This is a summary of links featured on Quantocracy on Sunday, 10/16/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Slava Ukraini! Latest from Quantocracy contributor in Ukraine: Natural Clustering in VIX Futures Data [Only VIX]If you take all available VIX futures data and create a scatterplot of daily settlement prices as a function of time to expiration you will see a curious pattern: Yes, there are clear clusters in prices. But what do these clusters mean? The simple explanation is that the VIX term structure passes from one regime to another and there is noise around these regimes. There is a low-volatility flat,
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Volatility and Expected Range, Are They The Same? [Only VIX]This is not a post to correct some abstract mathematical technicality, or a semantic point. Rather I hope to shed some light on widespread mis-estimation of important risk metric that I often see on the internet. For example this double-decker of ignorance popped up on my twitter feed today. VIX as you know is an annualized measure and in order to calculate an expected daily move – that is from
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Jobs growth as trading signal [SR SV]Employment growth is an important and underestimated macro factor of financial market trends. Since the expansion of jobs relative to the workforce is indicative of changes in slack or tightness in an economy it serves as a predictor of monetary policy and cost pressure. High employment growth is therefore a natural headwind for equity markets. Similarly, the expansion of jobs in one country
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Lottery Demand and the Asset Growth Anomaly [Alpha Architect]It is well documented in the literature that over the long term, low-investment firms have outperformed high-investment firmswith the negative relation between asset growth (AG) and future stock returns particularly featured by the overvaluation of high AG stocks. This finding has led to the investment factor (CMA, or conservative minus aggressive) being incorporated into the leading asset