This is a summary of links featured on Quantocracy on Wednesday, 07/15/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Forex Intraday Seasonality [Dekalog Blog]Over the last week or so I have been reading about/investigating this post's title matter. Some quotes from various papers' abstracts on the matter are: "We provide empirical evidence that the unique signature of the FX market seasonality is indeed due to the different time zones market participants operate from. However, once normalised using our custom-designed procedure, we
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Finance Factors Coordination? Cascade Selection [Quant Dare]Currently, strategies based on premium factors are everywhere: from funds or ETFs built on ratios or statistics perfectly specified, trying to exploit specific factor premia, to boutique instruments more or less opaque that following one or more risk premia. In any case, one of the questions we may pose is what the best way to combine several risk premia is and what interaction can expect. In this
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Left Tail Risk and Left Tail Momentum [Alpha Architect]The positive trade-off between risk and expected return is the most fundamental concept in financial economics. Most investors are risk-averse. In order to hold higher-risk securities, they demand higher compensation in the form of higher expected returns. And risk-averse investors are more sensitive to downside risk, the left tail in the distribution of potential outcomes. I covered tail risk