This is a summary of links featured on Quantocracy on Tuesday, 09/07/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Introduction to Hedge Ratio Estimation Methods [Hudson and Thames]The hedge ratio estimation problem is one of the most important issues for portfolio managers. The key concept of the hedging problem can be posed as the following equation: S_{t}=P_{1, t}+sum_{n=2}^{N} omega_{n} P_{n, t} where P_1 represents the market value at observation t of a portfolio we wish to hedge and P_n represents a set of variables(instruments or portfolios) available for building a
-
Hierarchical Risk Parity: Introducing Graph Theory and Machine Learning in Portfolio Optimizer [Portfolio Optimizer]In this short post, I will introduce the Hierarchical Risk Parity portfolio optimization algorithm, initially described by Marcos Lopez de Prado1, and recently implemented in Portfolio Optimizer. I will not go into the details of this algorithm, though, but simply describe some of its general ideas together with their associated implementation tweaks in Portfolio Optimizer. Hierarchical risk
-
Why you need more data than you think in your backtest [Raposa Trade]How many years does it take before you can be confident in a trading strategy? Does one great year mean you have a tremendous strategy? Does one bad year mean you should pack it up and try something else? How soon can you tell that a system is flawed and needs changing? These arent easy questions, but theyre incredibly important to any investor, whether youre systematic or not! While we
-
Truth and Liebor [Investment Idiocy]This will be a bit different from my normal posts. It's basically some personal reflections on the LIBOR fixing scandal, prompted by having just read this book written by Stelios Contogoulas: This post isn't really a book review, although I will say that the book is definitely worth buying. Most of you have probably already read the excellent Spider Network. That is arguably better