This is a summary of links featured on Quantocracy on Monday, 06/06/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Book Added: Data Science from Scratch with Python [Amazon]Data science libraries, frameworks, modules, and toolkits are great for doing data science, but theyre also a good way to dive into the discipline without actually understanding data science. In this book, youll learn how many of the most fundamental data science tools and algorithms work by implementing them from scratch. If you have an aptitude for mathematics and some programming skills,
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Need for Speed: High Frequency Economic News Trading [Justinas Brazys]Markets are efficient if new information is incorporate instantly and essentially without any trading, i.e. price jumps to the correct level that represents all available information at the time. If you believe markets are indeed perfectly efficient, there seems to be no point in using news as a source of alpha in trading. However it is unlikely that information can be incorporated instantaneously
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Tactical Trend-Following: Core or Alternative? [Flirting with Models]Answering whether a strategy should be a core holding or an alternative holding often has less to do with the investment strategy itself and more to do with an investors understanding of how that strategy will perform. Asset classes and strategies that investors are comfortable with, and have a strong understanding of why and when they will perform a certain way, are strong contenders for core
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Summer, Winter and the Volatility Premium [Factor Wave]A member of our slack channel recently asked if there was an equivalent of "sell in May" for volatility trading. Does the volatility premium, the difference between implied volatility and the subsequent realized volatility, differ during summer and winter months? To test this idea for the S&P 500, I calculated the difference between the VIX and the realized volatility over the next