This is a summary of links featured on Quantocracy on Friday, 07/07/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Structure Function: Forgotten Detection Tool for Periodic Signals [Quant at Risk]In time-series analysis we often examine signals for specific volatility patterns. The simplest one is a periodic or quasi-periodic modulation. In finance these modulations are of paramount importance allowing for signal decomposition, separating short-term variations from long-term trends. Regardless of the time-scales, it is possible to build a trading model analysing the signals content in
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And the Winner Is: Examining Alternative Value Metrics [Alpha Architect]Value as an investment strategy has long been popular in both academia and among practitioners and is supported by valuation theory, which provides a framework for identifying the drivers of expected returns: the prices investors pay and the expected future cash flows investors will receive. Unfortunately, theory does not tell us the best way to extract information about expected returns from