This is a summary of links featured on Quantocracy on Sunday, 10/22/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Market Cap vs Dollar Volume: Which to Use for Universe Selection? [Quant Rocket]Market cap and dollar volume are two commonly used metrics for filtering a trading universe by size of security. Does it matter which one you use? In this post, I quantify the difference between market cap and dollar volume and explain the kinds of stocks that may unexpectedly appear in your universe with each metric. Overview of market cap and dollar volume Market cap and dollar volume are both
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Macro demand-based rates strategies [SR SV]The pace of aggregate demand in the macroeconomy exerts pressure on interest rates. In credible inflation targeting regimes, excess demand should be negatively related to duration returns and positively to curve-flattening returns. Indeed, point-in-time market information states of various macro demand-related indicators all have helped predict returns of directional and curve positions in
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How an old Nintendo baddie boosts portfolio analysis [PyQuant News]Todays newsletter is based on a readers suggestion. We look at k-medoids which is a villain in the popular Nintendo game Metroid. No its not. But if you know Metroid, you have to agree: It sounds like one! Its actually a powerful method used in data science to cluster similar data together. Its robust to outliers so super useful when clustering features of a portfolio of financial