This is a summary of links featured on Quantocracy on Friday, 07/12/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Lifting Power of Outliers [Algorithmic Advantage]In previous posts, weve explored how massive diversification serves as a crucial tool for outlier huntersnot only to provide correlation benefits in chaotic regimes but also to increase our chances of capturing rare market events. Its the frequency of these outliers in our trade distribution that significantly enhances our long-term performance. In this post, well delve into a classic
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Extracting Structured Datasets for Systematic Strategies from Unstructured Textual Sources [Quant Rocket]Natural Language Processing (NLP) is a broad field that enables computers to process and analyze unstructured textual data. In this article, we present several proprietary Brain datasets derived from news articles, SEC regulatory filings, and earnings calls, along with case studies implemented in QuantRocket. For more details about the content discussed and the Brain methodology please refer to
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Low-priced stocks: do they impair performance? [Alpha Architect]It is well documented in the literature that retail investors have an irrational preference (from a traditional finance perspective) for investing in high-volatility stocks which have lottery-like distributionsthose that exhibit positive skewness and excess kurtosis (fat tails). Studies, such as the 2023 papers Lottery Preference and Anomalies and Do the Rich Gamble in the Stock