This is a summary of links featured on Quantocracy on Sunday, 10/20/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
CUR matrix decomposition for improved data analysis [Eran Raviv]I have recently been reading about more modern ways to decompose a matrix. Singular value decomposition is a popular way, but there are more. I went down the rabbit whole. After a couple of see references therein I found something which looks to justify spending time on this. An excellent paper titled CUR matrix decomposition for improved data analysis. This post describes how to
-
Research Review | 18 October 2019 | Portfolio Design And Analysis [Capital Spectator]Explaining the Demise of Value Investing Baruch Lev (NY University) and Anup Srivastava (U. of Calgary) August 25, 2019 The business press claims that the long-standing and highly popular value investing strategyinvesting in low-valued stocks and selling short high-valued equitieslost its edge since 2007. The reasons for this putative sudden demise of value investing elude investors and