This is a summary of links featured on Quantocracy on Tuesday, 08/21/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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2D Asset Allocation using PCA (Part 2) [CSS Analytics]In the last post we showed how to use PCA to create Offense and Defense portfolios by focusing on the first principal component or PC1. After rotation has been completed it is possible to derive weights or portfolios for each principal component. Another good primer on using PCA for asset allocation is written by a reader of the blog- Dr. Rufus Rankin. The link for this book is here. We can
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Our Own Worst Enemy [Alpha Scientist]"We have met the enemy, and he is us" – Walt Kelly It has long been noted that investors – individual and institutional – tend to be their own worst enemies. They have an uncanny ability to buy stocks near market tops and sell near market bottoms. As a consequence, investor returns, in aggregate, have a tendency to significantly lag investment returns in aggregate since investors are
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Can Machine Learning Be Used To Predict Market Direction? The 1,000,000 Model Test [Jonathan Kinlay]During the 1990s the advent of Neural Networks unleashed a torrent of research on their applications in financial markets, accompanied by some rather extravagant claims about their predicative abilities. Sadly, much of the research proved to be sub-standard and the results illusionary, following which the topic was largely relegated to the bleachers, at least in the field of financial market