This is a summary of links featured on Quantocracy on Monday, 08/15/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
Correlation and Correlation Structure (6) Distance Correlation [Eran Raviv]While linear correlation (aka Pearson correlation) is by far the most common type of dependence measure there are few arguably better ways to characterizeestimate the degree of dependence between variables. This is a fascinating topic I keep coming back to. There is so much for a typical geek to appreciate: non-linear dependencies, should we consider the noise in the data or rather just focus on
Three Strategies for Trading the Donchian Channel in Python [Raposa Trade]In the 1970's, Richard Donchian began the trend following trend by introducing a simple breakout trading system that would make him millions over the following decades. This system was predicated on an indicator that came to bear his name the Donchian Channel. We're going to show you how to calculate and trade the Donchian Channel with three example strategies so you can incorporate it
Mining Credit Card Data for Stock Returns [Alpha Architect]In this article, the authors explore an alternative measure of consumer demand from a unique dataset of individual credit and debit card daily transactions ( available one week after the transaction was made on average) from January 2013 to December 2019. They ask the following: Can more timely information such as daily transactions information on sales predict future earnings surprises? Can more