This is a summary of links featured on Quantocracy on Sunday, 11/20/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Testing the Random Walk Hypothesis with R, Part One [Turing Finance]Whilst working on some code for my Masters I kept thinking, "it would be really awesome if there was an R package which just consumed a price series and produced a data.frame of results from multiple randomness tests at multiple frequencies". So I decided to write one and it's named emh after the Efficient Market Hypothesis. The emh package is extremely simple. You download a price
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The Perils Of Bargain Hunting [Larry Swedroe]As I have been discussing in a series of articles (which you can find here, here and here), we now have a substantial body of evidence demonstrating that individual investors possess a preference for low-priced equities. This is anomalous behavior, because the level of a companys stock price is arbitraryfirms can manipulate it by adjusting the number of shares they have outstanding. The