This is a summary of links featured on Quantocracy on Thursday, 07/27/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Vigilant Asset Allocation from Dr. Wouter Keller and JW Keuning [Allocate Smartly]This is a test of the Vigilant Asset Allocation (VAA) strategy from the recently published paper: Breadth Momentum and Vigilant Asset Allocation, by Dr. Wouter Keller and JW Keuning. This is an aggressive momentum trading model, similar in spirit to Keller and Keunings popular Protective Asset Allocation strategy. Results versus the 60/40 benchmark from 1971 to the present, net of
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Trend and Carry Everywhere [Cantab Capital]Simple rules on macro assets can create very attractive returns. We present a simple trend system and a simple carry system and show how the combination of the two return streams appears very attractive. Summary Trend following in one form or another has been an investment style for decades. Surprisingly to us, there is still a considerable amount of mystery about how trend works and the important
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Financialization of Crude Oil Market [Quantpedia]The financialization of crude oil markets over the last decade has changed the behavior of oil prices in fundamental ways. In this paper, we uncover the gradual transformation of crude oil from a physical to a financial asset. Although economic demand and supply factors continue to play an important role, recent indicators associated with financialization have emerged since 2008. We show that
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Derivatives Pricing II: Volatility Is Rough [Quant Start]In this new article series QuantStart returns to the discussion of pricing derivative securities, a topic which was covered a few years ago on the site through an introduction to stochastic calculus. Imanol Prez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor to QuantStart discusses how the assumption of constant volatility in the Black-Scholes model can be