This is a summary of links featured on Quantocracy on Thursday, 11/21/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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It’s time for a modern, standardized trading interface, suitable for the web-age [Ran Aroussi]In this post, I share my vision for an Open Trading standard for communicating with online brokers using modern technologies. While looking for a way to add support for multiple brokers and data vendors to my open source Python trading library, I discovered that there's currently no way to communicate with various brokers without re-writing most of the code responsible for getting market
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Are Value, Carry and Momentum Regime Dependent? [Alpha Architect]Over the past decade academics and practitioners alike have argued that multi-factor portfolios offer significant benefits to investors looking for enhanced and more diversified solutions. Among the papers making this argument is The Death of Diversification is Greatly Exaggerated, co-authored by my colleague Jared Kizer and Antti Ilmanen of AQR Capital. Their work was awarded the best