This is a summary of links featured on Quantocracy on Tuesday, 12/01/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Quantitative Momentum Investing Philosophy [Alpha Architect]Our Quantitative Momentum (QM) system seeks to identify stocks with the highest quality momentum. We consider the term momentum to mean a continuation of past returnspast winners tend to be future winners, while past losers tend to be future losers. How can we exploit this phenomenon? At Alpha Architect, we have designed a system to identify the quality of momentum by examining how
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Reversals and Momentum [Factor Wave]Ive recently written a few posts about the persistency of cross-sectional momentum. But it seems that eventually stocks that go up have to come down. Not only is this somewhat intuitive, but the existence of stock price reversals is also well documented. But actually momentum persistence and price reversals are completely compatible if we look at the entire cross section of stocks. In
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Central Limit Theorem: Visual demonstration [Quant Dare]Everybody knows about the Central Limit Theorem, but have you ever seen a visual demonstration? The central limit theorem states that, given certain conditions, the mean of a large number of iterates of independent random variables, will be approximately normally distributed, regardless of the underlying distribution. Formally, Let {X1, , Xn} be a sequence of independent and identically