This is a summary of links featured on Quantocracy on Friday, 11/04/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Book Added: Financial Signal Processing and Machine Learning [Amazon]The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available. Financial Signal Processing and Machine Learning unifies a number of recent advances made in signal processing and machine learning for the design and management of investment portfolios and financial engineering. This book bridges the
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Antonacci’s Composite Dual Momentum [Allocate Smartly]This is a test of Gary Antonaccis Composite Dual Momentum strategy from his seminal paper: Risk Premia Harvesting Through Dual Momentum. The model uses Antonaccis unique approach to measuring momentum, which considers both absolute (aka time-series) and relative (aka cross-sectional) momentum, to trade a much larger basket of asset classes than his more well-known GEM strategy. Results
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Podcast: How to think about strategies like a quant w/ Derek Wong [Chat With Traders]On this episode, I have our very first guest from China; Derek Wonghe is the Director of Systematic Trading and Options at a private fund in Shanghai. Initially though, Derek got his start in the agricultural pits at the CBOT, then following on from this, hes worked at various quant shops in Chicago, South Korea, and now days, mainland China. After discussing Dereks backstory, we talk;