This is a summary of links featured on Quantocracy on Saturday, 12/03/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Vol-of-Vol for Crypto-Derivative Products [Quant at Risk]In quantitative finance, the Volatility of Volatility (also referred to as Vol-of-Vol or VoV) is an important parameter for pricing various derivative products (e.g. Volatility Dispersion Swaps) and its correct estimation is frequently desired. VoV is usually a single number treated an an input parameter. One can make a couple of assumptions to start working within VoV framework. Namely, (1) there
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How Much Are Bitcoin Returns Driven by News? [Quantpedia]The main theme of these days in the crypto world is unmistakenly clear, its the mayhem connected with the collapse of the FTX empire, insolvencies of various lenders, and questions about underlying holdings in GBTC OTC ETF and reserves of exchanges and Tether (or other stablecoins as well). With new information, nothing does paint a bright picture of this industry in the financial world now and
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Trend Following and Relative Sentiment: Complementary Factors [Alpha Architect]Trend following (time series momentum) is one of the most well-documented and well-known factors in investing, demonstrating persistence, pervasiveness, robustness, and implementability (survives transaction costs). Lesser well-known is relative sentimentan indicator that measures the positions, flows, and attitudes of institutional investors compared to those of individual investors. The