This is a summary of links featured on Quantocracy on Thursday, 11/19/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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An Awesome Collection of Quant Books from Quantocracy [Quantocracy]Check out our new books section, curated by Jacques Joubert of Quants Portal. The backstory: I wanted to put together a collection of quantitative trading books as deep and wide as our quant mashup. The problem was that, because of my get to the point nature, my reading consists mostly of posts and papers. I dont have the temperament for the uber long-form. But I recognize that a lot of
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A Classic Factor Model Improves [Larry Swedroe]There has been a great deal of focus by the academic community in recent years on fine-tuning the various factor models used to explain the differences in returns of diversified portfolios. Marie Lambert, Boris Fays and Georges Hubner contribute to the literature with their 2015 paper, Size and Value Matter, But Not the Way You Thought. In their study, the authors examined the construction
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First draft of ‘JavaScript for Financial Analysts’ Chapter 8 [John Orford]First draft of 'JavaScript for Financial Analysts' Chapter 8. ~~ As we saw in the previous chapter, doing things asynchronously is really appealing when you can pull it off elegantly. A bit like juggling, there's a lot going on, but a skilful juggler only ever interacts with one ball at a time if he is juggling one handed – and two with both hands. In the same way our JavaScript
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Daily Academic Alpha: Solving the Idiosyncratic Volatility Puzzle [Alpha Architect]Kewei Hou and Roger Loh have a fun paper on the idiosyncratic volatility puzzle, which is set to be published in the Journal of Financial Economics. The idiosyncratic volatility puzzle is associated with the empirical evidence which suggests that stocks with higher idiosyncratic volatility (volatility left over after controlling for "systematic" risk factors) earn lower returns. Rough
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Time-Varying Conditional Market Exposures of the Value Premium [Quantpedia]Value strategies exhibit a large positive beta if contemporaneous market excess returns are positive, and a small beta if contemporaneous market excess returns are negative. Value also has a large positive beta after bear markets, but a small beta after bull markets. These facts hold for equity-value strategies in 21 countries, and to a lesser extent for three non-equity-value strategies. Betas
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SPX Straddle – Backtest Results Summary – Part 2 [DTR Trading]When I posted my SPX Straddle Backtest Results Summary I didn't plan on writing a follow up article. But after that post I received several emails asking if I could present the SPX straddle results in a slightly different format. Basically tabular results in a structure similar to my iron condor and strangle results articles (here, here, and here) … with each row associated with a strategy