This is a summary of links featured on Quantocracy on Monday, 07/08/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Research Symposium: Big Data is the New Currency – New York City – September 10th [Raven Pack]Join top industry experts and practitioners as they debate the future of big data monetization in capital markets. Watch our previous event highlights video for what to expect in NYC! Register today. Industry Leaders For almost a decade, RavenPack Symposiums have consistently provided data-driven finance professionals with riveting forward-looking content, new research and insights, and practical
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DeepTrading with TensorFlow VI [Todo Trader]Data corrupts. Absolute Data corrupts absolutely. This is my impression every time I am faced with the amount of data that is available to us in the current times. This is the moment of truth. Today you will learn how to make some predictions in the Forex market. This is probably the Far West of the financial markets. But you have nothing to fear as I am revealing step by step what could take
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Decomposing the Credit Curve [Flirting with Models]In this research note, we continue our exploration of credit. Rather than test a quantitative signal, we explore credit changes through the lens of statistical decomposition. As with the Treasury yield curve, we find that changes in the credit spread curve can be largely explained by Level, Slope, and Curvature (so long as we adjust for relative volatility levels). We construct stylized portfolios
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Thoughts on Factor Investing [Two Centuries]The question I get asked the most during the past twelve months is Why are factors not working? Here are my top 12 personal thoughts on the topicinformed by 15+ years of successfully factor investing. 1. There is no such thing as factor investing. There is only investing. 10 years ago, the term factor investing did not exist while the underlying ideas and approaches existed
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Indexing: Out With Tradition? [Factor Research]Equal and fundamentally weighted equity indices outperformed market cap weighted in the US since 1990 The higher returns are explained by exposure to Value and Size factors The outperformance is not consistent across time given factor cyclicality THE RISE OF INDICES There are now more than 3.7 million indices, according to the Index Industry Association (IIA) 2018 survey. That represents an
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The rise in risk spreads [SR SV]A risk spread is a premium for bearing economic risk of an investment, paid over and above the short-term real interest rate. Over the past 30 years, risk spreads in the U.S. have increased significantly and consistently: while real interest rates on safe bonds and deposits have collapsed, returns on private capital have remained roughly stable. Macroeconomic research suggests that this