This is a summary of links featured on Quantocracy on Tuesday, 08/04/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Buy / Sell Imbalance [Tr8dr]It is fairly easy to recognize price momentum with price-based indicators ex-post or with lag. Price based momentum signals tend to have lag issues in recognizing the start and end of a price move as there is a tradeoff between noise and lag [1] that cant be defeated without future information (due to principles from signal processing). [1] For those interested see impulse-response and the
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Creating Anti-Fragile Portfolios [Factor Research]Most asset classes are bets on economic growth Diversified endowment-style portfolios are essentially short volatility Long volatility strategies can be used to create anti-fragile portfolios LONG OR SHORT VOLATILITY? In what by now seems like a galaxy far far away, I once worked as an equity derivatives intern at Credit Suisse First Boston in London. As at other investment banks, the team had