This is a summary of links featured on Quantocracy on Saturday, 07/18/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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What happens to value in sideways markets: Shiller PE and expected returns using Hussman s method [Greenbackd]Robert Shillers cyclically adjusted price earnings (CAPE) ratio takes a 10-year inflation-adjusted average of the S&P500s earnings to arrive at a price/earnings metric smoothed for the business cycle. Its useful because earnings tend to be volatile and mean reverting. For example, the single-year PE metric peaked in 2009 at 125, indicating that the market was expensive,
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Bond Premia [John Orford]Contrary to popular belief, bonds and stocks are non linear derivatives, just as options are. They are just less obviously so. Stocks can be thought of call options on the value of a company with a strike of zero. Bonds can be seen as short put options on the value of the company with a strike of zero also. If a company goes bankrupt and the value
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[Academic Paper] Who Supplies Liquidity, How and When? [@Quantivity]Who Supplies Liquidity, How and When?
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[Academic Paper] Around the Ising Model [@Quantivity]Around the Ising Model