Quantocracy’s Daily Wrap for 10/23/2019

For this post, I want to take a look at the concept of intra-day momentum and investigate whether we are able to identify any positive signs of such a phenomenon occurring across (quite a large) universe of NYSE stocks. It has been suggested that, for the wider market in general at least, there is a statistically significant intra-day momentum effect resulting in a positive relationship between

Lets start with an experiment. We divide people into two groups, A and B. Then, we ask group A to guess how old Mahatma Gandhi was when he died, taking into account it was after age 9. And we ask group B the same question but taking into account that it was before age 140. Of course, the extra information is useless in both cases. However, it influences the answers in some way. Group As

Pairs trading is supposedly one of the most popular types of trading strategy. In this strategy, usually a pair of stocks are traded in a market-neutral strategy, i.e. it doesnt matter whether the market is trending upwards or downwards, the two open positions for each stock hedge against each other. The key challenges in pairs trading are to: Choose a pair which will give you good statistical

Many famous investors are outspoken about their investment philosophies, and carefully apply them to a select number of securities. Who among us hasnt thought if they could at least capture some of the talents of our favorite investors in a bottle, we too could be super investors? Turns out you might just be able to capture some of the magic, but you have to be patient and take the pain to get

While the quality factor has been identified in the literature (including papers such as Buffetts Alpha, Global Return Premiums on Earnings Quality, Value, and Size, and The Excess Returns of Quality Stocks: A Behavioral Anomaly), and there are now a number of investment vehicles with quality strategies (such as the iShares Edge MSCI USA Quality Factor ETF, or QUAL, and