This is a summary of links featured on Quantocracy on Wednesday, 06/26/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Graph algorithms and currency arbitrage, part 2 [Reasonable Deviations]In the previous post (which should definitely be read first!) we explored how graphs can be used to represent a currency market, and how we might use shortest-path algorithms to discover arbitrage opportunities. Today, we will apply this to real-world data. It should be noted that we are not attempting to build a functional arbitrage bot, but rather to explore how graphs could potentially be used
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Trend Following: The Epitome of No Pain, No Gain [Alpha Architect]One of the recurring themes we see in our research is the concept of no pain; no gain. Or as Corey Hoffstein says, No pain, no premium. Cliff Asness may put it best when he says that some strategies require that you hold on to them like grim death. Bottom line: nothing is easy in financial markets. Pain is viewed slightly differently for academic economists versus the rest of us.
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Large-Cap Price-to-Book Investing: What is Dead May Never Die [Alpha Architect]In the great book and series Game of Thrones, the inhabitants of the Iron Islands have a saying What is Dead May Never Die which is to be replied with But rises again harder and stronger. I am reminded of this saying as more and more market commentators and practitioners declare that value investing is dead and cite its terrible performance over the last 10 years (and even longer for
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Ichimoku Trading Strategy With Python [Python For Finance]I thought it was about time for another blog post, and this time I have decided to take a look at the Ichimoku Kinko Hyo trading strategy, or just Ichimoku strategy for short. The Ichimoku system is a Japanese charting and technical analysis method and was published in 1969 by a reporter in Japan. I thought I would spend this post on the creation of the indicator elements themselves,