This is a summary of links featured on Quantocracy on Wednesday, 10/14/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Factor Exposure Analysis 101 [Factor Research]Linear regression is widely used for factor exposure analysis However, a high R2 and low p-value can be misleading Unsurprisingly the data quality matters INTRODUCTION Some fields of science like math or statistics seem to be too dry to be joking about, but a quick Google search for jokes on statisticians reveals that even this area is a fertile ground for humor. Sample these for a quick laugh: A
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Clustering S&P500 using Fully Convolutional Autoencoders [Quant Dare]Clustering data into groups that share common characteristics can be very useful, but using experts to perform this grouping is costly and in many cases decisions are influenced by emotions. That is why clustering is one of the main topics of Unsupervised Machine Learning algorithms, that doesnt require labels to find patterns in data. We have shown how to use clustering techniques to find
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News and its Impact on Risk and Returns Around the World [Alpha Architect]News is now data. But how is this data associated with changes in stock market returns and risks, and is there predictive power in the news via the words used? This innovative paper asks and answers nine important questions about the interrelationship of news and stock market outcomes. How should one best measure news using word flow? Which aspects of word flow should be the focus of measurement?