This is a summary of links featured on Quantocracy on Sunday, 10/18/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Discrimination of Correlated Random Walk Time Series using GNPR [Hudson and Thames]Discriminating random variables on time-series on both their distribution and dependence information is motivated by the study of financial assets returns. For example, given two assets where their returns are perfectly correlated, are these returns always similar from a risk perspective? According to Kelly and Jiang (2014), the answer is no, because we did not take into account the distribution
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Prospect theory value as investment factor [SR SV]Prospect theory value is a valid investment factor, particularly in episodes of apparent market inefficiency. Prospect theory is a popular model of irrational decision making. It emphasizes a realistic mental representation of expected gains and losses and an individuals evaluation of such representations. Prospect theory explains asymmetric loss aversion (view post here) and gambling