This is a summary of links featured on Quantocracy on Saturday, 09/02/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Investment Factor: does it impact returns? [Alpha Architect]Over the long term, low-investment firms have outperformed high-investment firms. This finding has led to the investment factor (CMA, or conservative minus aggressive) being incorporated into the leading asset pricing modelsthe four-factor q-theory model (market beta, size, investment, and profitability), the Fama-French five-factor model that adds value, and the Fama-French six-factor model
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Autocorrelation in Trading: A Practical Python Approach to Analyzing Time Series Data [Quant Insti]Autocorrelation is a statistical concept that measures the correlation between observations of a time series and its lagged values. It is commonly used in various fields, including trading for technical analysis, to identify patterns, trends, and relationships within data. Autocorrelation helps analyse the dependence between past and present values and provides insights into the persistence or
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How to use HDF5 for advanced, ultra fast market data storage [PyQuant News]If theres one thing algorithmic traders cannot get enough of, its data. The data that fuels our strategies is more than just numbersits the lifeblood of our decision-making processes. And having data available locallyor at least within your controlis a big part of that. In todays newsletter, well use the ultra-fast HDF5 file format to store data for research and analysis.
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Research Review | 31 August 2023 | Financial Crises [Capital Spectator]Predicting Financial Crises: The Role of Asset Prices Tristan Hennig (International Monetary Fund), et al. August 2023 We explore the early warning properties of a composite indicator which summarizes signals from a range of asset price growth and asset price volatility indicators to capture mispricing of risk in asset markets. Using a quarterly panel of 108 advanced and emerging economies over