This is a summary of links featured on Quantocracy on Friday, 09/28/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Bitcoin Seasonality: Fooled by Randomness [Quant Fiction]Autumn is my favorite time of year. Football (and more importantly as a Bills fan, fantasy football) is back, everything tastes like pumpkin, and I dont get sweaty walking around outside. Its also the start of the cryptocurrency bull season! Or is it? Lets find out. Its already started: Twitter gurus posting that the coming months are the most bullish for Bitcoin. Many still remember
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Value at Risk or Expected Shortfall [Quant Dare]Value at Risk and Expected Shortfall are related to the risk taken by a portfolio but Which one is the best? Lets learn together the differences between these two measures. Risk measures Coherence is really important when defining a risk measurement. If the measure is not coherent, it will not give us adequate information about the risk of our portfolio. For that reason, there are four