This is a summary of links featured on Quantocracy on Thursday, 09/26/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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An Approach to Time Series Data when Data is Limited (ARIMA / VAR) [Auquan]Investors are slowly becoming more and more interested in ethical investing. Part of the reason is the industry is starting to care more, but the other reason is that there is a lot of evidence to show that it can produce better or at least equivalent returns. One subset of this type of investing is known as ESG investing. In short, this uses company filings about their environmental, social and
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The Short Duration Premium [Alpha Architect]In my June 4, 2019 article The Re-Death of Value, or Dj Vu All Over? I noted that one possible explanation for at least part of the poor performance of value stocks over the past decade has been the sharp fall in both the real interest rate (due to weak global growth) and unexpected inflation. As supporting evidence, I cited a study which found that those two outcomes favor longer
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Trading Using Machine Learning In Python [Quant Insti]In recent years, machine learning, more specifically machine learning in Python has become the buzz-word for many quant firms. In their quest to seek the elusive alpha, a number of funds and trading firms have adopted to machine learning. While the algorithms deployed by quant hedge funds are never made public, we know that top funds employ machine learning algorithms to a large extent. Take, for