocracy on Sunday, 06/04/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Linking R to IQFeed with the QuantTools package [R Trader]IQFeed provides streaming data services and trading solutions that cover the Agricultural, Energy and Financial marketplace. It is a well known and recognized data feed provider geared toward retail users and small institutions. The subscription price starts at around $80/month. Stanislav Kovalevsky has developed a package called QuantTools. It is an all in one package designed to enhance
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FX Papers from International Finance 2017 [Cuemacro]It can often be easy (and wrong) as a market practitioner in FX to think of moves from purely a speculators point of view. However, as probably seems blatantly obvious, the behaviour of speculators in the FX market is not conducted in some vacuum. It is an amalgamation of many other transactions which are not primarily done for the purposes of speculation on the FX rate. Whenever we go abroad,
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Random Books [Eran Raviv]It seems like a very long while since my bachelor. Checking my bookshelf the other day I was thinking to flag some of those books which helped or inspired me along the way. Here they are in no particular order. Risk: Elements of Financial Risk Management Clear and to the point, 5 stars. Value at Risk Extensive and thorough. R: The Art of R Programming: A Tour of Statistical Software Design By far
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The Dividend Disconnect: Behavioral Finance Strikes Again [Alpha Architect]In the past we have discussed that some investors demand dividends. (Here is a nice post by Larry Swedroe on the topic and there are more holistic measures, such as shareholder yield, which are better predictors of future returns). A few posts we have on the topic highlight that CEOs cater to dividend demand, Mutual funds juice the dividend yield, and examine the returns to dividend payers
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This Study Suggests Intermediate-Term Momentum Is Strong Enough To Persist A While Longer [Quantifiable Edges]One study from the Quantifinder that triggered last has some potential intermediate-term implications, and it is fairly interesting, so I figured I would share it. This study looked at the SPX closing price in relation to its 50-day Bollinger Bands, and the fact that we are now extended upwards. I used 2 standard deviations in the Bollinger Band calculation. I used %b to measure where we fell. For