This is a summary of links featured on Quantocracy on Tuesday, 12/10/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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New and Improved Sharpe Ratio adjustment in the handcrafting method [Investment Idiocy]In my recent posts on skew and kurtosis I've put together a large number of ideas for possible trading strategies. The next step will be to create and test these ideas out. However I already know from my initial analysis that many of these ideas will probably have poor performance. This leaves me in something of a conundrum. In fact this is just one example of the conundrum that strategy
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Monte Carlo Simulation: Definition, Example, Code [Quant Insti]Years ago, I had made it to the nal round in an interview for a Senior Delta One/Quantitative Futures position at an HFT rm (unnamed for privacy). Things were going well, I had answered two out of three of those ridiculous questions that are only applicable in Subsaharan Africa or Finance interviews (Like how to get 5 gallons from a 6 and 4-gallon jug); I was feeling good. They asked me