This is a summary of links featured on Quantocracy on Monday, 10/16/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Vector AutoRegression models: Implementation in Python and R [Quant Insti]Whenever you want to estimate a model for multiple time series, the Vector Autoregression (VAR) model will serve you well. This model is suitable for handling multiple time series in a single model. You will learn here the theory, the intricacies, the issues and the implementation in Python and R. What is a VAR model? Creating a VAR model A stationary VAR VAR Lag Selection Criteria Estimation of a
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Momentum Research: a summary: high quality articles of note [Alpha Architect]The Jegadeesh and Titman (1993) paper on momentum established that an equity trading strategy consisting of buying past winners and selling past losers, reliably produced risk-adjusted excess returns. The Jegadeesh results have been replicated in international markets and across asset classes. As this evidence challenged and contradicted widely accepted notions of weak-form market efficiency, the