This is a summary of links featured on Quantocracy on Tuesday, 11/24/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Trading FX using Autoregressive Models [Robot Wealth]Im a big fan of Ernie Chans quant trading books: Quantitative Trading, Algorithmic Trading, and Machine Trading. There are some great insights in there, but the thing I like most is the simple but thorough treatment of various edges and the quant tools you might use to research and trade them. Ernie explicitly states that the examples in the books wont be tradable, but theyve certainly
-
Hedge Fund Battle: Discretionary vs Systematic Investing [Factor Research]Given alternative data, machine learning, and AI advances, systematic should beat discretionary investing However, the performance of systematic and discretionary equity market neutral hedge funds has largely been the same since 2009 Both were also correlated to the stock market, offered low returns, and featured no performance consistency INTRODUCTION Anyone who has watched the hit TV show
-
Temporal Clustering on Real Prices [Dekalog Blog]Having now had time to run the code shown in my previous post, Temporal Clustering, part 3, in this post I want to show the results on real prices. Firstly, I have written two functions in Octave to identify market turning points and each function takes as input an n_bar argument which determines the lookback/lookforward length along price series to determine local relative highs and lows. I ran
-
What Matters to Individual Investors? Evidence from the Horse’s Mouth [Alpha Architect]Finance literature is abundant with theories. As academics, we like to think these theories foster behaviors and choices by investors, which in turn translate into asset prices. To test these theories, scholars typically try to infer the validity of these assumptions by examining outcomes. The authors in this study follow a different and more direct approach: they survey a nationally