This is a summary of links featured on Quantocracy on Thursday, 07/09/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Research Links: Correlation Networks [MKTSTK]Evolution of worldwide stock markets, correlation structure and correlation based graphs [arXiv] We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 – Jul 2009. We discover that the correlation among market indices presents both a fast and a slow dynamics. The slow dynamics reflects
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A Mid-Summer’s Night(mare for) Beans [Jay On The Markets]Grain prices have a long record of exhibiting seasonal price trends. This is due primarily to the fact that the planting, growing and harvesting cycle in the Midwest remains the same year in and year out. In a nutshell: *Planting begins in early spring *Growing takes place during the summer *Harvesting occurs in the fall
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New academic paper related to #12 – Pairs Trading with Stocks [Quantpedia]We analyse statistical arbitrage with pairs trading assuming that the spread of two assets follows a mean-reverting Ornstein-Uhlenbeck process around a long-term equilibrium level. Within this framework, we prove the existence of statistical arbitrage and derive optimality conditions for trading the spread portfolio. In the existence of uncertainty in the long-term mean and volatility o
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Light At The End Of The Tunnel For Stocks…Or A Train? [Dana Lyons]So much for summer trading. Global markets are getting more interesting by the day. Last week, we wrote a post examining the phenomenon of 90% Down Days. Again, these are days in which at least 90% of volume on the NYSE occurred in declining stocks. Such days have often been signs of selling exhaustion and have often led to intermediate-term rallies. And if there has historically been a
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The Origins of Momentum [Quants Portal]Momentum is a market anomaly which many people have tried to explain but have not succeeded to a satisfactory extent. As to the source of momentum profits, others have tried to rationalize their origins whereas an opposing school of thought has searched for their origins in behavioural finance. In this paper I will explore the possible origins of momentum profits through highlighting th
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The Mojito Vix ETN Strategy [John Orford]I like girls like my asset classes. Bubbly. … What do you mean you don't know whether whether we should take the business or not? All money is green. … I like my cocktails like my money. Green! … ~~ That was the CEO sitting behind a younger me. He didn't have an off
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Option Strangle Series – Higher Loss Thresholds [DTR Trading]During the next several weeks, I will show the backtest results for selling Strangles on the RUT and SPX. The prior post, Introduction To Options Strangles, introduced Strangles and compared them with Iron Condors. For this new series, we will look the following setup: RUT and SPX short strangle backtest setup (click to enlarge) These short Strangles wi