This is a summary of links featured on Quantocracy on Monday, 10/11/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Optimal Trading Thresholds for the O-U Process [Hudson and Thames]Pairs trading or statistical arbitrage is a famous strategy among institutional and individual investors since the 1990s. The concept behind this kind of strategy is straightforward. If the prices of assets move together historically, this tendency is likely to continue in the future. When the spread of the prices diverges from its long-term mean, one can short sell the over-priced stock, buy the
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Do Big Value Spreads Mean Big Returns to Value Strategies? [Alpha Architect]Okay, we cant keep it a secret, we are fans of value investing 1 So when Cliff Asness and his team at AQR write about value, we get excited. The analysis reported in this research confirms the relationship between static value strategies and future returns while incorporating the notion that the size of the value spread influences the size of the future value return. (you can use our free tool
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Insider Trading: What Happens Behind Closed Doors [Quantpedia]Corporate insiders often have insight into a companys private information, which might help them predict how the shares price will move in the coming days. However, laws and regulations are designed to keep them from trading based on this knowledge, as it would be unfair and hurt the companys other shareholders. This includes the prohibition of insider trading or designing a 10b5-1 plan,
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Less Efficient Markets = Higher Alpha? [Factor Research]Emerging market mutual fund managers struggle to outperform EM hedge fund managers failed to generate meaningful alpha EM opportunities seem to come with proportional risks INTRODUCTION Students often ask me for career advice. It is not a particularly satisfying experience. On the one hand, these are often exceptionally bright and hard-working people, with Oxford or Cambridge PhDs in chemical