This is a summary of links featured on Quantocracy on Saturday, 09/24/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
Slava Ukraini! Latest from Quantocracy contributor in Ukraine: Jupyter Notebook To Download VIX Futures [Only VIX]I will be publishing some of my research notebooks, starting with downloader for VIX data, fitting Nelson-Siegel model for term structure ( static ) , and dynamic ( Kalman Filter ), and possibly some recent work I did on regime clusters in VIX and ML for VIX trading. Here is the link to the first one. Email me if you have any questions. In the last 2 days UN Human Right Commission published their
Consumer Spending Data and the Cross-Section of Stock Returns [Alpha Architect]Consumer demand drives the cash flows of consumer-oriented companies. Thus, they should serve as a reliable source of information to predict future fundamentals above and beyond the information contained in financial statements and readily available market data. For example, Jiekun Huang, author of the 2018 study The Customer Knows Best: The Investment Value of Consumer Opinions, analyzed
Should Levered and Inverse ETFs Even Exist? [Alpha Architect]In 2019, the SEC proposed that all brokers and advisors be required to determine whether or not their clients understood the risks of investing in levered and inverse exchange traded products before selling such products to them. The SEC moved on this requirement in response to a series of fund failures. For example, after losing 96% of its value in a single day, Credit Suisse closed its Daily