This is a summary of links featured on Quantocracy on Tuesday, 12/12/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Portfolio optimisation, uncertainty, bootstrapping, and some pretty plots. Ho, ho, ho [Investment Idiocy]Twas the night before Christmas, and all through the house…. OK I can't be bothered. It was quiet, ok? Not a creature was stirring… literally nothing was moving basically. And then a fat guy in a red suit squeezed through the chimney, which is basically breaking and entering, and found a small child waiting for him (I know it sounds dodgy, but let's assume that Santa has been DBS
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Why A New High Before A Fed Day Is Discouraging [Quantifiable Edges]Wednesday is a Fed Day. Fed Days have historically shown an upside tendency. I have documented this tendency in great detail over the years. A higher close today would not be the most favorable Fed Day setup. A big reason for this is that it would mark a 20-day high close. Fed Day bullishness has often occurred when a Fed announcement has helped to alleviate market stress. When the market closes