This is a summary of links featured on Quantocracy on Saturday, 09/09/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Exploring Our Scraped Options Data Bid-Ask Spreads (Part-2) [Black Arbs]Notes on Part-2 The Data Bid-Ask Spread Analysis How Do Aggregate Bid-Ask Spreads Vary with Days To Expiration? How Do Bid-Ask Spreads Vary with Volume? How Do Bid-Ask Spreads Vary with Volatility? Summary Conclusions Notes on Part-2 Some astute readers in the comments noted that analysis based on the absolute difference in bid-ask price is not robust when considering the price of the underlying
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Trend-Following with Valeriy Zakamulin: Trading in Various Financial Markets – Part 8 [Alpha Architect]In our final blog post, that finishes the trend-following series, we briefly review the results of the forward-tests of the profitability of various trend following rules in different financial markets: stocks, bonds, currencies, and commodities. The results of these tests allow us to better understand the properties of the trend following strategies, their advantages, and their disadvantages.