This is a summary of links featured on Quantocracy on Wednesday, 10/27/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Czekanowski Index-Based Similarity as Alternative Correlation Measure [Quant at Risk]In quantitative finance we are used to measuring direct linear correlations or non-linear cross-bicorrelations among various time-series. For the former, by default, one adopts the calculation of Pearson product-moment correlation coefficients to quantify a linear relationship between two vectors. This is true if the the data follow Gaussian distribution. In other case, the rank correlation
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Realized Volatility In Bitcoin Index [Lucas Miranda]One of the most relevant characteristics of digital assets is the high volatility observed in their prices. In this context, it is necessary that we have an adequate estimate of this parameter. In addition, there is great value in models that seek to predict future asset volatility values, which can be seen in the extensive literature on this topic. Here we will manipulate a high frequency
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Will the Fed ruin my S&P500 investments? [Quant Dare]It is widely known that each time the Fed gives an announcement, the whole investing world is watching. So, one may wonder if those events can ruin their investments. Recently in this blog, we have studied a set of variables which might move the market. From this post one can extract that Fed statements are a powerful variable that moves the world economy. Why not to take advantage of it in an
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Do factors have a role in asset allocation? [Alpha Architect]What is the role of factors in asset allocation? Should investors substitute factor exposures for asset classes in constructing strategic portfolios? Or should factors be used as an instrument to enhance the performance of asset class-based allocation schemes? There are still quite a few questions surrounding the implementation of asset allocation strategies even though they have permeated