This is a summary of links featured on Quantocracy on Thursday, 07/16/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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ESG Scores and Price Momentum Are More Than Compatible [Quantpedia]Momentum in stocks is not only a key strategy in the many portfolios of practitioners, but it is also an attractive research topic for academics. The original idea behind momentum, is that past winner tend to perform well in the near future, and vice versa, past loser tend to underperform (Jegadeesh and Titman, 2001). Later, the momentum anomaly was found practically everywhere, Moskowitz, Ooi,
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Backtesting Basics: Four biases to know by heart [Auquan]In God we trust. All others must bring data. Backtesting is probably the single best method we have to quickly evaluate new trading strategies. However, if used incorrectly it can be our greatest weakness guiding us on a false path to ruin. For the uninitiated, backtesting is the process where you simulate a trading strategy with the help of historical data. Effectively youre seeing what
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Installing TensorFlow 2.2 on Ubuntu 18.04 with an Nvidia GPU [Quant Start]Earlier in the year we carried out our 2020 QuantStart Content Survey and Advanced Machine Learning & Deep Learning was voted the most popular topic. This article constitutes the first in a series on the topic of modern machine learning via deep learning as applied to systematic trading research. In this article we will demonstrate how to install a modern deep learning research environment on