This is a summary of links featured on Quantocracy on Wednesday, 08/22/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Pre-inclusion Bias: How to create a false strategy [Alvarez Quant Trading]In the previous post I described a simple rule to double the returns of a mean reversion strategy. In this post, I show how pre-inclusion bias can take a losing strategy and make it a winning one. Recently I had reader send me the rules for a stock trend following strategy. He knew these are the strategies I have been researching lately. The rules were few and I had time, so I coded it up. Here is
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Resources for Quantitative Analysts [Jonathan Kinlay]Two of the smartest econometricians I know are Prof. Stephen Taylor of Lancaster University, and Prof. James Davidson of Exeter University. I recall spending many profitable hours in the 1980s with Stephens book Modelling Financial Time Series, which I am pleased to see has now been reprinted in a second edition. For a long time this was the best available book on the topic and it remains a