This is a summary of links featured on Quantocracy on Friday, 12/06/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
-
Yield Curve Empirics [Scalable Capital]Interest rates measure the level of compensation that financial market participants get for lending money. The level of compensation for lending varies over time and is related to several other economic factors. Most important ones are rates set by central banks, inflation rates and underlying credit risks. Bonds with non-negligible credit risks trade at a spread compared to risk-free bonds, but
-
Using Kalman filters to derive predictive factors from limit order book data [Alex Botsula]This post is based on the experience I have got while taking part in a very interesting forecasting competition hosted by XTX. Participants were challenged by the task to forecast the future return of a (presumably) Forex asset based on the limit order book (LOB) data. No details of the asset or limit order book dates were disclosed as part of the competition. As part of the competition, XTX
-
Tactical Asset Allocation in November [Allocate Smartly]This is a summary of the recent performance of a wide range of excellent Tactical Asset Allocation (TAA) strategies, net of transaction costs. These strategies are sourced from books, academic papers, and other publications. While we dont (yet) include every published TAA model, these strategies are broadly representative of the TAA space. Learn more about what we do or let AllocateSmartly help
-
Global Impact of Investor Home Country Bias [Alpha Architect]A large body of research demonstrates that familiarity breeds investment. For example, a study by Gur Huberman found that shortly after AT&T was broken up and shareholders were given shares in each of what were called the Baby Bells, the residents of each region held a disproportionate number of shares of their regional Bell. Each group of regional investors was confident their regional