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Quantocracy’s Daily Wrap for 11/27/2019

This is a summary of links featured on Quantocracy on Wednesday, 11/27/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Black & Scholes for Puts/Calls in a Single Excel Cell [Six Figure Investing]

    Sometimes an online option calculator isnt enough and youd like to implement the Black & Scholes (B&S) option pricing equations in Excel. If youre just playing around it doesnt matter how you structure the calculation. In fact, for claritys sake, its probably a good idea to spread out the calculation across multiple cells. However, if youre planning to do some serious
  • Forbidden Knowledge: Long-Only Academic Factors are Also Cool [Alpha Architect]

    The standard academic approach to factor analysis is through the lens of long-short portfolios (which often confuses practitioners!). For example, a researcher may take the universe of the largest 1,000 stocks and sort them on value, as measured via book-to-market. The value factor portfolio may go long the top third cheapest stocks (value leg) and go short the bottom third most

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