This is a summary of links featured on Quantocracy on Monday, 10/12/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
-
How to Get Started with R quantmod Package? [Quant Insti]The quantmod package for R is designed to assist the quantitative trader in the development, testing, and deployment of statistically based trading models. It is a rapid prototyping environment where enthusiasts can explore various technical indicators with minimum effort. It offers charting facilities that is not available elsewhere in R. Quantmod package makes modeling easier and analysis
-
More Factors Don t Always Help [Larry Swedroe]Professors Eugene Fama and Kenneth French have a new paper, Incremental Variables and the Investment Opportunity Set, that provides some important insights for investors considering funds designed to supply exposure to multiple factors, or styles, of investing. In their study, they note: Much asset pricing research is a search for variables that improve understanding of the cross section
-
Daily Academic Alpha: Momentum Investing and Asset Allocation [Alpha Architect]The results in this paper wont surprise most who are regular readers, but the paper below does a nice job explaining things in a simple way. For more advanced asset allocation methods that use momentum one can check out past blogs on the subject here, here , and here. Momentum Investing & Asset Allocation This paper highlights the use of a new strategic approach within a quantitative
-
Happy Columbus Day Again? [Quantifiable Edges]While the stock market is open on Monday, banks, schools, government offices, and the bond market are closed. In past years with the bond market closed, the stock market has done quite well on Columbus Day. Of course the most famous Columbus Day rally was in 2008 when the market gained over 11% after having crashed the week before. A few times here on the blog (most recently 10/13/13) I showed