This is a summary of links featured on Quantocracy on Monday, 11/28/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Slava Ukraini! Latest from Quantocracy contributor in Ukraine: VIX and Expected Range [Only VIX]Continuing on trying to fight disinformation about VIX. Everyone knows that VIX index the square root of the expected 30-day variance, and if we drop mathematical precision – 30 day expected volatility of S&P index. Scott Bauer, on CBO's website – "the VIX Index tells us the level of expected volatility of the S&P 500 Index for the next 30 days, with a 68% confidence level",
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Binance API Python Tutorial [Analyzing Alpha]This tutorial explains how to call Binance API endpoints in Python using the python-binance library and the Python requests function. The Binance API provides extensive documentation on how to call its various endpoints. Furthermore, multiple online blogs explain how to call the Binance API using a Python client. However, I find that existing resources merely explain how to call a particular
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Replicating a CTA via Factor Exposures [Finominal]Strategies can be copied by recreating them from scratch or using factor exposures CTAs can be replicated via factor exposure analysis by utilizing only 4 asset classes Not a perfect replication, but surprisingly good given the limited input INTRODUCTION Our two most recent research articles focused on creating a CTA, also known as managed futures or trend following strategies, from scratch (read
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Identifying the drivers of the commodity market [SR SV]Commodity futures returns are correlated across many different raw materials and products. Research has identified various types of factors behind this commonality: [i] macroeconomic changes, [ii] financial market trends, and [iii] shifts in general uncertainty. A new paper proposes to estimate the strength and time horizon of these influences through mixed-frequency vector autoregression.