This is a summary of links featured on Quantocracy on Tuesday, 09/18/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Momentum Investing, Like Value Investing, is Simple, but NOT Easy [Alpha Architect]Weve covered momentum investing extensively over the years, to include 94 posts, a book on the subject, and numerous discussions on various podcast outlets. There are a few things one notices after thinking about a topic for so long: You forgot half of the things you read and/or wrote (yes, we have redone research on specific ideas and realized after that fact that we had already done the same
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Maximum Pain Theory [Only VIX]I think if you're reading this blog, you're probably already a knowledgeable options trader, and have heard of maximum pain theory – an idea that market moves in a path that hurts ( causes losses ) most amount of market participants. In options it is typically stated that simulating options expiration losses by open interest at different strikes will help you to divine its expiration