This is a summary of links featured on Quantocracy on Friday, 07/20/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Complex Backtesting in Python Part II Zipline Data Bundles [Following the Trend]In the last article on Python backtesting, we looked at how to install the Zipline library and get a basic simulation going. But what we did not touch upon was how to get your own data hooked up. If you are reading this, there is a good chance that you take your backtesting and trading simulation quite seriously. And in that case, you probably have your own preferred data source and your own local
-
Which Investment Factors Drive Corporate Bond Returns [Alpha Architect]What are the research questions The presence of historical prices impacting future returns, i.e., momentum, has been well researched in the equity market, which weve covered here. Weve also closely looked at momentum in bond markets here, here, and here. What the Bali, Subrahmanyam, & Wen are exploring is whether momentum shows up in the corporate bond market, and if so where? Does the