This is a summary of links featured on Quantocracy on Wednesday, 10/26/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Framework for a Short VIX Allocation [EconomPic]It has historically paid to be a seller of volatility for at least two reasons… 1) Volatility is typically overpriced relative to realized volatility The chart on the left shows the VIX index (predicted volatility) relative to the forward realized volatility of the S&P 500, while the chart on the right shows the variance between the two (anything > 0 means the VIX index was higher than
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Interactive Brokers API in Docker [Ryan Kennedy]While Interactive Brokers provide arguably the most extensive retail-level API available for trading, the software is quite frustrating to work with. Rather than IB offering you an API endpoint on their server to interact with, you must run their Gateway or TWS program on your host and interact with this program, which acts as an intermediary server. Further, both of these programs are
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VXX & XIV Strategies [Alvarez Quant Trading]My recent research has been on the volatility Exchange Traded Products. My focus has been on long trades using VXX and XIV. Although VXX has a very strong downtrend, I am not a fan of developing short strategies on it due to the huge upside risk. I wrote about XIV here and expressed some of the dangers of trading these ETFs. Issues XIV has an inception date of 11/30/2010 and VXX inception date is