This is a summary of links featured on Quantocracy on Thursday, 11/26/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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PDF: The PCA Model in the FX Market: Economic Factors and Volatility Modelling [Kevin Pei]The PCA Model in the FX Market: Economic Factors and Volatility Modelling
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When Risk Goes Unrewarded [Larry Swedroe]Risk-based asset pricing theory suggests, simply, that assets bearing a higher risk should compensate investors with higher returns. While most papers investigating the risk-return relationship of assets are focused on equity markets, surprisingly few studies explore this phenomenon in currency markets (which are among the deepest and most liquid markets in the world). In fact, the FX markets are
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Is Momentum Effect Result of Over- of Under-reaction? [Quantpedia]Several studies have attributed the high excess returns of the momentum strategy in the equity market to investor behavioral biases. However, whether momentum effects occur because of investor underreaction or because of investor overreaction remains a question. Using a simple model to illustrate the linkage between idiosyncratic volatility and investor overreaction as well as the stock turnover
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Visualisation (Now with 3D!) – JavaScript for Financial Analysts [John Orford]First draft of 'JavaScript for Financial Analysts' Chapter 9. ~ The web dominates our communication. The driver of this crushing victory? The humble webpage increasingly coupled with JavaScript. Up until now we have focused on the basics of how to code JavaScript in a functional manner, now for some fun. The next chapters will explore JavaScript's rich ecosystem of libraries. The