This is a summary of links featured on Quantocracy on Monday, 06/19/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to come up with quant trading ideas? [Cuemacro]I used to play the violin. I really enjoyed it. However, there was something that was very clear to anyone listening to me playing, who perhaps would not have enjoyed it quite as much. The sound which came out of the violin, might have been technically similar to the music on a sheet in front of me, but it didnt sound perhaps quite like the composer intended. The tuning wasnt that
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Is Your Multi-Asset Strategy Really Multi-Asset? [Flirting with Models]The term multi-asset appears in many investment strategies and applies to both balanced funds and target date retirement funds. However, multi-asset strategies may be concentrated in a limited set of asset classes, and the performance of these asset classes may be driven by an even more limited set of risk factors. By looking through the lenses of performance, asset classes, risk factors,
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Academic Research Insight: The Strategic Timing of Earnings News [Alpha Architect]Title: FURTHER EVIDENCE ON THE STRATEGIC TIMING OF EARNINGS NEWS: JOINT ANALYSIS OF WEEKDAYS AND TIMES OF DAY Authors: RONI MICHAEY, AMIR RUBIN, ALEXANDER VEDRASHKO Publication: JOURNAL OF ACCOUNTING AND ECONOMICS, 2016 (version here) What are the research questions? Do managers act to strategically time negative earnings announcements? Is there a strategic weekday (Monday through Friday) and/or
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Machine Learning In Python for Trading [Quant Insti]At the end of my last blog, I had asked a few questions. Now, I will answer them all at the same time. I will also discuss a way to detect the regime/trend in the market without training the algorithm for trends. But before we go ahead, please use a fix to fetch the data from Google to run the code below. data from Google to run the code Trading Using Machine Learning In Python Part-2Click To