This is a summary of links featured on Quantocracy on Thursday, 06/13/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quantpedia Composite Seasonality in MesoSim [Quantpedia]The Efficient Market Hypothesis (EMH), theory developed in the 1960s, states that stock prices reflect all available information, making it impossible to consistently earn above-average returns using this information. Nevertheless, numerous studies challenge this view by documenting anomalies that suggest markets may not be fully efficient. One group of such anomalies, known as calendar anomalies,
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Sell in August and Go Away [Alvarez Quant Trading]I was going through some old issues of Technical Analysis of Stocks & Commodities looking for some ideas to test. In the November 2019 issue, I came across Stock Market Seasonality: A Global Phenomenon by Jay Kaeppel. The basic idea was that global markets share the same buy in November and sell in May phenomenon as the US market. This got me thinking about how markets have changed