This is a summary of links featured on Quantocracy on Friday, 07/24/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Petra on Programming: The Compare Price Momentum Oscillator [Financial Hacker]Vitali Apirine, inventor of the OBVM indicator, presented another new tool for the believing technical analyst in the Stocks & Commodities August 2020 issue. His new Compare Price Momentum Oscillator (CPMO) is based on the Price Momentum Oscillator (PMO) by a Carl Swenlin. So we got another indicator with an impressive name but has it any use? Lets check.
Weighting on a friend [OSM]Our last few posts on portfolio construction have simulated various weighting schemes to create a range of possible portfolios. Weve then chosen portfolios whose average weights yield the type of risk and return wed like to achieve. However, weve noted there is more to portfolio construction than simulating portfolio weights. We also need to simulate return outcomes given that our use of
Introduction to Artificial Neural Networks and the Perceptron [Quant Start]In this article we begin our discussion of artificial neural networks (ANN). We first motivate the need for a deep learning based approach within quantitative finance. Then we outline one of the most elementary neural networks known as the perceptron. We discuss the architecture of the perceptron and its ability to function as a supervised linear classifier, using step function based activation