This is a summary of links featured on Quantocracy on Saturday, 09/25/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Podcast Interview with Grzegorz Link [System Trader Show]Todays guest is Grzegorz Link, who professionally works as a quant for an investment fund. Grzegorz is a physicist by education, which may surprise some. However, the thing is that in building market models, skills such as programming and mathematics are the primary tools, which is the same for contemporary physicists. We raise many interesting issues during the conversation, trying to answer
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Crowding and Factor Premiums [Alpha Architect]My March 23, 2021, article for Alpha Architect addressed the issue that in recent years the field of empirical finance has faced challenges from papers arguing that there is a replication crisis because the majority of studies cannot be replicated and/or their findings are the result of multiple testing of too many factors. However, the finding that factor premium returns cannot be replicated