This is a summary of links featured on Quantocracy on Thursday, 07/12/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Stock Prediction with ML: Feature Selection [Alpha Scientist]This is the third post in my series on transforming data into alpha. If you haven't yet see the data management and guide to feature engineering, please take a minute to read those first… This post is going to delve into the mechanics of feature selection to help choose between the many variations of features created in the feature engineering stage. By design, many of the features
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Announcing Defensive Asset Allocation (DAA) [TrendXplorer]Defensive Asset Allocation (DAA) builds on the framework designed for Vigilant Asset Allocation (VAA) For DAA the need for crash protection is quantified using a separate canary universe instead of the full investment universe as with VAA DAA leads to lower out-of-market allocations and hence improves the tracking error due to higher in-the-market-rates In our brand new SSRN-paper Breadth
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Deconstructing the Low Volatility/Low Beta Anomaly [Alpha Architect]One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it predicts a positive relationship between risk and return. However, the historical evidence demonstrates that, while the slope of the security market line is generally positive (higher-beta stocks provide higher returns than low-beta stocks), it is