This is a summary of links featured on Quantocracy on Friday, 09/22/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Factor Timing Investigation: Interest Rates, Value Spreads, and Factor Premiums [Alpha Architect]Now that the Federal Reserve has begun the process of raising interest rates, and has announced their intention to begin to unwind their policy of quantitative easing (reducing the amount of bonds in their portfolio, either by selling holdings or allowing holdings to mature), investors may be concerned about the impact of rising interest rates on factor premiums. Wei Dai, senior researcher at
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Downloading Historical Data Using Oanda’s API and R [Dekalog Blog]It has been about 5 months since my last blog post and in this time I have been working away from home, been on summer holiday and spent some time mucking about on boats, so I have not been able to devote as much time to my blog as I would have liked. However, that has now changed, and this blog post is about obtaining historical data. Many moons ago I used to download free, EOD data from