This is a summary of links featured on Quantocracy on Tuesday, 11/29/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Weekly rebalancing Sector ETFs using Structural Entropy [Pravin Bezwada]Based on previous article Structural Entropy, this article attempts to test the performance of a long short strategy on US sectors using structural entropy. Ideally it should use liquid US sector futures but since data is unavailable (not for free), it uses ETFs as proxy. The assumption in previous article (referenced above), was that when entropy is low there is contagion in the market and we