This is a summary of links featured on Quantocracy on Friday, 09/11/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
Momentum Turning Points [Allocate Smartly]This is a test of two recent papers: Momentum Turning Points and Breaking Bad Trends. Learn more about what we do and follow 50+ asset allocation strategies like these in near real-time. Successful trend-following strategies must balance the speed of the trading signal. If the signal is too slow, the strategy will not adapt quickly enough to changes in the actual underlying trend. If its
Liquidity Cascades: The Coordinated Risk of Uncoordinated Market Participants [Flirting with Models]This paper is unlike any research weve shared in the past. Within we dive into the circumstantial evidence surrounding the weird behavior many investors believe markets are exhibiting. We tackle narratives such as the impact of central bank intervention, the growing scale of passive / indexed investing, and asymmetric liquidity provisioning. Spoiler: Individually, the evidence for these