This is a summary of links featured on Quantocracy on Wednesday, 12/14/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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TAA Exposure to Rising Interest Rates [Allocate Smartly]Some of the tactical asset allocation strategies that we track have significant exposure to rising interest rates, or more specifically, to the types of assets that are most negatively affected by rising rates. While we dont (yet) track every published TAA model, the strategies that we do track are broadly representative of the TAA space, so I think its fair to draw some broader conclusions
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Betting on Perfection [EconomPic]Just how perfect do circumstances need to be going forward for an investor in the S&P 500 to make money? Let's take a look at one measure. The first chart plots forward 10-year returns for the S&P 500 at various 5 point "CAPE" valuation buckets (i.e. less than 10x P/E all the way through above 30x) against the change in the starting P/E relative to the ten year forward P/E
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Asset Pricing using Extreme Liquidity with Python (Part-2) [Black Arbs]POST OUTLINE Part-1 Recap Part-1 Error Corrections Part-2 Implementation Details, Deviations, Goals Prepare Data Setup PYMC3 Generalized Linear Models (GLM) Evaluate and Interprate Models Conclusions References part-1 recap In part 1 We discussed the theorized underpinnings of Ying Wu of Stevens Institute of Technology – School's asset pricing model. Theory links the catalyst of systemic risk
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Escaping randomness, and turning to data for an edge w/ @DBurgh [Chat With Traders]On this episode, Im joined by a quant trader who works at a high frequency trading firmthough you might be surprised to hear, he started out on the same path that many retail traders dohis name is; Dave Bergstrom. The thing that makes Dave unique from most traders whove been on this podcast previously, is how he uses data-mining techniques to develop trading strategies. Though