This is a summary of links featured on Quantocracy on Wednesday, 11/15/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
Military Expenditures and Performance of the Stock Markets [Quantpedia]Si vis pacem, para bellum, is an old Roman proverb translated to English as If you want peace, prepare for war, and it is the main idea behind the military policy of a lot of modern national states. In the current globally interconnected world, waging a real hot war has very often really negative trade and business repercussions (as the Russian Federation realized in 2022).
Using time series lag() in R finance [Babbage9010]Backtesting quant strategies in R requires paying attention to how we lag() our time series. Here be dragons. Lagging a time series relative to another is important in many areas, but we use it a lot in backtesting financial strategies. Ive struggled with the logic of lag() several times, and gotten it wrong more than once. And different packages within the R universe apparently use lag()
Sector Rotation Strategy: Should Trading Rules Make Sense? [Alvarez Quant Trading]I was doing my usual reading when I came across a sector rotation strategy. I have seen lots of these strategies but this one had a different twist. The strategy was a momentum strategy but instead of buying the top three, it was buying the middle three. The article gave no reason other than it works and gives the best results. In general, people fall into two camps about trading rules. The