This is a summary of links featured on Quantocracy on Thursday, 07/30/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Boundary corrected kernel density [Eran Raviv]Density estimation is now a trivial one-liner script in all modern software. What is not so easy is to become comfortable with the result, how well is is my density estimated? we rarely know. One reason is the lack of ground-truth. Density estimation falls under unsupervised learning, we dont actually observe the actual underlying truth. Another reason is that the theory around density
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The Effectiveness of Selected Crisis Hedge Strategies [Quantpedia]During past months we made a set of articles analyzing the performance of equity factors and selected systematic strategies during coronavirus crisis. These articles were short-ranged with data only from the start of the year 2020, which is enough for the purpose of the quick blog posts, but very short-sighted to see the nature of these strategies. Therefore, we expanded the time range by 20
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Why ML in Finance is Hard (3 / 4) [Tr8dr]Following on from the prior post, want to discuss the problem of sample independence. Many machine learning models in finance deal with timeseries data, where samples used in training may be close together in time and not be independent of one another. There are very few features in finance that do not make use of lookback periods, for example: almost all technical indicators (SMA being the most
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Is Systematic Value Dead??? [Alpha Architect]There is a large body of academic research demonstrating that the value premium has been persistent over long periods, pervasive across asset classes (stocks, bonds, commodities, and currencies) and also across and within industries, countries, and regions, robust to various fundamental metrics, and is implementable (survives transactions costs). In addition, there are intuitive risk- and