This is a summary of links featured on Quantocracy on Tuesday, 07/05/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
Cloud-Based Automated Trading System with Machine Learning [Quant Insti]Maxime Fages Maximes career spanned across the strategic aspects of value and risk, with a particular focus on trading behaviors and market microstructure over the past few years. He embraced a quantitative angle in M&A, fund management or currently corporate strategy and has always been an avid open-source software user. Maxime holds a MBA from Insead and a MScEng from Ecole Nationale
Alpha’s measurement problem [Flirting with Models]Alpha is the holy grail of asset management: risk-free excess returns generated by investment skill. Alpha is one of the most commonly quoted summary statistics yet measuring alpha is surprisingly difficult. Without an understanding of measurement uncertainty, fit of our model, or even the risk factors utilized to calculate alpha, the statistic loses its applicability.
State of Trend Following in June [Au Tra Sy]The month of June started positive for the trend following index, before a V-shaped movement pre/post-Brexit, that ended the month in positive territory. The YTD figure is still in the red. Please check below for more details. Detailed Results The figures for the month are: June return: 2.94% YTD return: -1.96% Below is the chart displaying individual system results throughout June: