This is a summary of links featured on Quantocracy on Tuesday, 08/18/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Neural Network based trading strategy [Philipp Kahler]I always dreamed about the machine which tells me to enter long right before the market starts to go up. Might a neural network be this machine? Using Tradesignal and the free Python Neural Net library Pyrenn it is easy to find out Part one: Classification of data The first step in the process is to tell the Neural Network when it should give me a go. Therefore I designed me small indicator
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Value Investing: An Examination of the 1,000 Largest Firms [Alpha Architect]Among stock investors, a common strategy/belief held is Value investing buying stocks that are relative cheaper on price/fundamental ratios. The idea behind why value investing works is that Value stocks are either (1) riskier and/or (2) have been mispriced by the market. In theory, these elements of risk/mispricing lead to expected above-market returns. However, this strategy has failed over
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Bank Risk Premia Indices: Unbankable? [Factor Research]Factor investing can be pursued across asset classes Risk premia products sold by investment banks have generated mostly unattractive returns since 2006 The idea of risk premia indices is great, but the implementation has been poor INTRODUCTION Monoculture can be considered the biggest threat to our food supply and therefore our livelihood. Although our diet may seem varied, about 20 species of