This is a summary of links featured on Quantocracy on Thursday, 07/14/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Effective Allocation Measure with Entropy Application for Correlated Crypto Assets [Quant at Risk]Surprisingly, in the literature there are only few effective formulae for asset allocation. They are based on the asset types and, in theory, they should define investors risk appetite. For instance, a large exposure in stocks should define aggressive investment style in comparison to investing in bond market. While, in general, this approach is true and intuitive, it lacks a quantitative
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Momentum Everywhere, Including in Factors [Alpha Architect]Empirical research, including the 2017 paper A Century of Evidence on Trend-Following Investing, has found momentum to be a persistent and pervasive factor in returns of not only stocks but other asset classes as well, including bonds, commodities, and currencies. Recent empirical research on the momentum factor, including the 2018 studies Factor Momentum Everywhere (Summary) and Is