This is a summary of links featured on Quantocracy on Wednesday, 08/31/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Time Series Momentum and Volatility Scaling [Alpha Architect]There is a new paper published in the Journal of Financial Markets that digs a bit deeper into the Moskowitz, Ooi, and Pedersen Time Series Momentum paper (some background here). ts paper The paper is behind a pay firewall, but luckily there is a 4 part lecture by the authors explaining the key results: #1: https://www.youtube.com/watch?v=2akXA5y2Abw #2: