This is a summary of links featured on Quantocracy on Tuesday, 07/12/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
-
An Introduction to Portfolio Component Value At Risk [QuantStrat TradeR]This post will introduce component value at risk mechanics found in PerformanceAnalytics from a paper written by Brian Peterson, Kris Boudt, and Peter Carl. This is a mechanism that is an easy-to-call mechanism for computing component expected shortfall in asset returns as they apply to a portfolio. While the exact mechanics are fairly complex, the upside is that the running time is nearly
-
Mailbag: Can You Get A Job In HFT Without A Degree? [Quant Start]I was emailed yesterday with an interesting career question about working in High Frequency Trading (HFT). The question posed was "Is it possible to get a HFT-related job in a big company without a formal degree?". The short answer is that yes, it is possible. The longer answer is that it is going to be difficult and this article will explain why. I am going to make an assumption here
-
Candid Conversation with an Algorithmic Trader (Part 2) [Quant Insti]If you dont know who you are, the stock market is an expensive place to find out George Goodman In the previous post, I had a conversation with a few experts in the field of Algorithmic Trading to gain some insights into this seemingly black-box. That conversation not only helped me dispel some of my doubts regarding Algo Trading, but it also strengthened my desire to jump headfirst
-
The Folly of Stock Market Forecasting [Alpha Architect]The idea that one can predict stock market movements is somewhat insane. The major problem with stock market forecasting is the lack of evidence that it is possible. I am unaware of any market commentator that has been successfulon a consistent basisat predicting the future direction of the market. Certainly, every once in a while a pundit or luminary may get something right, but it