This is a summary of links featured on Quantocracy on Tuesday, 09/03/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Insights from the Geopolitical Sentiment Index made with Google Trends [Quantpedia]Throughout history, geopolitical stress and tension has been ever-present. From ancient civilizations to todays world, global dynamics have been largely shaped by wars, terrorism, and trade disputes. Financial markets, as always, have keenly observed and been significantly influenced as a result. Our article delves into understanding this relation between geopolitical stress and financial
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Book Reviews and Reading List [Mark Best]How do you eat an elephant? I have wanted to write a reading list but I have been apprehensive since I didnt want to include too much and wanted also to explain why the books were in the list. If you want to trade crypto there is no point reading the Hull interest rate model book. This list likely will be a work in progress so keep that in mind. As I write this I realise I have a deep problem
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Can smart rebalancing improve factor portfolios? [Alpha Achitect]This paper aims to test an effective rebalancing method that prioritizes trades with the strongest signals to capture more of the factor premium while reducing turnover and trading costs. The authors coin the term smart rebalancing to capture the essence of their ideas. The empirical tests include widely used factor strategies, including long-short factors and long-only factor-based