This is a summary of links featured on Quantocracy on Friday, 12/09/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Research Review | 8 Dec 2016 | Volatility & Risk Management [Capital Spectator]How Should Investors Respond to Increases in Volatility? Alan Moreira (Yale University) andn Tyler Muir (UCLA) December 2, 2016 They should reduce their equity position. We study the portfolio problem of a long-horizon investor that allocates between a risk-less and a risky asset in an environment where both volatility and expected returns are time-varying. We find that investors, regardless of
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You Probably Can’t Lose [Cantab Capital]What can an interesting and surprising experiment with finance students and finance professionals tell us about financial decisions and how to maximise extracting returns from low information content systems? Introduction It is well known that humans are bad at estimating probabilities. We overestimate how likely very low probability events are(1) and we get confused estimating the relative
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Pairs Trading on ETF – EPAT Project Work [Quant Insti]This article is the final project submitted by the author as part of his coursework in Executive Programme in Algorithmic Trading (EPAT) at QuantInsti. You can check out our Projects page and have a look at what our students are building after reading this article. About the AuthorEPAT student Edmund Ho did his Bachelors in commerce from University of British Columbia, He completed his Masters