This is a summary of links featured on Quantocracy on Monday, 08/27/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trade Optimization [Flirting with Models]Trade optimization is more technical topic than we usually cover in our published research. Therefore, this note will relies heavily on mathematical notation and assumes readers have a basic understanding of optimization. Accompanying the commentary is code written in Python, meant to provide concrete examples of how these ideas can be implemented. The Python code leverages the PuLP optimization
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Factor Momentum [Factor Research]The Momentum strategy can be applied to stocks, sectors, countries and factors Factor momentum shows positive excess returns across regions However, single-stock Momentum performance is comparable and less complex to implement INTRODUCTION We recently investigated applying the long-short Momentum strategy to sectors and countries in Europe, which revealed positive excess returns (Sector versus
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Crypto-asset Risks and Returns [CXO Advisory]How do the major crypto-assets (Bitcoin, Ripple, and Ethereum) stack up against conventional asset classes? In their August 2018 paper entitled Risks and Returns of Cryptocurrency, Yukun Liu and Aleh Tsyvinski apply standard tools of asset pricing to measure crypto-asset exposures to: 160 equity factors. Macroeconomic factors (non-durable consumption growth, durable consumption growth,
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Fintwit Might Matter for Momentum and Mean Reversion in Stock Prices [Alpha Architect]Do users of social media provide valuable information about liquidity that can be used to predict future liquidity? Does social media provide useful information, over and above that provided by traditional, fundamental news sources? Do positive and negative sentiment have the same effects on markets? Does information gleaned from social-media improve trading strategies? What are the Academic
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New Highs On Low Volume During August [Quantifiable Edges]SPX closed at a new all-time high on Friday. But NYSE volume came in at the lowest level since mid-July. Low volume at new highs can sometimes be a negative. Of course August frequently has low volume as many market participants are on vacation and not trading as actively. So I decided to look back at other times the SPX made a long-term high on light volume during the month of August. Results