This is a summary of links featured on Quantocracy on Friday, 08/24/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Regime-Switching & Market State Modeling [Jonathan Kinlay]The Excel workbook referred to in this post can be downloaded here. Market state models are amongst the most useful analytical techniques that can be helpful in developing alpha-signal generators. That term covers a great deal of ground, with ideas drawn from statistics, econometrics, physics and bioinformatics. The purpose of this short note is to provide an introduction to some of the key ideas
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Academic Factor Portfolios are Extremely Painful. Unless you are an Alien [Alpha Architect]Imagine you are an alien. You land on planet earth in 1927 and are given a mission. You are told that you need to solve a problem: compound $1,000,000. The goal: compound your extraterrestrial face off. The options: FF_VAL: Top decile B/M, annually rebalanced, market-cap weighted. FF_MOM: Top decile 2-12 Momentum, monthly rebalanced, market-cap weighted. SP500: Own the biggest 500 stocks,
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What Works (and Doesn’t Work) in Cryptocurrencies [Quantpedia]If behavioral biases explain asset pricing anomalies, they should also materialize in cryptocurrency markets. I test more than 20 stock return anomalies based on daily cryptocurrency data, and document strong evidence of price momentum. Unlike stock markets, price reversal and risk-based anomalies are weak, controlling for market and size. Cryptocurrency anomalies can be explained by behavioral