This is a summary of links featured on Quantocracy on Thursday, 11/11/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Reddit for Fun and Profit (part 2) [Alpha Scientist]In the prior post Tracking Posts on WallStreetBets – Part I, we demonstrated how relatively easy it is to extract reddit activities related to a given stock ticker – in their raw form. If you haven't already read that post, you may want to take a moment to skim that article. In this post, we are going to take the next obvious step: aggregating the raw results into a meaningful timeseries
-
Portfolio Diversification Via Hierarchical Clustering [Machine Learning Applied]In this article, we cluster stock price time series with hierarchical clustering and Euclidean, correlation, and Jensen-Shannon distances to answer two questions regarding portfolio diversification. How diversified is a given portfolio? How can a diversified portfolio be constructed? Procedure For the Euclidean distance, we follow the first 3 steps articulated in Portfolio Diversification Via
-
The Vanishing Illiquidity Premium [Alpha Architect]Liquiditythe ability to buy and sell significant quantities of a given asset quickly, at low cost, and without a major price concessionis valuable to investors. Therefore, they demand a premium as compensation for the greater risks and costs of investing in less-liquid securities. For example, liquidity risk partly explains the equity risk premiumthe average transaction costs on stock
-
Webinar: Considerations For Combining Models [Quantifiable Edges]Date and time: Thursday 11/11/2021 at 4:15pm EST & Saturday 11/13/2021 at 11:00am EST Duration: 30-40 minutes + Q&A At Capital Advisors 360, I manage some composite portfolios that include several different models I have developed over the years. Using a couple of the models I trade as examples, I will share several of the factors I consider when determining what models are likely to work
-
Rolling Returns for the SP-500 [Alvarez Quant Trading]I just got back from a long vacation in Iceland (highly recommend visiting). As usual, when people discover what I do, they ask me about the markets. Several people were worried that the markets are too high. Then I read that the 20-year return of the SPX from 2001 to 2020 was way below the average 20-year return. My thinking was how could the massive run since 2009 not have gotten us above the
-
How Crazy is the Current Market? Not that Crazy. [Alpha Architect]Eric Balchunas had a recent tweet that I found fascinating. Erics tweet merely captures the tip of the iceberg with respect to the current market environment, which certainly feels bubbly. 1 The gist of the tweet is that $META, which is an ETF from our friends over at Roundhill Investments, has gained a substantial level of new assets because investors are confusing the ETF with the name