This is a summary of links featured on Quantocracy on Tuesday, 06/21/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
Skewness/Lottery Trading Strategy in Cryptocurrencies [Quantpedia]A recent spring 2022 crisis in the cryptocurrency market emphasized the importance of market-neutral crypto trading strategies. Its not enough just to HODL crypto market and hope for the everlasting bull market. Therefore, we continue our series of research articles about the cryptocurrency market and offer an analysis of the skewness anomaly. So after our description of the skewness effect in
Macro Variables in Factor Exposure Analysis [Factor Research]Most investors treat factor and macro variables differently Including macro variables improves a factor exposure analysis Both should be considered simultaneously when analyzing investment portfolios INTRODUCTION The investment world is full of conundrums. For example, discussions on investment portfolios usually focus on the impact of change in inflation, interest rates, economic growth, and