This is a summary of links featured on Quantocracy on Thursday, 12/05/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Experiments with GANs for Simulating Returns [EP Chan]Simulating returns using either the traditional closed-form equations or probabilistic models like Monte Carlo has been the standard practice to match them against empirical observations from stock, bond and other financial time-series data. (See Chan and Ng, 2017 and Lopez de Prado, 2018.) Some of the stylised facts of return distributions are as follows: The tails of an empirical return
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Leveraged Trading [Following the Trend]I tend to be a little skeptical when I see books aimed at retail traders with low amount of trading capital, focusing on leveraged trading on FX, CFDs and the like. The very mention of retail forex trading means that theres a near certainty that whatever comes next is misinformed at best and a scam at worst. But seeing my favorite investment author release a book on the topic got my attention.
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The 60/40 Benchmark Portfolio [Quant Start]In a recent article we introduced systematic tactical asset allocation (TAA) as a low-frequency example of quantitative trading strategy. For those who are taking their first steps in systematic trading, are wanting to consider systematic trading in the context of their retirement planning or are simply wishing to minimise the day-to-day work of running a strategy TAA can be a great choice.