This is a summary of links featured on Quantocracy on Sunday, 11/29/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Best Links of the Week [Quantocracy]The best quant mashup links for the week ending Saturday, 11/28 as voted by our readers: Frog in the Pan: Identifying the Highest Quality Momentum Stocks [Alpha Architect] Better Tests with Oversampling [Financial Hacker] Bring More Data [Dual Momentum] A framework for rapid and robust system development based on k-means clustering [Robot Wealth] Predicting volatility [EP Chan] * * * My fellow
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[Academic Paper] Stop-Loss Strategies with Serial Correlation, Regime Switching, and Transactions Costs [@Quantivity]Stop-loss strategies are commonly used by investors to reduce their holdings in risky assets if prices or total wealth breach certain pre-specified thresholds. We derive closed-form expressions for the impact of stop-loss strategies on asset returns that are serially correlated, regime switching, and subject to transactions costs. When applied to a large sample of individual U.S. stocks, we show
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[Academic Paper] Dissecting Investment Strategies in the Cross Section and Time Series [@Quantivity]We contrast the time-series and cross-sectional performance of three popular investment strategies: carry, momentum and value. While considerable research has examined the performance of these strategies in either a directional or cross-asset settings, we offer some insights on the market conditions that favor the application of a particular setting.
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[Academic Paper] Rethinking Performance Evaluation [@Quantivity]We show that the standard equation-by-equation OLS used in performance evaluation ignores information in the alpha population and leads to severely biased estimates for the alpha population. We propose a new framework that treats fund alphas as random effects. Our framework allows us to make inference on the alpha population while controlling for various sources of estimation risk. At the
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Interview with Andrew Gibbs [Better System Trader]Andrew Gibbs has been involved in the financial markets since 2001 and is the founder and CEO of Halifax New Zealand. Andrew has extensive experience in all forms of equity and derivative contracts, managing millions of dollars and trading a number of markets around the world. In this episode we discuss volatility and methods to trading the VIX plus the benefits and methods of including