This is a summary of links featured on Quantocracy on Tuesday, 10/20/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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ArbitrageLab Release Update [Hudson and Thames]ArbitrageLab is a python library that helps traders who want to exploit mean-reverting portfolios by providing a complete set of algorithms from the best academic journals. How to Get Access Recently there has been a lot of interest in the development of our most recent library which focuses specifically on algorithms to enhance mean-reverting strategies related to statistical arbitrage. In the
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Don’t Get Carried Away by Carry [Factor Research]Carry across asset classes has not performed strongly over the most recent decade Currency carry and Value & Size equity factors exhibited the same trends in performance since 1999 All three factors are likely driven by risk sentiment, essentially offering the same risk exposure INTRODUCTION There are folks in finance who know and folks who dont know. The latter group often drives the
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A Temporal Clustering Function [Dekalog Blog]Recently a reader contacted me with a view to collaborating on some work regarding the Delta phenomenon but after a brief exchange of e-mails this seems to have petered out. However, for my part, the work I have done has opened a few new avenues of investigation and this post is about one of them. One of the problems I set out to solve was clustering in the time domain, or temporal clustering as I