This is a summary of links featured on Quantocracy on Thursday, 07/29/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
A Personal Portfolio Allocation Approach [Open Source Quant]My experience in financial markets to date has mostly been related to trading and investment banking. From executing index arbitrage and various other strategies, to product managing a team building execution algorithms for automating strategies which minimize market impact and make relative and conditional trading decisions. More recently, post a move to Canada from South Africa, I have had the
-
Five Small Shards of Insight Hidden in Data [Quantpedia]Around a month ago, we launched a series of short videos called Quantpedia Explains, in which we plan to show and explain some of the themes out of quantitative finance that we think are worth mentioning. We have started with a quick intro to individual Quantpedia Pro reports, and now, we have expanded our content with a series of short case study articles. Each article uses one Quantpedia
-
Pricing Deribit Options [Tr8dr]We have been working on some option strategies and wanted to get a sense of how well BTC and ETH options are priced on Deribit, i.e. is there a substantial IV premium over realized volatility or are options fairly priced. At first glance, based on the documentation, it seemed that Deribit options were Europeans on spot or spot equivalent. On closer inspection, however, and with some follow-ups
-
The Benefits of Sin Stocks [Alpha Architect]While environmental, social, and governance (ESG) investing continues to gain in popularity, economic theory suggests the share prices of sin businesses (typically those involved in the gambling, tobacco, alcohol, guns, and defense industries) will become depressed if a large enough proportion of investors choose to avoid themthe shunned-stock hypothesis. Such stocks would have a