This is a summary of links featured on Quantocracy on Tuesday, 10/15/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Pre-Holiday Effect in Commodities [Quantpedia]Our research will explore the intriguing phenomenon of the Pre-Holiday effect in commodities, particularly crude oil and gasoline. Historical data reveals a short-term price drift prior to major U.S. holidays, suggesting a trend in these markets. We hypothesize that this anomaly may be driven by increased demand for oil and its derivatives, such as gasoline, as people prepare for travel, often by
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The Return of Simple and Exponentially Weighted Moving Average Models [Portfolio Optimizer]In the initial post of the series on volatility forecasting, I described the simple and the exponentially weighted moving average forecasting models, that are both easy to understand and relatively performant in practice. Beyond (univariate) volatility forecasting, these two models are also widely used in (multivariate) covariance matrix forecasting123, for the very same reasons. In this blog
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The Sahm Rule as a Recession Indicator [Alpha Architect]A weaker-than-expected July jobs report, with the unemployment rate increasing to 4.3%, officially triggered the Sahm Rule, causing investors to worry that the Federal Reserve may be behind the curve in cutting interest rates to prevent a recession. (The August report showed an increase in payroll employment of 142,000, with the unemployment rate at 4.2%). Named after Claudia Sahm, a