This is a summary of links featured on Quantocracy on Monday, 08/28/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Statistical Arbitrage on a Cross-border Soybean Crush Spread [Golden Compass]Pairs trading is one of the simplest forms of statistical arbitrage which involves exploiting relative mispricings between two similar assets. It operates based on the assumption of the law of one price; that anomalies among securities valuation will occur in the short run but in the long run, will be corrected by market efficiency. In academic literature, studies such as such as Bogomolov (2010)
An Interactive Dynamic Delta Hedging Example in R [Top of The Bell Curve]Delta hedging is a technique used by trades to reduce the directional risk of a position. This delta hedging strategy results in the reduction of the variability of the profit and loss (pnl) of the position. A position that is delta hedged is said to be delta neutral. In this blog we will look at delta hedging European options under the Black and Scholes framework. A European option is an option
Smart Beta and Factor Correlations to the S&P 500 [Factor Research]SUMMARY Most smart beta products exhibit correlations of > 0.9 to the S&P 500 Factors show correlations of zero on average However, factor correlations are highly volatile across the market cycle INTRODUCTION In our recent research note Smart Beta vs Factors in Portfolio Construction we analysed the impact of including Value & Growth smart beta ETFs in an equity-centric portfolio