This is a summary of links featured on Quantocracy on Tuesday, 11/17/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Finding Similar Stocks Via Fast GPU Based Nearest Neighbors with Faiss [Machine Learning Applied]There are many ways to find stocks with similar behavior based on how one defines similarity and the data used. In this article we use a 12 period channel where, for each period, we have (current adjusted close price minimum value)/(maximum value minimum value). Maximum and minimum values are computed for the adjusted close prices for the past 21 trading days (representing a trading
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An Easy Way to Simplify and Improve the Shiller CAPE Ratio as a Prediction Tool [Alpha Architect]Shillers (1998) original CAPE ratio (the cyclically adjusted price of an equity index/10 year average of real earnings) used to predict long term equity returns, like every online recipe, has been improved over the years by various reviewers. A number of substitutes for real earnings have been proposed and analyzed including national income + product account earnings; revenue + cash flow; and
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Exploring Defined Outcome ETFs [Factor Research]Defined outcome ETFs have quickly gathered almost $5 billion in assets Not unexpected given their much lower drawdowns when the market crashed in March 2020 However, they are complex and expensive products and there are viable alternatives INTRODUCTION If ETFs had an arch enemy, then it probably would not be mutual funds, but rather structured products. ETFs symbolize simplicity, transparency,