This is a summary of links featured on Quantocracy on Thursday, 10/27/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mathematics and economics: A reality check [Mathematical Investor]One of us (Marcos Lopez de Prado) has published the article Mathematics and economics: A reality check in the Journal of Portfolio Management. The article is open-access there is no fee for viewing or downloading. Lopez de Prado argues that while economics is arguably one the most mathematical of the social sciences, the mathematical methods of economists may not be up to the task of modeling
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Portfolio Construction and Optimization [KKB Research]This is a talk I gave for the Toronto R users group on using various R packages for portfolio construction and optimization with the accompanying source code. So readers can see some of this tech applied to a real product I have included some unofficial performance numbers for the Stance Equity product at the end of the deck. We offer services in building and applying this for portfolio managers
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Currency Strength Indicator [Dekalog Blog]Over the last few weeks I have been looking into creating a currency strength indicator as input to a Nonlinear autoregressive exogenous model. This has involved a fair bit of online research and I have to say that compared to other technical analysis indicators there seems to be a paucity of pages devoted to the methodology of creating such an indicator. Apart from the above linked Wikipedia page