This is a summary of links featured on Quantocracy on Wednesday, 12/09/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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New Book Added: Computational Intelligence: An Introduction [Amazon]Computational Intelligence: An Introduction, Second Edition offers an in-depth exploration into the adaptive mechanisms that enable intelligent behaviour in complex and changing environments. The main focus of this text is centred on the computational modelling of biological and natural intelligent systems, encompassing swarm intelligence, fuzzy systems, artificial neutral networks, artificial
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It’s Generally Smart to Avoid Credit Risk [EconomPic]I've previously outlined that high yield credit risk is typically less ideal than simply gaining credit exposure through stocks and rate exposure through bonds. Now Larry Swedroe outlines the case for avoiding investment grade credit risk altogether. There are many well-documented anomalies in finance. Among them is the surprisingly small return that investors historically have earned for
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Expanding the Efficient Frontier with Value and Momentum Strategies [Alpha Architect]Awwwmodern portfolio theorythat feel-good construct I teach to all of my graduate-level finance students each year. Simply input 1) a vector of expected returns and 2) a covariance matrix into your computer, and voil, you have your optimal portfolio weights. Like all things viewed with the benefit of hindsight, it sounds so easy, but the underlying theory and assumptions earned Harry
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Rising Rates Don t Doom REITs [Larry Swedroe]As we have discussed many times, much of the conventional wisdom on investing is simply wrong. For our purposes, we can define conventional wisdom as those ideas that become so commonly accepted that they go unquestioned. Today well look at the idea that rising interest rates would doom returns to real estate investments, specifically the returns to real estate investment trusts (REITs).
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RUT Straddle – 52 DTE – Results Summary [DTR Trading]This is the third article in a series looking at the backtest results of selling at-the-money (ATM) options straddles on the Russell 2000 index (RUT). For background on the setup for the backtests, as well as the nomenclature used in the tables below, please see the introductory article for this series: Option Straddle Series – P&L Exits This post reviews the backtest results for 4120 options
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A Seasonal Play in Financial Stocks [Jay On The Markets]As I wrote about here, here, here and yes, here (and, um, also here), the holiday season tends to be a good time to invest in the stock market in general and in specific sectors in particular (with that pesky fly in the ointment, monkey in the wrench, pain in the rear caveat that there are no guarantees this time around). So lets add one more to the mix. (Jay Kaeppel Interview at