This is a summary of links featured on Quantocracy on Friday, 12/04/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
-
A First Attempt At Applying Ensemble Filters [QuantStrat TradeR]This post will outline a first failed attempt at applying the ensemble filter methodology to try and come up with a weighting process on SPY that should theoretically be a gradual process to shift from conviction between a bull market, a bear market, and anywhere in between. This is a follow-up post to this blog post. So, my thinking went like this: in a bull market, as one transitions from
-
Factors in Other Products [Factor Wave]Most of what Ive written about have been equity factors. But factors, persistent price predictors, apply to other investments as well. FactorWave will also offer analyses in volatility, equity options and commodity futures. Volatility Equity volatility (tradeable through the VIX) displays two major pricing factors: The futures tend to collapse towards the cash index. This doesnt make a great
-
Ignore Liquidity At Your Peril [Larry Swedroe]Liquidity is valuable to investors. Therefore, investors demand higher expected returns for less liquid stocks. The liquidity of an asset market refers to the ability of investors to buy and sell significant quantities of that asset, quickly, at low cost and without a major price concession. Thus, liquidity risk can be thought of as the risk to investors that an investment cannot be bought or sold
-
Statistics – JavaScript for Financial Analysts [John Orford]First draft of 'JavaScript for Financial Analysts' Chapter 11. ~ Finance is a super slow mo movie of investment decision logic colliding into chaotic markets. The narrow space in between is inhabited by statistics. JavaScript has a capable statistics library called jStat which offers a wide range of statistical functions, as well as some very neat features. Async jStat supports