This is a summary of links featured on Quantocracy on Saturday, 12/19/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Bitcoin Mempool & Momentum [Tr8dr]I have been thinking about the recent institutional buying that has propelled the price of bitcoin to stratospheric levels; in particular considering how one might detect some of this interest early. Bitcoin and crypto in general is quite interesting in that at some level, due to the decentralized ledger, there is more transparency in this market than any other financial market. The majority of
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Is Size a Useful Investing Factor or Not? [Alpha Architect]In his famous 1981 paper, The Relationship Between Return and Market Value of Common Stocks, Rolf Banz found that small firms have higher risk-adjusted returns than large firms. This was one of the first major challenges to the capital asset pricing model (CAPM) and market efficiency in general. However, its failure to generate statistically significant premiums post-publication has called