This is a summary of links featured on Quantocracy on Friday, 10/14/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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So You Want to Build Your Own Algo Trading System? [Robot Wealth]Unlike any other business, algorithmic trading has the advantage of being independent of marketing, sales, customers and all those things that need the pretty people to make it run. Also, you get almost instant feedback on how good you are in your business. For anyone who is numerically inclined (and more often than not falls into a particular demographic in terms of their social
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Zero-Crossing Variant of Pairs Trading Strategy [Quantpedia]Pairs trading is a venerable trading strategy. There is agreement that it worked fine in the far past. But it is less clear if it still profitable today. In this working paper the universe of eligible pairs is defined by the holdings of a given ETF. It is shown that the stocks must be from ETFs which select high-quality, low-volatility stocks. The usual closeness measure presented in the