This is a summary of links featured on Quantocracy on Thursday, 06/18/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Do Option Prices Inform Stock Returns? [Alpha Architect]In perfectly efficient markets, option prices should not convey any new information or contribute to the price discovery of underlying assets. However, if markets are not perfectly efficient, traders with private information might prefer to transact in option markets over stock markets even though option markets are less liquid than the markets in the underlying stocks. The reason for the
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More Work on RVFL Networks [Dekalog Blog]Back in November last year I posted about Random Vector Functional Link (RVFL) networks here and here. Since then, along with my recent work on Oanda's API Octave functions and Market/Volume Profile visualisation, I have continued looking at RVFL networks and this post is an update on this work. The "random" in RVFL means random initialisation of weights that are then fixed. It