This is a summary of links featured on Quantocracy on Wednesday, 08/15/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
Parameter Sensitivity Analysis [Flare 9x]In this post we demonstrate ideas to test for parameter sensitivity. Here we have a strategy with 5x parameters. 3x being look back periods for a specific indiactor. The other 2x being an entry level threshold and an exit level threshold. I decided to change the original parameters by up to 50% in either direction of the original. It might look something like this: # Original param1 = 116 param2 =
U.S. dollar exchange rate before FOMC decisions [SR SV]Since the mid-1990s the dollar exchange rate has mostly anticipated the outcome of FOMC meetings: it appreciated in the days before a rate hike and depreciated in the days before a rate cut. This suggests that since fixed income markets usually predict policy rate moves early and correctly their information content can be used to trade the exchange rate. A recent paper proposes a systematic
Size, Value and Equity Premium Waves [Quantpedia]This paper examines the link between microeconomic uncertainty and the size premium across different frequencies in an investment model with heterogeneous firms. We document that the observed time-varying dispersion in firm-specific productivity can account for a large size premium in the 1960's and 1970's, the disappearance in the 1980's and 1990's, and reemergence in the