This is a summary of links featured on Quantocracy on Monday, 06/04/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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RavenPack Research Symposition – Generation AI: The New Data-Driven Investor [Raven Pack]The RavenPack Research Symposium returns to New York on September 12th, register to receive updates on the agenda. RavenPack Research Symposium: Generation AI: The New Data-Driven Investor RavenPacks events have become global, with attendance exceeding 250 buy-side professionals at the London Big Data and Machine Learning Revolution in April 2018. RavenPack Research Symposium returns to New
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ETF Rotation Strategies in Zorro [Robot Wealth]At Robot Wealth we get more questions than even the most sleep-deprived trader can handle. So whilst we develop the algo equivalent of Siri and brag about how we managed to get 6 hours downtime last night, we thought wed start a new format of blog posts answering your most burning questions. Lately our Class to Quant members have been looking to implement rotation-style ETF and equities
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A Season for Sectors [Flirting with Models]Seasonality is an effect that shows up in data but is difficult to justify from a theoretical perspective using behavioral, risk-based, or structural reasoning. However, diving deeper into the effect within the U.S. sectors, we find that seasonality has been economically significant and surprisingly robust to specification methods over the past 75 years. Furthermore, it is not explained away when
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The Inconsistent Performance of Value and Size Factors in the Chinese A-Share Market [Alpha Architect]What are the research questions? Does the Fama-French size factor explain the cross-section of stock returns in the Chinese A-share market? Does the Fama-French value factor explain the cross-section of stock returns in the Chinese A-share market? What are the Academic Insights? YES. The authors report a strong negative relationship between the size factor and returns. Out of 10
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Factors from Scratch with Philosophical Economics (@Jesse_Livermore)With a million dollars to invest today, would you rather buy a portfolio of New York City taxi medallions or shares in Uber stock? When we ask investing audiences this question, the answer is almost always Uber. People tend to think in terms of fundamental growth without also thinking about price. In terms of growth and excitement, Uber has the clear edge. But in this paper we're going to
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Market Timing with Multiples, Momentum and Volatility [Factor Research]Equity multiples have been elevated in recent years Using valuation multiples for allocation decisions is a challenging strategy Momentum and volatility-based strategies are more attractive INTRODUCTION In recent years the stock market in the US has been expensive on a variety of valuation multiples, which is often cited for why investing has become more difficult. However, in 2009 valuation
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Kalman Filter Techniques And Statistical Arbitrage In China’s Futures Market In Python [Quant Insti]This article is the final project submitted by the author as a part of his coursework in Executive Programme in Algorithmic Trading (EPAT) at QuantInsti. Do check our Projects page and have a look at what our students are building. About the Author Xing Tao is a Bachelor in Computer Science (LZU), Masters in Information System and Management Science (PKU), and has passed CFA level 1-3 exams.