This is a summary of links featured on Quantocracy on Tuesday, 10/19/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on S&P 500 [Enjine]Although Harry Potters world of magic exists on the same earth as our magic-less Muggle world, the worlds might as well be on different planets. Each world is governed by its own sets of rules and values, and their residents hardly ever cross each others paths. Academia and industry similarly exist as parallel worlds. In academia, a persons work is judged by its logical rigour. In
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New Site: Options Derived Analytics [Newmark Risk]The Put-Call ratio is often the most commonly used Options-Implied Indicator due to it's simplicity in calculation. However there exists several variations in methodology to calculate it. In this blogpost we give an overview of these different methods and their relevance. The Put-Call ratio can be calculated using volume or open interest and it can be filtered by moneyness (ATM, ITM or OTM).
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Beyond Hierarchical Risk Parity: Hierarchical Clustering-Based Risk Parity [Portfolio Optimizer]In a previous post, I introduced the Hierarchical Risk Parity portfolio optimization algorithm1. In this post, I will present one of its variations, called Hierarchical Clustering-Based Risk Parity, first described in Papenbrock2 and then generalized in Raffinot34 and in Lohre et al.5, from which the implementation in Portfolio Optimizer is inspired. Hierarchical clustering-based risk parity