This is a summary of links featured on Quantocracy on Friday, 11/18/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Pre-earnings Annoucement Strategies [EP Chan]Much has been written about the Post-Earnings Announcement Drift (PEAD) strategy (see, for example, my book), but less was written about pre-earnings announcement strategies. That changed recently with the publication of two papers. Just as with PEAD, these pre-announcement strategies do not make use of any actual earnings numbers or even estimates. They are based entirely on announcement dates
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Tradelib Developments [Quintuitive]It has been a while since I posted about my back-testing framework tradelib, nevertheless, I have been constantly improving it. Among the new features, the most prominent is the support for SQLite. SQLite is a standalone, single file database, thus, its much easier to get software up and running with it compared to MySQL. I liked the SQLite support so much, that I actually started using it
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In Calm Markets Should We Buy “Cheap” Put Protection? [Alpha Architect]Time for a little myth busting. Recently, the Motley Fool posted an article that argued the following: when market volatility is low, protective put options are cheap. From the article: Smart investors know that the time to buy most investments is when most investors arent paying attention to them. The same is true of options. Typically, put options are cheapest during big bull markets,