This is a summary of links featured on Quantocracy on Thursday, 11/09/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Overnight Risk [Qusma]Why are overnight periods riskier? For one, you cant use stops to limit your risk. But more importantly, the distribution of overnight returns has far more extreme negative returns than the intraday or close-to-close periods. Lets take a look at some stats on close-to-open, open-to-close, and close-to-close returns for SPY: Some definitions: Skew: negative skew means longer tails on the