This is a summary of links featured on Quantocracy on Wednesday, 06/21/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
-
In-Sample and Out-Of-Sample Testing [Alvarez Quant Trading]I am frequently asked if I do out-of-sample testing. The short answer is not always and when I do, it is not how most people do the test. There are lots of considerations and pitfalls to avoid when doing out-of-sample testing. Out-of-sample testing is not the panacea it is made out to be. There are lots of grey areas which I will discuss below. Definition To do in-sample (IS) and out-of-sample
-
Importing and Managing Financial Data [Foss Trading]I'm excited to announce my DataCamp course on importing and managing financial data in R! I'm also honored that it is included in DataCamp's Quantitative Analyst with R Career Track! You can explore the first chapter for free, so be sure to check it out! Course Description Financial and economic time series data come in various shapes, sizes, and periodicities. Getting the data into
-
Survey of Quality Investing [Quantpedia]Factor investing has experienced a resurgence in popularity under the moniker smart beta. Several traditional factors, such as value, size, momentum, and low beta, are well defined and have been heavily researched in academia as return anomalies for many decades. These factors have also been exploited by practitioners as quantitative strategies for enhancing returns. Today, these factors