This is a summary of links featured on Quantocracy on Thursday, 07/28/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Asset Class Risk Premiums Explained by Skewness [Quantpedia]We present extensive evidence that "risk premium" is strongly correlated with tail-risk skewness but very little with volatility. We introduce a new, intuitive definition of skewness and elicit an approximately linear relation between the Sharpe ratio of various risk premium strategies (Equity, Fama-French, FX Carry, Short Vol, Bonds, Credit) and their negative skewness.
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Momentum on Individual Stocks vs Asset Classes [Sharpe Returns]I had the pleasure of finally meeting Gary Antonacci earlier this year. Gary is the creator of the momentum strategy that I follow and have been discussing on this blog. I first came across his work in 2011 on the blog Abnormal Returns (which should be a daily read for investors). Gary and I have been e-mailing each other ever since. After over 4 years, it was nice to finally see him in person.
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Beginner’s Guide to Unsupervised Learning [Quant Start]The majority of machine learning posts to date on QuantStart have all been about supervised learning. In this post we are going to take a look at unsupervised learning, which is a far more challenging area of machine learning. Supervised learning involves taking a number of data observations, each of which contains a feature, or predictor, vector as well as an associated output, or response. The
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Look at Data with a Discerning Eye [Flirting with Models]I recently came across a graph similar to the following while doing some market research. 1 Source: Yahoo! Finance. Analysis by Newfound Research. Data from January 1951 December 2015. The argument was that the markets are getting more volatile. While this certainly looks to be the case based on the upward trend of the histogram, let's investigate the data more thoroughly and ask
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Trading Ethereum: Making 10% every 20 minutes [Jon.IO]This is more of a "How to build your own algotrading strategy – the Ethereum edition" and not a "make money fast" blog post. It is also a real example with real returns (and real production errors that cost me money) where you can see how to identify opportunities, why algotrading is awesome and why risk management can save your ass. This is the another post of the series: How
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Tight Consolidations After New Highs [Quantifiable Edges]The range over the last week has been extremely tight. On 7/20/16 SPY closed at a 50-day high. Every SPY close in the 5 days since 7/20 has been within the intraday range of that 7/20/16 bar. (And it wasnt even that big of a range.) It is said that consolidations are often resolved in the direction of the trend. This guideline suggests that were more likely to see another leg up from here