This is a summary of links featured on Quantocracy on Thursday, 08/06/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quantamental: How to Create a Google Style News Recommender for Your Stocks [Auquan]This article is accompanied by a Google Colab notebook, which contains all the code and additional mathematical details. You can find the notebook here: https://links.quant-quest.com/KGNotebook What Will You Learn in This Article? In this article we will explore how you can automatically identify relevant news about a company, using a technology called knowledge graphs (KGs). You will be able to
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Cross-Asset Signals and Time-Series Momentum [Alpha Architect]In their paper Time Series Momentum, published in the May 2012 issue of the Journal of Financial Economics, Tobias Moskowitz, Yao Hua Ooi and Lasse Pedersen documented significant time-series momentum (trend) in equity index, currency, commodity and bond futuresdelivering substantial abnormal returns with little exposure to standard asset pricing factors and performing best during extreme