This is a summary of links featured on Quantocracy on Saturday, 10/29/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Building Candlesticks in Rust [Mark Best]Candlesticks are a common way to represent price and volume of an asset over a period of time. There are various common types of bars such as time, volume, tick bars, hieken-ashi, renko to name a few. There is a lot of information about the implementations of these on the internet so their details will not be covered here. The aim of this article is to share some tips for implementation and also a
-
Momentum Gap – its role in reducing crashes [Alpha Architect]This article discusses the academic research about the Momentum Gap and the role that its predictive potential may have in reducing momentum crashes, hence possibly improving performance. In our book Your Complete Guide to Factor-Based Investing, Andrew Berkin and I presented the evidence demonstrating that momentum, both cross-sectional (CSMOM) and time-series (TSMOM), has provided a
-
Identifying market regimes via asset class correlations [SR SV]A recent paper suggests identifying financial market regimes through the correlations of asset class returns. The basic idea is to calculate correlation matrixes for sliding time windows and then estimate pairwise similarities. This gives a matrix of similarity across time. One can then perform principal component analysis on this similarity matrix and extract the axes of greatest relevance.
-
Asynchronous Trading Revisited: Practical Implications [Alpha Architect]In this article, the author examines several important questions related to asynchronous trading, or the variation in trading frequency that occurs when trading stocks or other assets. Timo Wiedemann, University of Muenster (Germany) The newest version of the paper can be found here. What are the Research Questions? Trading is not continuous, leading to asynchronous trading times for different