This is a summary of links featured on Quantocracy on Saturday, 11/10/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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How systemic financial risk is measured [SR SV]Public institutions have developed a wide range of methods to track systemic financial risk. What most of them have in common is reliance on financial market data. This implies that systemic risk indicators typically only show what the market has already priced, in form of correlation, volatility or value. They cannot anticipate market crises. Their main use is to predict when and how market
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State of Trend Following in October [Au Tra Sy]A negative October for the State of Trend Following, which sends the YTD performance just in the red. Please check below for more details. Detailed Results The figures for the month are: October return: -2.42% YTD return: -1.38% Below is the chart displaying individual system results throughout October: StateTF October And in tabular format: System October Return YTD Return BBO-20 0.44% 9.72%
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Too Much Arbitrage Contributes to Overreaction in Post Earnings Announcement Drift [Quantpedia]A new financial research paper has been published and is related to all equity long short strategies but mainly to: #33 – Post-Earnings Announcement Effect Authors: Li Title: Does Too Much Arbitrage Destablize Stock Price? Evidence from Short Selling and Post Earnings Announcement Drift. Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3249254 Abstract: Stein (2009) suggests that too much