This is a summary of links featured on Quantocracy on Monday, 07/18/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Where are the billionaire financial academics? [Mathematical Investor]According to the just-published 2016 Rich List of the World's Top-Earning Hedge Fund Managers by Institutional Investor's Alpha magazine, eight of the top ten earners fall into the "quant" category, and half of the 25 richest of the year are quants. The firms listed include the likes of Renaissance Technologies, D.E. Shaw, Two Sigma, Millennium, Citadel and Schonfeld, none of
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Combining Different Momentum Factors [Systematic Relative Strength]Momentum can be calculated in a number of different ways. As long as you are measuring the strength of price appreciation over an intermediate time horizon most logical calculation methods will work to one degree or another. The standard, academic definition of momentum usually means taking the price appreciation of a security over a predefined time period and comparing it to all of the other