This is a summary of links featured on Quantocracy on Sunday, 06/09/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Future-Proofing Quant Conference from QuantMinds, September 9 – 11 in BostonJoin experts from banks, buy-side, Silicon Valley and academia to meet, network and share ideas at America's leading quant finance event. 3 key themes shaping the agenda: 1. Innovations in machine learning, HFT, AI and data 2. Quant techniques in investment and trading 3. Advances in option pricing, trading and modelling Learn from the brightest quant minds 50+ quant strategists, analysts,
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Selection of Sparse Mean-reverting Portfolios – Part 1 [Alex Botsula]Mean-reverting portfolio construction is an exciting area that involves a wide range of forecasting and optimisation techniques. In Part 1 of the setries, I demonstrate the approach to the construction of optimal mean reverting portfolios satisfying sparsity and volatility constraints.
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A theory of hedge fund runs [SR SV]Hedge funds capital structure is vulnerable to market shocks because most of them offer high liquidity to loss-sensitive investors. Moreover, hedge fund managers form expectations about each other based on market prices and investor flows. When industry-wide position liquidations become a distinct risk they will want to exit early, in order to mitigate losses. Under these conditions, market