This is a summary of links featured on Quantocracy on Sunday, 12/06/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Best Links of the Week [Quantocracy]The best quant mashup links for the week ending Saturday, 12/05 as voted by our readers: Predicting volatility [EP Chan] Announcing the QuantStart Advanced Trading Infrastructure Article Series [Quant Start] Exploring mean reversion and cointegration with Zorro and R: part 1 [Robot Wealth] The Quantitative Momentum Investing Philosophy [Alpha Architect] * * * My fellow traders, ask not what
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Predicting Heavy and Extreme Losses in Real-Time for Portfolio Holders (2) [Quant at Risk]This part is awesome. Trust me! Previously, in Part 1, we examined two independent methods in order to estimate the probability of a very rare event (heavy or extreme loss) that an asset could experience on the next day. The first one was based on the computation of the tail probability, i.e.: given the upper threshold Lthr find the corresponding ? such that Pr(L In both cases, the lack of