This is a summary of links featured on Quantocracy on Wednesday, 11/24/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Live Algo Trading on the Cloud – AWS [Algo Trading 101]Table of contents: What does live algorithmic trading on the Cloud mean? What are the pros and cons of deploying your trading strategies to the Cloud? What is the Cloud Service? What is Cloud used for? What cloud providers are good? What are Amazon Web Services (AWS)? Why should I use AWS? Why shouldnt I use AWS? Kraken Bot How to sign up for an AWS server? How to pick a good AWS server
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Transformers: is attention all we need in finance? Part I [Quant Dare]In recent years weve seen an increase in the accuracy of NLP models through the use of Transformers. These models rely on the attention mechanism to identify key features but, how do they work? And most importantly, can we somehow use them in finance? Transformers The transformer is a relatively new network architecture that is solely based on attention mechanisms, dispensing with recurrence
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The Value of the Value Factor: Cheaper now than a year ago? [Alpha Architect]About a year and a half ago, after one of the worst relative drawdowns the value factor has ever seen, I wrote a piece showing the value factor was cheap relative to history. Since then, value strategies are on a solid run (look at pretty much any type of value strategy and I think youd agree). Today? The valuation spread between the cheapest 10% and the universe of stocks is cheaper. We are at
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A Consolidation After A New $SPY High [Quantifiable Edges]The range over the last week has been very tight. Every SPY close in the 5 days since 11/16 has been within the intraday range of that 11/16/21 bar. It is said that consolidations are often resolved in the direction of the trend. This guideline suggests that were more likely to see another leg up from here than a breakdown. The study below tests this concept. It was last seen in the 11/15/19