This is a summary of links featured on Quantocracy on Tuesday, 12/11/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
-
The Mechanical Turk [Financial Hacker]We can see thinking machines taking over more and more human tasks, such as car driving, Go playing, or financial trading. But sometimes its the other way around: humans take over jobs supposedly assigned to thinking machines. Such a job is commonly referred to as a Mechanical Turk in reminiscence to Kempelens famous chess machine from 1768. In our case, a Mechanical Turk is an automated
-
After a Lost Decade, Will Value Get its Groove back in 2019? [Alpha Architect]Borne in academia and raised by fund managers seeking to outperform, value style mutual funds and ETFs today hold close to $2 trillion(1). But with poor returns over the past decade, the question of whether value is dead has become a popular topic of conversation.(2) The search term is value investing dead generates over 23 million results in less than 0.38 seconds! For comparison,
-
ETFs Have NOT Screwed Up Correlations, Liquidity, and Alpha Opportunities [Alpha Architect]What are the Research Questions? The paper investigates the following research question: Have ETFs flows affected the correlation structure of returns? Have ETFs flows affected the liquidity of underlying securities? Have ETFs flows affected the ability of managers to generate alpha? What are the Academic Insights? By examining these issues empirically, considering the longer historical and
-
Using Metals to Trade Bonds [System Trader Success]Sometimes things in the financial markets are pretty obvious if one is willing to see them. Despite all of the angst that has been exhausted since July of 2016 when the S&P 500 Index broke out to a new all-time high regarding the 2016 election, the economy, interest rates and the ultimate effect that all of it may have the stock market the market has just kept chugging