This is a summary of links featured on Quantocracy on Friday, 09/08/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
How to Combine Commodity Style Strategies [Quantpedia]This paper develops a portfolio allocation framework to study the benefits of style integration and to compare the effectiveness of alternative integration methods in commodity markets. The framework is flexible enough to be applicable to any asset class for either long-short, long- or short-only styles. We study the nave equal-weighted integration and sophisticated integrations where the style
Night Terrors [Highly Evolved Vol]Following on from my recent posts about trading volatility over weekends, Im now going to briefly look at trading options overnight. Option traders have always complained when they were too long options overnight, expecting to usually lose money on overnight longs. This doesnt make sense in a pure Black-Scholes-Merton world. In that world the time decay (theta) will be balanced by the
Free Friday #20 Time Windows [Build Alpha]There has been a recent popularity regarding time windows and it is one I completely agree with! There are certain structural changes that happen throughout the 24 hour session and as a trader it is important to take note of these when designing a system or strategy (or just placing trades). For example, how is my strategy's performance when Asia closes? How about when the US opens? There are