This is a summary of links featured on Quantocracy on Friday, 06/30/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Taking your MLFinLab strategy live [Hudson and Thames]Executing a live trading strategy can be a daunting task. From analyzing market data and identifying trading signals to deploying and monitoring trades in real-time, the process requires precision, speed, and accuracy. Fortunately, advancements in technology have paved the way for innovative platforms and tools that assist traders in their pursuit of profitable trading strategies. One such
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Financial Statements Effect [Quant Dare]Effect J. Gonzlez 28/06/2023 No Comments In a previous post we saw how avoiding being in the market during Earnings publications could be a zero-sum game in the long run. In this post our purpose is to study if it is possible to take advantage of the effect in the stock prices based on the behavior of the prices during financial statements publication dates. Discussion Fundamental researchers
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Performance of Factors: what the research says [Alpha Architect]Since the discovery of the size, value, and momentum effects in the 1980s and 1990s, a plethora of other factors have been identified in the asset pricing literature, which led John Cochrane to coin the phrase zoo of factors. It has raised questions and led to research into how many factors are needed, the replicability of originally reported results, and the decay of factor performance over