This is a summary of links featured on Quantocracy on Monday, 06/24/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Backtesting a sentiment analysis strategy for Bitcoin [Augmento]TL;DR: We developed a strategy using Augmento sentiment signals, and backtested it on Bitmex XBTUSD to generate a positive return between 2017 and 2019. Creating algorithms to trade Bitcoin is hard, and finding good data that is independent of the price but still correlated with the market is even harder. Sentiment data could be the answer, but its often hard to use for algorithmic trading, and
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Generating Financial Series with Generative Adversarial Networks Part 2 [Quant Dare]This is a follow-up post to a recent post in which we discussed how to generate 1-dimensional financial time series with Generative Adversarial Networks. If you havent read that post yet we suggest you to do so, since it introduces the building blocks used in this one. Here we will go over the process behind generating multidimensional time series with GANs, the challenges behind this task and
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Flirting with Models – Season 2 [Flirting with Models]With a 5-star rating on iTunes, we are proud to say that Season 1 of our podcast Flirting with Models received a tremendously warm welcome. And so were happy to announce that Season 2 is now available! You can listen to the new season on: iTunes Stitcher Google Play TuneIn Android The Interviews S2E1 Daniel Grioli Thinking like a Fox S2E2 Benn Eifert Volatility Investing
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Mapping My Mind: Value Factor [Factor Research]There is consistency in the performance of the Value factor across markets and asset classes Allows to create a coherent framework of how to think about Value Suggests a global driver of factor performance INTRODUCTION Our research aims to educate investors by bridging the gap between academic literature and practical investing. In contrast to our usual research notes, this one is more personal as