Quantocracy’s Daily Wrap for 09/08/2022

In statistics, a bootstrap method, also called bootstrapping, is a compute-intensive procedure that allows to estimate the distribution of a statistic through repeated resampling from a single observed sample of data1. Bootstrapping has several applications in quantitative finance, for example to test the robustness of a trading strategy, to compute a portfolio value at risk, etc. In this post, I

In a previous post, we explained how self-organizing maps work, with a very simple example. In this post, we will explain how to implement self-organizing maps for an investment strategy. Last time, we gave a simple example with a map of colors to explain in detail how self-organizing maps (SOM) work. As we saw, similar colors tend to stick together. As such, we may use this algorithm for some

Evaluating manager performance is difficult as it requires an appropriate benchmark The managers benchmark selection is often not objective given conflicts of interests Factor exposure analysis can be used to systematically identify the best benchmark INTRODUCTION Although information asymmetries have largely disappeared in capital markets, there are plenty found in the asset management