This is a summary of links featured on Quantocracy on Friday, 07/03/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Do non binary forecasts work? [Investment Idiocy]This is a post about forecasts in trading systems. A forecast is a calibrated expectation for future risk adjusted returns. In more layman like terms, it is a measure of how confident we are about a bullish (positive forecast) or bearish (negative forecast). Perhaps it is easiest to think about forecasts if we compare them to what is not: a forecast is non binary. A binary trading system will
Combining Momentum with Long-Term Reversal [Alpha Architect]Two of most documented anomalies in the asset pricing literature are the momentum effect and the long-term reversal effect. Momentum is typically defined as the last 12 months of returns excluding the most recent month (i.e., months 212) because it tends to show a reversal, which some have attributed to microstructure (trading) effects in which securities that have outperformed recently tend to
Research Review | 3 July 2020 | Business Cycle Analysis [Capital Spectator]Forecasting Macroeconomic Risk in Real Time: Great and Covid-19 Recessions Roberto A. De Santis (European Central Bank) July 2020 We show that financial variables contribute to the forecast of GDP growth during the Great Recession, providing additional insights on both first and higher moments of the GDP growth distribution. If a recession is due to an unforeseen shock (such as the Covid-19