This is a summary of links featured on Quantocracy on Monday, 07/29/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
Extreme Value Theory [Asm Quant]Lets talk about tail risk modelling today. In this blog, I want to introduce Extreme Value Theory (EVT) which concerns itself with modelling of the tails of a distribution, and its key results. As we go along we will work through a toy example with basic R implementation. There are two popular parametric approaches to EVT that we will cover in this post. The first is called Block Maxima method.
Tips for an Aspiring Creative Quant [Two Centuries Investments]Alternative Title: What to Do if Your Boss is Terrified of New Ideas? Several younger quants have asked this question: The culture of our quant group is very skeptical about new ideas. They are terrified of data-mining, and random factors. How can we innovate in such environment? My thoughts on the need for innovation are here, here, and here. But today, I wanted to lay out four tips that
Timing Luck and Systematic Value [Flirting with Models]We have shown many times that timing luck when a portfolio chooses to rebalance can have a large impact on the performance of tactical strategies. However, fundamental strategies like value portfolios are susceptible to timing luck, as well. Once the rebalance frequency of a strategy is set, we can mitigate the risk of choosing a poor rebalance date by diversifying across all potential