This is a summary of links featured on Quantocracy on Monday, 12/21/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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Best Links of the Last Two Weeks [Quantocracy]The best quant mashup links for the two weeks ending Saturday, 12/19 as voted by our readers: Using the LASSO to Forecast Returns [Alex Chinco] pysystemtrade [Investment Idiocy] Why Does Dual Momentum Outperform? [Dual Momentum] Why doesnt the choice of performance measure matter? [MathFinance.cn] We also welcome three blogs making their first ever appearance on the mashup: Using Market Breadth
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Returns don’t mean revert, fundamentals do [Flirting with Models]While prior 5-year returns for the S&P 500 have been spectacular, prior 10-year returns are still muted. Does this mean the bull market still has room to run? Prior returns, however, are not a great predictor of future returns. Fundamentals, not returns, tend to be mean-reverting. Current fundamentals are historically expensive: Shiller PE currently sits in the 89th percentile. This implies
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Using Market Breadth to Gauge Market Health (part 4) [Throwing Good Money]Welcome to Part 4 of this series. Were still trying to find a market breadth indicator that gives a better health assessment than using a simple moving average on SPY. For a description of what the heck Im doing, please go back and read the first post (and the subsequent ones too): Using Market Breadth to Gauge Market Health (part 1) Back when momentum and dinosaurs ruled the earth (instead
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Present-day great statistical discoveries [Eran Raviv]Some time during the 18th century the biologist and geologist Louis Agassiz said: Every great scientific truth goes through three stages. First, people say it conflicts with the Bible. Next they say it has been discovered before. Lastly they say they always believed it. Nowadays I am not sure about the Bible but yeah, it happens. I express here my long-standing and long-lasting admiration