This is a summary of links featured on Quantocracy on Friday, 07/05/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Robustness of the 2.11 Sharpe Mean Reversion Strategy [Quant Trading Rules]As for me, all I know is that I know nothing. Socrates. I love this quote. Humility is such an important virtue, especially in trading. If someone already knows something, their curiosity is gone. Their desire to learn is weak or non-existent. After I published the first article, some people questioned the strategy's robustness. Some affirmed, just by looking at the equity curve, that
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Macroeconomic announcements: how do they impact spending? [Alpha Architect]This paper explores several key aspects related to household consumption behavior during the Great Financial Crisis of 2008-2009, with a focus on the impact of salient adverse macroeconomic announcements. Spending Less After (Seemingly) Bad News Garmaise, Levi and Lustig Journal of Finance, 2024 A version of this paper can be found here Want to read our summaries of academic finance papers? Check