This is a summary of links featured on Quantocracy on Tuesday, 06/06/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Active Reading with ChatGPT: Systematic Investing in Credit [Gautier Marti]Yet another experiment with ChatGPT-4: Active reading a semi-technical book. Chapter 1 Can a Combination of Treasuries and Equities Replace Credit in a Portfolio? What is the size of the corporate bond market? As of my knowledge cutoff in September 2021, I dont have the most recent data on the size of the corporate bond market. However, as a reference, the Securities Industry and Financial
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Finding (latent) trading factors [SR SV]Financial markets are looking at a growing and broadening range of correlated time series for the operation of trading strategies. This increases the importance of latent factor models, i.e., methods that condense high-dimensional datasets into a low-dimensional group of factors that retain most of their underlying relevant information. There are two principal approaches to finding such factors.
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Diversification versus Hedging [Finominal]Hedging and diversifying strategies have different objectives Downside betas can be used to differentiate these Alternative strategies have overtaken bonds as the most diversifying strategies INTRODUCTION In investing, some terms are used interchangeably, despite these having quite different technical interpretations. For example, most investors put stocks with strong sales growth, strong