This is a summary of links featured on Quantocracy on Thursday, 08/11/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Shorting at High: Algo Trading Strategy in R [Quant Insti]Milind began his career in Gridstone Research, building earnings models and writing earnings notes for NYSE listed companies, covering Technology and REITs sectors. Milind has also worked at CRISIL and Deutsche Bank, where he was involved in modeling of Structured Finance deals covering Asset Backed Securities (ABS), and Collateralized Debt Obligations (CDOs) for the US and EMEA region. Milind
-
Low Vol Benefits Fading [Larry Swedroe]Low-volatility strategies have quickly become the darling of many investors, thanks largely to trauma caused by the bear market that arose from the 2008-2009 financial crisis combined with academic research showing that the low-volatility anomaly exists in equity markets around the globe. Earlier this week, we took a detailed look at a 2016 study from David Blitz, The Value of Low