This is a summary of links featured on Quantocracy on Monday, 12/13/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Estimating Rebalancing Premium in Cryptocurrencies [Quantpedia]A long time ago, before elevators were a thing, a simple mechanism was used to get the miners in and out of the mines. This mechanism is called a Man Engine (or Fahrknst in German language) and works on a simple principle of two reciprocating ladders and stationary platforms. The two ladders move up and down, so if a miner stands on one platform, he is not going anywhere. However, if
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An Important Test for the Global Growth Cycle [Grzegorz Link]Whatever kind of strategy you're employing as an investor, an invaluable tool for determining it's usefulness is testing. Not simply backtesting on historical data or stress testing on synthetic data that's the easy part. The fun and playful part. A much more important test comes with a strategy's performance on new, real-time data. A couple of months have passed since
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Quantitative Analysis of a Sample Drawn from the Unknown Continuous Population [Quant at Risk]In quantitative finance, we very often deal with a sample mean and sample standard deviation being derived given a vector or a time-series or any other (1-dimensional) dataset. For many of us these calculations are so obvious that only a few understand the principles standing behind the scene. Lets give a second look at this trivial problem. Trust me, you wont regret! 1. Drawing a Random
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ETFs for Rising Interest Rates [Factor Research]A wide range of strategies are marketed as beneficiaries of rising interest rates Portfolios are comprised of equities, bonds, options, long as well as short positions However, only financial services companies and short bonds offer a positive correlation to interest rates INTRODUCTION In this year, most developed markets have been experiencing inflation last seen decades ago, with the exception