This is a summary of links featured on Quantocracy on Thursday, 07/28/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Hedging long only portfolios using Structural Entropy [Pravin Bezwada]This article aims is to evaluate/demonstrate the effectiveness of hedging a long only portfolio of US equities with a short position in Russell 2000 (I used IWM ETF since I dont have rolling future prices) using an extended version structural entropy indicator. I first read about structural entropy in this article. The authors consider financial markets as a complex interconnected correlation
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Machine learning in macro [Cuemacro]There are buzzwords and there are buzzwords. The buzziest (if that indeed is a word) of buzzwords in technology is that of machine learning, whether its using machine learning to improve image recognition, natural language processing etc. Although, Ive got to admit, theres still a long way to go I still repeatedly get advised to apply for FX roles on LinkedIn, which are actually
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The Expected Returns to ESG-Excluded Stocks [Alpha Architect]As Sam Adams and I explained in our new book, Your Essential Guide to Sustainable Investing, while sustainable investing continues to gain in popularity, economic theory suggests that if a large enough proportion of investors choose to favor companies with high sustainability ratings (green businesses) and avoid those with low sustainability ratings (brown or sin businesses), the favored