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Quantocracy’s Daily Wrap for 08/03/2022

This is a summary of links featured on Quantocracy on Wednesday, 08/03/2022. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Avoiding Volatile Trades [Alvarez Quant Trading]

    In my last blog post, Using Historical Volatility for Parameter Adjustment, I tested using historical volatility to determine trade rules. While reading the July 2022 Technical Analysis of Stocks & Commodities, I came across an article, Is It Too Volatile To Trade? by Perry Kaufman. I always like his work so I was interested to see what he had to say. He uses standard deviation from the
  • Trend Following Says Commodities…But Nothing Else! [Alpha Architect]

    Just recently we posted the trend-following weights for our Robust Asset Allocation model. Something interesting happened the model suggested zero exposure to every asset, except commodities(1) source: https://alphaarchitect.com/indexes/trend/#trendasset My knee-jerk reaction was, Wow, never seen that before. But as is the case with all emotional reactions, it is important to not lean on
  • How heavy tails destabilize Markowitz portfolio selection [Artifact Research]

    This is the forth and final post of a short series of posts on extreme events in financial time series. In the first post, we have introduced power-law theory to describe and extrapolate the chance of extreme price movements of the S&P500 index. In the second post, we took a closer look at how statistical moments may become infinite in the presence of power-law tails, rendering common

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