This is a summary of links featured on Quantocracy on Wednesday, 09/27/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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An Introduction to Machine Learning Research Related to Quantitative Trading [Quantpedia]Following the recent release of the popular large language model ChatGPT, the topic of machine learning and AI seems to have skyrocketed in popularity. The concept of machine learning is, however, a much older one and has been the topic of various research and technology projects over the last decade and even longer. In this article, we would like to discuss what machine learning is, how it can be
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Reducing Whipsaws When Using 200-day Moving Average for Market Timing [Alvarez Quant Trading]I was working on testing a market timing indicator that I read about it. It was showing some promise and the next step was to compare it to my benchmark. My benchmark is using the 200-day moving average. But an additional rule removes a lot of the whipsaws that can happen. After doing the comparison, the market timing indicator compared well. But then I realized I had not written a blog post about
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Super-Secret Proprietary Black Box Strategies [Allocate Smartly]Note: This is a rare non-geeky, non-quantitative, stream of thought blog post. Because were so deep into this world of Tactical Asset Allocation (TAA), were sometimes asked for our thoughts on such-and-such black box TAA strategy. By black box we mean a strategy for which the trading rules are not disclosed to investors (nor to us). Black box strategies inherently sell on the idea that
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Geographic investing: business activity vs. domicile [Alpha Architect]The article explores the limitations of traditional country-level stock market indexes constructed based on issuing firms domicile. Additionally, it introduces a new type of national stock market index called the EMindex, which is based on companies business activities rather than their domicile. The EMindex aims to provide a better representation of a countrys economic risk by