This is a summary of links featured on Quantocracy on Tuesday, 06/18/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Shannon Entropy: A Genius Gambler’s Guide to Market Randomness [Robot Wealth]Before you commit your precious time to read this blog post, I need to warn you that this is one of those posts that market nerds like myself will get a kick out of, but which probably wont add much of practical value to your trading. The purpose of this post is to scratch the surface of the markets from an information theoretic perspective, using tools developed by none other than the father
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Factor Investing Research On Steriods [Alpha Architect]What are the research questions? Do the most prominent long/short factors value, momentum, carry, and defensive survive out of sample? Can long/short factors be timed? What are the Academic Insights? YES. All of the factors exist out of sample, albeit their magnitudes are generally muted.(1) NOT REALLY. After a mind-numbing battery of tests, the evidence is mixed and inconsistent across