This is a summary of links featured on Quantocracy on Thursday, 11/16/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Adaptive Volatility [CSS Analytics]One of the inherent challenges in designing strategies is the need to specify certain parameters. Volatility parameters tend to work fairly well regardless of lookback, but there are inherent trade-offs to using short-term versus longer-term volatility. The former is more responsive to current market conditions while the latter is more stable. One approach is to use a range of lookbacks which