This is a summary of links featured on Quantocracy on Tuesday, 07/30/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Research Group Update & Website [Quants Portal]For those of you that dont know, the idea of creating an open-source package based on Advances in Financial Machine Learning stemmed from Ashu and my masters project at WorldQuant University. The initial goal was to build out a package that we could leverage to help us extend the literature with a novel contribution. A rather ambitious goal for a 3-month project, which resulted in 2 Capstone
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Can Low Vol Strategies Be Improved [Alpha Architect]My Advisor Perspective article of June 17, 2019 discussed the regime shifting nature of the low volatility anomalylow volatility stocks have outperformed high volatility stocks, providing both higher returns while experiencing lower volatility. For example, in his 2012 paper, Enhancing a Low-Volatility Strategy is Particularly Helpful When Generic Low Volatility is Expensive, Pim van