This is a summary of links featured on Quantocracy on Wednesday, 10/07/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
-
ARIMA+GARCH Trading Strategy on the S&P500 Stock Market Index Using R [Quant Start]In this article I want to show you how to apply all of the knowledge gained in the previous time series analysis posts to a trading strategy on the S&P500 US stock market index. We will see that by combining the ARIMA and GARCH models we can significantly outperform a "Buy-and-Hold" approach over the long term. Strategy Overview The idea of the strategy is relatively simple but if
-
How to look up a Stock s Short Interest with Python [MKTSTK]Today I was trying to investigate short interest in the Energy sector: the group as a whole has rallied hard over the last few days and I suspect a short covering rally is at play, so some testing is in order. Much to my dismay, my searches didnt return an easy way to do this in Python. Lots of websites offer the data but quants want to consume the data programmatically Luckily it was super
-
Optimization of Equity Momentum [Quantpedia]Standard mean-variance optimized momentum outperforms the traditional equally weighted momentum strategy if the expected return vector used reflects momentum's top and bottom only characteristic. This top and bottom only characteristic is the phenomenon that only the stocks in the top decile of momentum's ranking outperform and that only stocks in the bottom decile underperform, while