This is a summary of links featured on Quantocracy on Friday, 11/27/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Persistent Momentum [Factor Wave]Somewhat related to the idea of acceleration that I have been writing about recently, is the concept of persistent momentum. That is, do stocks that have performed well over several periods, beat those that have done well for only one period? This idea was tested by Hong-Yi Chen, Pin-Huang Chou and Chia-Hsun Hsieh in their paper Persistency of the Momentum Effect: The Role of Consistent Winners
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Predicting volatility [EP Chan]Predicting volatility is a very old topic. Every finance student has been taught to use the GARCH model for that. But like most things we learned in school, we don't necessarily expect them to be useful in practice, or to work well out-of-sample. (When was the last time you need to use calculus in your job?) But out of curiosity, I did a quick investigation of its power on predicting the