This is a summary of links featured on Quantocracy on Sunday, 11/01/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Site! Stock Market Valuation and the 2020’s in R [Light Finance]Ive been thinking about valuations a lot lately. If youve been following the stock market in recent months, then you will doubtlessly be aware that the past 6-months have witnessed a historic 44% rally across global markets. This rally has drawn particular attention because it has been dominated by tech stocks which deftly shrugged of lockdowns and the ensuing recession. The combination of
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Podcast with Wes Gray of @AlphaArchitect [System Trader Show]Wes Gray after serving as a Captain in the United States Marine Corps earned an MBA and a PhD in the finance from the University of Chicago where he studied under Nobel Prize Winner Eugene Fama. He worked as a finance professor at Drexel University. He then found Alpha Architect a research-intensive asset management firm with a focus on high-conviction value and momentum factor exposures. In
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Scanning Crypto Exchange for Available Cryptocurrency Close Price-Series [Quant at Risk]One of the most common problem encountered by all novice researches of the crypto-markets and (algo-)traders is knowing a list of all cryptocurrency pairs being actively traded at specific crypto exchange. This knowledge is a gateway to a vast research over correlations of crypto-assets, looking for arbitrage trading opportunities, targeting exchanges with most liquid assets or lowest spreads,
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Fundamental trend following [SR SV]Fundamental trend following uses moving averages of past fundamental data, such as valuation metrics or economic indicators, to predict future fundamentals, analogously to the conventions in price or return trend following. A recent paper shows that fundamental trend following can be applied to equity earnings and profitability indicators. One approach is to pool fundamental information across a