This is a summary of links featured on Quantocracy on Tuesday, 11/05/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Buying Global Stocks at All-Time Highs [Allocate Smartly]This analysis was inspired by EconomPic and Meb Faber. Here we test a simple strategy that goes long Global Stocks (ACWI) when they make a new all-time month-end high, otherwise US bonds. The takeaway: Dont fear buying stock (indices) when they close at all-time highs. A new high shouldnt be your only reason for buying stocks, but its not in and of itself a reason to shy away. Test
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Combinatorial Purged Cross-Validation Explained [Quantoisseur]In this tutorial I explain how to adapt the traditional k-fold CV to financial applications with purging, embargoing, and combinatorial backtest paths.
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Engineering To Quant Finance – How To Make The Transition [Quant Start]At QuantStart we often receive email queries about the possibility of making a career transition to quantitative finance, particularly for individuals who currently consider themselves mid-career. In a more general sense we have previously discussed whether it is possible to become a quant during your thirties. However, for those with more specific technical expertiseespecially those with a
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Is Buying Stocks at an All-Time High a Good Idea? [Meb Faber]No, its not a good idea, which should surprise no one. The fact that it is a GREAT idea, well, that should surprise everyone. Most investors fret when markets hit new highs, but should they? The below is inspired by our friend Jake @ Econompic, who examined the following query: What if you bought stocks at all-time highs, otherwise you sat in the safety of government bonds? Jake found
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Introduction to Support Vector Machines [Quant Insti]Support Vector Machines were widely used a decade back, but now they have fallen out of favour. The below data from google trends can establish this more clearly. (Source: Google Trends) Why did this happen? As more and more advanced models were developed, support vector machines fell out of favour. It takes a lot of time to train a non-linear kernel, say RBF (Radial Basis Function), of a support
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2 Unfilled Up Gaps And A 50-Day High [Quantifiable Edges]Monday not only saw SPY make a 50-day high, but it was also the 2nd day in a row with an unfilled gap up. The study below is from last nights letter and was previously discussed several other times in the subscriber letter (click here for free trial). It examined other times SPY left at least 2 unfilled up gaps and closed at a 50-day high. 2019-11-05-1 The size of the follow-through isnt