This is a summary of links featured on Quantocracy on Friday, 12/14/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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Portfolio construction through handcrafting: implementation [Investment Idiocy]This post is all about handcrafting; a method for doing portfolio construction which human beings can do without computing power, or at least with a spreadsheet. The method aims to achieve the following goals: Humans can trust it: intuitive and transparent method which produces robust weights Can be easily implemented by a human in a spreadsheet Can be back tested Grounded in solid theoretical
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The Most Wonderful Week of the Year 2018 edition [Quantifiable Edges]Over several time horizons op-ex week in December has been the most bullish week of the year for the SPX. The positive seasonality actually has persisted for up to 3 weeks. Ive shown the study below in the blog many times since 2008. It looks back to 1984, which was the first year that SPX options traded. The table is updated again this year. 2018-12-14-1 The stats are extremely strong. This
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Estimating the Bid-Ask Spread [Dekalog Blog]Below I provide a vectorised Octave function to estimate the bid-ask spread from high, low and close prices according to "A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices," (Corwin and Schultz, 2012). The paper can be downloaded from one of the author's homepage at https://www3.nd.edu/~scorwin/, where one can also find a spreadsheet which shows the
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Random Walk Simulation Of Stock Prices Using Geometric Brownian Motion [Quant Insti]In this blog on random walk simulation, we will learn how to simulate stock prices. Future stock prices are very hard to predict and are dependent on the past trend and volatility. While simulating the stock prices one has to give reasonable weightage to these two parameters. The random walk model helps incorporate these two features of a stock and simulate the stock prices in a very clear and
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Does the Sunspot Cycle Predict Grain Prices? [CXO Advisory]As a follow-up to Sunspot Cycle and Stock Market Returns a reader asked: Sunspot activity does have a direct relationship to weather. Could one speculate on the agriculture market using the sunspot cycle? To investigate, we relate sunspot activity to the fairly long U.S. Producer Price Index (PPI) for grains. Using monthly averages of daily sunspot counts and monthly PPI for grains
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Sunspot Cycle and Stock Market Returns [CXO Advisory]A reader asked whether Charles Nenner, self-described as the talk of Wall Street since accurately predicting some of the biggest moves in the Markets over the past few years, accurately forecasts equity and commodity markets. We consider the following: In his July 2007 discussion of the Nenner Methodology at the Bloomberg Studio, Charles Nenner cites sunspot activity as a specific key