This is a summary of links featured on Quantocracy on Wednesday, 10/30/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Understanding the Invisible Tail of a Power Law [Quant at Risk]Understanding the invisible tail of a power law distribution is crucial for accurate extreme value analysis, especially in fields where rare, extreme events have a large impact. In finance, natural disaster modeling, and engineering, rare events, or outliers, are disproportionately impactful. The theory behind the invisible tail demonstrates that traditional methods for estimating risk or
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Day 8: Baseline effects [OSM]Yesterday, we discussed the size effects, their statistical significance (e.g., p-values), and some other summary statistics for the various momentum combinations namely, 3, 6, 9, and 12 week lookback and look forward returns. We found that size effects were small, but a few were significant, and that in the case of the 12-by-12 combination about 75% of the results clustered in the -10% to 10%
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Day 7: Size effects [OSM]Welcome to the last day of the first week of 30 days of backtesting! We hope youre enjoying the ride. If you have any questions or concerns, you can reach us at the contact details listed at the bottom of this post. On Day 6 we defined momentum rather roughly and ran a bunch of tests to identify the linear relationship between different lookback and look forward periods. However, we didnt go