This is a summary of links featured on Quantocracy on Saturday, 10/31/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Using AWS Timestream for tick data [Cuemacro]Whats the most important thing we need to have in order to follow financial markets? Burgers ok, I made that up, the real answer is market data! Whilst there are many other datasets including those drawn from alternative data, which are becoming increasingly important, having a handle on the asset prices is still key. When it comes to daily data, storing it is pretty easy. We can use an SQL
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Combining Value and Profitability Factors to Improve Performance [Alpha Architect]The 1997 publication of Mark Carharts paper On Persistence in Mutual Fund Performance led to the four-factor model, which added momentum to market beta, size, and value, becoming the workhorse model in financereplacing the Fama-French three-factor model. The next major contribution came from Robert Novy-Marx. His 2013 paper The Other Side of Value: The Gross Profitability Premium
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Momentum Trading Strategies Course [CSS Analytics]This post contains affiliate links. An affiliate link means CSSA may receive compensation if you make a purchase through the link, without any extra cost to you. CSSA strives to promote only products and services which provide value to my business and those which I believe could help you, the reader. One of the biggest barriers to creating a quantitative strategy is knowing how to code. The other