This is a summary of links featured on Quantocracy on Tuesday, 08/18/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Kalman Filter and Pairs Trading [MKTSTK]Imagine this scenario: you are a statistical arbitrage trader at a prop desk or HF. As such, you routinely hold an inventory of ETF exposure that you must hedge. The previous night, you instructed your overnight traders to calculate the hedge ratios for a matrix of ETFs. The next morning before the market opens, your junior traders eagerly present their result
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The Effect of the Board of Directors [Factor Wave]The Quality factor is a composite measure designed to identify companies with the characteristics that typically lead to success. It is particularly useful to identify "value traps": companies which are cheap by current metrics but are losing money. I wrote a little about quality here. However, we are not so dogmatic that we won't admit that there are aspects of quality tha
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Intertemporal PCA Analysis [John Orford]Taking a leaf out of Mike Harris' recent Momersion theme, here's a PCA point of view of the balance between momentum and mean reversion over the previous 10 years from the Lazy PCA tool. August 2015 – 2014 PCA fits momentum and mean reversion components to the daily returns, they balance each other out here, which means the market is somewhat efficient (i.e. 'momersio
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State of Trend Following in July: UP [Au Tra Sy]July saw a bounce back up in the index after several months of downwards action. The YTD performance is still negative though. Please check below for more details. Detailed Results The figures for the month are: July return: 3.86% YTD return: -1.47% Below is the chart displaying individual system results throughout July: