This is a summary of links featured on Quantocracy on Sunday, 08/25/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Analyzing global fixed income markets with tensors [SR SV]Roughly speaking, a tensor is an array (generalization of a matrix) of numbers that transform according to certain rules when the arrays coordinates change. Fixed-income returns across countries can be seen as residing on tensor-like multidimensional data structures. Hence a tensor-valued approach allows identifying common factors behind international yield curves in the same way as principal
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Wide Range N-Day Pattern | Trading Strategy (Setup) [Oxford Capital]Developer: Toby Crabel (Narrow Range N-Day Pattern; Note: Wide Range N-Day Pattern applies a reverse logic of Narrow Range N-Day Pattern). Source: Crabel, T. (1990). Day Trading with Short Term Price Patterns and Opening Range Breakout. Greenville: Traders Press, Inc. Concept: Volatility cycles (expansion-contraction) with different look back periods. Research Goal: Performance verification of
