This is a summary of links featured on Quantocracy on Wednesday, 12/20/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Forecasting S&P 500 using Machine Learning [Quant Dare]Is it possible to foresee the future movements of a stock? Lets use Machine Learning techniques to predict the direction of one of the most important stock indexes, the S&P 500. Pregaming The Standard & Poors 500 (S&P500) is a stock market index based on the capitalization of the 500 largest American companies. It is an index widely traded through index funds and ETFs, which
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Book Review – Market Timing with Moving Averages [Alpha Architect]Trend-following is something Ive struggled with for years always felt like voodoo magic and data-mining. That said, I finally came around to appreciating the practice after a ton of research replication efforts, independent research. At the time I was investigating the topic there really werent any references or books that gave me the depth of understanding that I was looking for. What I
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Cryptocurrencies vs. Other Asset Classes [CXO Advisory]Are cryptocurrencies potentially useful portfolio diversifiers? In their November 2017 paper entitled Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets, Shaen Corbet, Andrew Meegan, Charles Larkin, Brian Lucey and Larisa Yarovaya apply a battery of tests to analyze relationships: (1) among three cryptocurrencies; and, (2) between the cryptocurrencies and