This is a summary of links featured on Quantocracy on Tuesday, 08/30/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Dynamic Hedge Ratio Between ETF Pairs Using the Kalman Filter [Quant Start]A common quant trading technique involves taking two assets that form a cointegrating relationship and utilising a mean-reverting approach to construct a trading strategy. This can be carried out by performing a linear regression between the two assets (such as a pair of ETFs) and using this to determine how much of each asset to long and short at particular thresholds. One of the major concerns