This is a summary of links featured on Quantocracy on Saturday, 09/21/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
The quantitative path to macro information efficiency [SR SV]Financial markets are not information efficient with respect to macroeconomic information because data are notoriously dirty, relevant economic research is expensive, and establishing stable relations between macro data and market performance is challenging. However, statistical programming and packages have prepared the ground for great advances in macro information efficiency. The
-
The Weakest Week (2019 update) [Quantifiable Edges]As I have shown many times in the past, there isnt a more reliable time of the year to have a selloff than this upcoming week. I have often referred to is as The Weakest Week. Since 1960 the week following the 3rd Friday in September has produced the most bearish results of any week. Below is a graphic to show how this upcoming week has played out over time. 2019-09-20-1 As you can see