This is a summary of links featured on Quantocracy on Wednesday, 10/04/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Diving Deep: My Personal Approach to Equity and Volatility Risk Premia [Robot Wealth]Lately, Ive been thinking a lot about the Volatility Risk Premium (VRP). The VRP makes much more sense (to me, at least) when I have the Equity Risk Premium (ERP) for context and comparison. So, in this article, I want to discuss the ERP and the VRP, their similarities and differences, and how I seek exposure to both. Ill do a follow-up article where we analyse the VRP using the most
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Trading Technical Indicators the Right Way: Digital to Analog Signals [Hanguk Quant]In the previous lecture, we did a line by line walk through and intuitive explanation of the need for volatility targeting: Code Walkthrough for the Alpha Simulator: Simple Trend Rule with Volatility Targeting HangukQuant Sep 23 Code Walkthrough for the Alpha Simulator: Simple Trend Rule with Volatility Targeting Read full story In particular, the expectation for risk-adjusted returns shall be
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The State Of Vol [Investment Idiocy]I'm sometimes asked where I get my ideas for new trading strategies from. The boring truth is I rarely test new trading strategies, and I mostly steal ideas when I feel in the mood. Today for example I saw this tweet post on twitter X: The original paper is here (requires subscription or academic institution membership) Now I've written in the past about how volatility levels affect the
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AutoRegressive Moving Average (ARMA) models: Using R [Quant Insti]In the AutoRegressive Moving Average (ARMA) models: A Comprehensive Guide of my ARMA article series, I covered the theoretical aspects of Autoregressive Moving Average models (ARMA). In the AutoRegressive Moving Average (ARMA) models: Using Python, I simulated different ARMA models, their autocorrelations and their partial autocorrelations. We also provided a strategy based on these models. In