This is a summary of links featured on Quantocracy on Tuesday, 12/19/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Pairs Trading using Data-Driven Techniques: Simple Trading Strategies Part 3 [Auquan]Pairs trading is a nice example of a strategy based on mathematical analysis. Well demonstrate how to leverage data to create and automate a pairs trading strategy. Underlying Principle Lets say you have a pair of securities X and Y that have some underlying economic link, for example two companies that manufacture the same product like Pepsi and Coca Cola. You expect the ratio or difference
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Industry Herding by Short Sellers Signals that Conditions are Changing [Alpha Architect]Does the industry concentration exhibited in short sellers holdings convey new material information about the industry? Are the excess returns obtained from industry shorting combined with firm-specific shorting strategies explained by risk? Is the industry shorting signal correlated with economic trends in the associated industry? What are the Academic Insights? YES. The results reported here