This is a summary of links featured on Quantocracy on Friday, 07/27/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Simple Hedging System With Time Exit [Relative Value Arbitrage]This post is a follow-up to the previous one on a simple system for hedging long exposure during a market downturn. It was inspired by H. Krishnans book The Second Leg Down, in which he referred to an interesting research paper [1] on the power-law behaviour of the equity indices. The paper states, We find that the distributions for t 4 days (1560 mins) are consistent with a power-law