This is a summary of links featured on Quantocracy on Thursday, 06/23/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
Maybe the Exits are More Important… [Throwing Good Money]As traders, we spend a lot of time thinking about our entries into a trade. What stock, commodity or currency to choose, when is the best timing, etc. But what if the entries dont matter? What if trading is all about the exits? Ok, thats a really simple-minded statement, but Im a little simple-minded, so stick with me and lets see where this goes. I wanted to see what it would look
Hierarchical clustering, using it to invest [Quant Dare]Machine Learning world is quite big. In this blog you can find different posts in which the authors explain different machine learning techniques. One of them is clustering and here is another method: Hierarchical Clustering, in particular the Wards method. You can find some examples in Reproducing the S&P500 by clustering by fuzzyperson, Returns clustering with K-Means
Monthly and Yearly Decay Rates for Long Volatility Funds [Six Figure Investing]While its certain that short-term volatility exchange traded products (ETPs) like VXX, TVIX, and UVXY are doomed to march towards zero, their decay rates are not consistent. Things like bear markets and big corrections can cause big upward swings. On the downside, the term structure of VIX futures and the volatility of volatility can significantly impact decay rates in monthly and yearly time