This is a summary of links featured on Quantocracy on Friday, 07/12/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Momentum, Quality, and R Code [Alpha Architect]Welcome to the first installment of Reproducible Finance by way of Alpha Architect. For the uninitiated, this series is a bit different than the other stuff on AA well focus on writing clean, reproducible code, mostly R (but some python too), applied to different ideas from the world of investing. We wont delve deep into those ideas because the goal is to get familiar with the code.
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Research Review | 12 July 2019 | Yield Curve Analysis [Capital Spectator]Yield Curve and Financial Uncertainty: Evidence Based on Us Data Efrem Castelnuovo (University of Melbourne) June 2019 How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty measure proposed by Ludvigson, Ma, and Ng