This is a summary of links featured on Quantocracy on Friday, 09/10/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to Use Lexical Density of Company Fillings [Quantpedia]The application of alternative data is currently a strong trend in the investment industry. We, too, analyzed few datasets in the past, be it ESG data, sentiment, or company fillings. This article continues the exploration of the alt-data space. This time, we use the research paper by Joenvr et al., which shows that lexically diverse hedge funds outperform lexically homogeneous as an
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Optimizing implicitly using genetic algorithms [Quant Dare]Sometimes it is too costly, even impossible, to explicitly optimize an equation. Today we will see how to optimize implicitly using genetic algorithms. Sometimes, in finance as well as in other aspects of life, a problem presents itself in the most clear of terms: an explicit equation which we must optimize. In these cases, we must either maximize or minimize its value, given some variables which
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Is The Value Premium Smaller Than We Thought? [Alpha Architect]From 2017 through March 2020, the relative performance of value stocks in the U.S. was so poor, experiencing its largest drawdown in history, that many investors jumped to the conclusion that the value premium was dead. It is certainly possible that what economists call a regime change could have caused assumptions to change about why the premium should exist/persist. For example, if the