This is a summary of links featured on Quantocracy on Monday, 10/24/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mean Reversion Check Up 2022 [Alvarez Quant Trading]A common question I get is whether mean reversion is still working. My response is I am still trading a mean reversion strategy but the edges seem to get smaller. Over the year I have investigated this. I was asked again recently and wanted to investigate again. Here are the results of my 2022 investigation. The Rules Test date range 1/1/2000 to 9/30/2022. I wanted to keep the rules simple. I
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Live Algo Trading on the Cloud – Vultr [Algo Trading 101]What does live algorithmic trading on the Cloud mean? Rerequisite Basic Guide What are the pros of deploying your trading strategies to the Cloud? What are the cons of deploying your trading strategies to the Cloud? What is the Cloud Service? What is the Cloud used for? What cloud providers are good? What is Vultr? Why should I use Vultr? Why shouldnt I use Vultr? What does Vultr offer? How
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Fast Logging for HFT In Rust [Mark Best]In this article well be discussing a fast way of logging in Rust and its application to high frequency trading. The code presented here solves two problems, one is well known, the latter less so. It is a imperative to avoid using IO operations within the strategy thread, but logging operations can hide a lot of memory operations that should also be avoided. Logging from the strategy is useful
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Are hedge funds losing their hedge? [Mathematical Investor]Hedge funds were pioneered some 70 years ago by Australian financier Alfred Winslow Jones. His idea was to combine a long position (i.e., one that profits if the securities go up in price), typically a set of growth stocks, with a short position (i.e., one that profits if the securities go down in price) on the other part of the portfolio. Jones argued that this long-short
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Thematic versus Momentum Investing [Finominal]Thematic products underperform the stock market on average The exposure to the momentum factor was low to negative recently Systematic performance chasing beats performance chasing with a narrative INTRODUCTION Space: the final frontier. Where no man has gone before. Well, wealthy folks can now go there by booking a ticket with Virgin Galactic. It will not be deep space and it could be debated
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The Effect of Indexing on Price Discovery and Limits to Arbitrage [Alpha Architect]The rise of stock indexing has raised concerns that index investing distorts stock pricesindexers are free riders who rely on prices without contributing to price discovery, thus reducing price efficiency. Byung Ahn and Panos Patatoukas, authors of the study Identifying the Effect of Stock Indexing: Impetus or Impediment to Arbitrage and Price Discovery? published in the August 2022 issue