This is a summary of links featured on Quantocracy on Sunday, 09/29/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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A different indicator [Quantitativo]"Mathematical reasoning may be regarded rather schematically as the exercise of a combination of two facilities, which we may call intuition and ingenuity. Alan Turing. It's hard to find anyone in Computer Science who doesn't hold Alan Turing in deep admiration. Widely regarded as the father of modern computing, Turing's groundbreaking work during World War II on breaking
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Vasicek Model Simulation with Python [Quant Start]Recently on QuantStart we wrote a tutorial article that discussed the mean-reverting Ornstein-Uhlenbeck process, outlining some of its applications as well as providing some Python snippets to generate sample paths. In this article we are going to introduce the Vasicek Model, which is example of a one-factor short rate model used to model interest rate behaviour for interest rate derivatives
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Can Skewness Identify Future Outperforming Mutual Funds [Alpha Architect]The annual SPIVA has documented that retail mutual funds underperform with great persistence, with any persistence of outperformance not significantly greater than would be randomly expected. The large body of research on the failure of active management led Charles Ellis to famously call it a losers gameone that is possible to win, though the odds of doing so are so poor the surest