Quantocracy’s Daily Wrap for 11/08/2015

Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets

Over or Under? Momentum, Idiosyncratic Volatility and Overreaction

I. Trading Strategy Concept: Short-term momentum patterns with a trend filter. Source: Dahlquist, J. R., Bauer, R. J. (2012). Technical Analysis of Gaps. New Jersey: Pearson Education, Inc. Research Goal: Performance verification of the Gap Pattern. Specification: Table 1. Results: Figure 1-2. Trade Setup: Long Price Gap: Low[i] > High[i ? 1]); Index: i ~ Current Bar. Short Price Gap: High[i]

Laurent Bernut was a systematic short seller with Fidelity for 8 years. His mandate was to underperform the longest bear market in modern history: Japanese equities. Prior to that, he worked in the Hedge Fund world for 5 years. He now runs an automated Forex strategy and travels the world with his family. In this episode we talk all about Short selling, creating shorting strategies, the challenges

First draft of 'JavaScript for Financial Analysts' Chapter 7. ~ We are all waiting for something, and our computers are no different. Computers are built on four building blocks. CPUs, memory, hard disk and network. Our programs are only as fast as the slowest component. To put machine-scale wait times in a human context, this table normalises wait times to a base of one second.

Risk Premia: Asymmetric Tail Risks and Excess Returns

Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling

Anchoring Adjusted Capital Asset Pricing Model