This is a summary of links featured on Quantocracy on Thursday, 06/06/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Frank Fabozzi blasts the state of academic economics and finance [Mathematical Investor]In an interview published at the Enterprising Investor blog, Frank Fabozzi, a well-known researcher and author in the mathematical finance field, has sharply criticized the current state of academic economics and finance. Here are some highlights: The rational models constructed in economics and finance are increasingly disconnected from real-world behavior, as has been shown by research in
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Determining the Noise Covariance Matrix R for a Kalman Filter [Dekalog Blog]An important part of getting a Kalman filter to work well is tuning the process noise covariance matrix Q and the measurement noise covariance matrix R. This post is about obtaining the R matrix, with a post about the Q matrix to come in due course. In my last post about the alternative version extended kalman filter to model a sine wave I explained that the 4 measurements are the sine wave value
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The Re-Death of Value, or D j Vu All Over? [Alpha Architect]The underperformance of value stocks over the past 10 years has received much attention from the financial media and led at least some investors to conclude that value investing is dead. From 2009 through March 2019, while the S&P 500 Index returned 14.2 percent per annum (total cumulative return of 290 percent), the Fama-French large value and small value research indexes returned 11.3