This is a summary of links featured on Quantocracy on Thursday, 10/11/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
How a Multi-factor Portfolio is Constructed Matters [Alpha Architect]The CAPM was the first formal asset-pricing model. Market beta was its sole factor. With the 1992 publication of their paper, The Cross-Section of Expected Stock Returns, Eugene Fama and Kenneth French introduced a new-and-improved three-factor model, adding size and value to market beta as factors that not only provided premiums, but also helped further explain the differences in returns of
“Black Swan” Data Cleaning [Dekalog Blog]Since my last post I have been investigating training features that can be derived from my Currency Strength indicator as input for machine learning algorithms and during this work it was obvious that there are instances in the raw data that are Black Swan outliers. This can be seen in the chart below as pronounced spikes. The chart itself is a plot of log returns of various forex crosses and Gold