This is a summary of links featured on Quantocracy on Saturday, 12/22/2018. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Bear is Here [Quintuitive]October and December have been devastating for stocks. It wasnt until Friday though that we officially reached the depths of a bear market. There are different theories, the most common is 20% pullback in an index. As readers of this blog are aware, I follow a slightly different definition, based on Jack Schanneps work. Based on this definition, a bear market is official when two of the
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The macro information inefficiency of financial markets [SR SV]There are reason and evidence for financial markets failing to be efficient with respect to macro trends. The main reason is cost: tradable economic research is expensive and investment firms will only invest in such research if their fees on expected incremental portfolio returns exceed their expenses. This requires them to concentrate scarce research budgets on areas where they see