This is a summary of links featured on Quantocracy on Monday, 09/11/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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There IS a low vol anomaly in SPY [Babbage9010]TL;DR There really is a low volatility anomaly in the SPY data; low volatility today predicts low volatility tomorrow and risk-adjusted returns are higher investing daily in the lower vol half of predicted market days. Same data, new analysis, better graphs and youll see it too. First up, a mea culpa. I misused my shallow understanding of stats::lag() in the last post and ended up
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Momentum turning points and their impact on market cycles [Alpha Architect]The article investigates time-series (TS) momentum strategies and their performance in financial markets based on various speeds or lookback horizons. The study aims to understand the connections between different speeds of TS momentum, unobservable variables like trend, turning points, and noise levels in realized returns, and their impact on market cycles. Momentum Turning Points Goulding,
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K-Nearest Neighbors Algorithm: Steps to Implement in Python [Quant Insti]Machine Learning (ML) has emerged as a powerful tool in the field of Artificial Intelligence, revolutionising various aspects of our lives. Whether it's recognising human handwriting or enabling self-driving cars, ML has become an integral part of our daily routines. With the exponential growth of data, the prevalence and importance of ML are only expected to increase in the coming years. ML
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Fixed Income Factors II [Finominal]There are style factors like value and traditional fixed income factors like term premium The correlations of these factors has been low However, it is not clear which are better suited for a factor exposure analysis INTRODUCTION In our last research article, we compared fixed income factors from two asset managers, namely AQR Capital Management and Robeco, which highlighted different security