This is a summary of links featured on Quantocracy on Tuesday, 11/12/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Kurtosis and expected returns [Investment Idiocy]In my last post, I stated my intention to write a series of posts about skew. Slight change of plan, since one loyal reader suggested that I write about kurtosis. I thought that might be fun, since I haven't thought about kurtosis much, and the literature on kurtosis isn't as well developed. It turns out that considering both together leads to some very interesting results. The plan is
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The Man Who Solved the Market Notes [Systematic Edge]When it comes to the worlds most secretive hedge fund any content is worthwhile to read. I finished the book is 3 days and had to re-read a couple more chapters to ensure I fully absorbed the couple nuggets in there. I would recommend this book to everyone! The mystery behind how Simons discovered the truth is shrouded in mystery. Even googling about what they traded doesnt yield many
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Investor IQ Website is Live (In Beta) [CSS Analytics]For readers interested in getting signals and analytics on hundreds of ETFs and individual stocks our Investor IQ website is currently live and free during our beta-testing phase. We will be adding new data and analytics gradually over time as well as improving website functionality. The Economic Model is currently hosted on the site and predictions are updated every 2-3 days in real-time.
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Are Early Stage Investors Biased Against Women? [Alpha Architect]Recent studies of startup activity in the U.S. find that only roughly 1015% of startups are founded by women. There are a number of potential explanations including gender differences in technical training or risk preferences. However, many have also speculated that part of the gender gap may, in fact, be due to a lower propensity for investors to fund female entrepreneurs seeking capital. This