This is a summary of links featured on Quantocracy on Monday, 08/26/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Overnight Reversal Effects in the High-Yield Market [Quantpedia]High-yield bond ETFs represent a unique financial vehicle: they are highly liquid instruments that hold inherently illiquid securities, creating a fertile ground for predictable market behaviors. Our latest research uncovers an intriguing anomaly within these ETFs, similar to those observed in the stock market: overnight returns are systematically higher than intraday returns. This overnight
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Long & Short Mean Reversion Machine Learning [Quantitativo]"There is no magic in magic; it's all in the details. Walt Disney. As most creative people are, I'm a huge fan of Walt Disney and his attention to detail. One of the most famous stories about his attention to detail involves a seemingly small problem with light bulbs on Main Street, U.S.A., in Disneyland. When Disneyland was being constructed, Walt Disney was deeply involved in
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From Man vs. Machine to Man + Machine: The Art and AI of Stock Analyses [Alpha Architect]The research questions are as follows: How does AI perform compared to human analysts in predicting stock returns? Under what circumstances do human analysts retain their advantage over AI? What is the impact of combining human analysts with AI (the Man + Machine approach) on stock prediction accuracy? What are the implications of these findings for the broader application of AI in skilled