This is a summary of links featured on Quantocracy on Sunday, 11/26/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Factor Investing: Implementation Costs Really Do Matter [Dual Momentum]One of the tenets of modern portfolio theory is that you cannot generally beat the market after transaction costs. Yet academic researchers have shown that momentum consistently beats the market. Other factors besides momentum have also cast doubt on the efficacy of the efficient market hypothesis. There is one way though that academics can still hold on to the efficient market hypothesis. It is
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QSTrader: November 2017 Update [Quant Start]Last month I presented a detailed roadmap for the redevelopment of QSTrader, our open-source systematic trading simulation engine. Today I want to discuss our progress in the month since that article was published and what still remains to be completed prior to the initial 0.1.0 alpha release. Progress To Date The internal QSTrader development version is now mature enough to carry out simple