This is a summary of links featured on Quantocracy on Monday, 07/10/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Intratrade [Golden Compass]This article is on the analysis of intra-arrival times of future contract trades, analysing market behaviour, and identification of other particpants trading strategy. Intra-arrival time has close relationship with the quantity of each trade. One reason behind this is that many participants use high speed algorithmic trading to reduce price impact. One method is dividing one large order into a
Academic Research Insight: Facts about Factors [Alpha Architect]What are the research questions? Do factors offer superior diversification benefits relative to assets because factors are less correlated with each other? Does consolidating a larger set of assets into a smaller set of factors reduce noise? Are investors more skilled at relating current information to future factor behavior than to future asset behavior? Are factors and assets prone to the same
Four Important Details in Tactical Asset Allocation [Flirting with Models]Newfound specializes in systematic, factor-based approaches to constructing tactical portfolios. While we believe factors like value, momentum, carry, and trend are applicable at the asset class level, care must be taken in designing tactical allocation portfolios. We outline four considerations that we believe can have an outsized impact on tactical portfolio performance if ignored. For readers