This is a summary of links featured on Quantocracy on Tuesday, 09/12/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
-
There is Value in the Value Factor [Factor Research]Equity factors can be valued using fundamental metrics Value and Size are cheap while Low Volatility and Growth are expensive Likely more meaningful for medium- to long-term than short-term investors INTRODUCTION The term Factor Investing reached an all-time high this year according to Google Trends, which is mirrored by an abundance of smart beta and risk premia products being issued by
-
Dynamic Asset Allocation for Practitioners Part 4: Momentum Weighting [Invest Resolve]In the first three articles of our Dynamic Asset Allocation for Practitioners series (article 1, article 2, article 3), we focused on the first half of the total process. We specified a universe of global asset classes and sorted it on relative strength with 21 different raw and risk-adjusted momentum indicators, each subjected to a battery of robustness testing 250,000 tests in total. We now
-
High Frequency Trading II: Limit Order Book [Quant Start]In this article series Imanol Prez, a PhD researcher in Mathematics at Oxford University, and an expert guest contributor to QuantStart continues the discussion of high-frequency trading via the introduction of the limit order book. As we saw in the in the first article of the series, the objective of electronic markets is to match participants that are willing to sell an asset with participants
-
Support Academic Research by Filling Out The Financial Analysts Survey [Alpha Architect]Prof. Richard Price, an old friend, co-author, and Alpha Architect advisory board member, is working on some cool new co-authored research that requires audience participation! Dr. Price, alongside Professors Dipankar Ghosh, and Atul Rai, are conducting research to better understand what factors are used by professional financial analysts to assess a firm for investment purposes when the firm