This is a summary of links featured on Quantocracy on Thursday, 12/24/2015. To see our most recent links, visit the Quant Mashup. Read on readers!
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High noon for 2015 market prophets [Mathematical Investor]When a prophet speaketh, if the thing follow not, nor come to pass, the prophet hath spoken it presumptuously: thou shalt not be afraid of him. [Deuteronomy 18:22]. In a December 2014 Math Investor blog, we assessed how 2014 market prophets had fared (answer: not very well). Thus with the holiday season once again upon us, it is time to check scores. So how have 2015 prophets performed?
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VBA Swap Pricing [Smile of Thales]VBA and Quant finance This article is actually a first part of an introductory course to VBA coding, given at Solvay School of Economics in Feb. 2014. The Excel sheet and VBA swap pricing code are attached. Visual Basic for Applications (VBA) is not trendy, properly speaking, in the financial industry. It is however massively used in many institutions for several reasons. People naturally
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Stock Returns Around New Year s Day [CXO Advisory]Does the New Years Day holiday, a time of replanning and income tax positioning, systematically affect investors in a way that translates into U.S. stock market returns? To investigate, we analyze the historical behavior of the S&P 500 Index during the five trading days before and the five trading days after the holiday. Using daily closing levels of the S&P 500 Index around New
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AmiBroker Code for the Breadth Indicator [Throwing Good Money]As per request, Im including the AmiBroker code for the 30% up/down last quarter in the Russell 3000 index indicator. I REALLY need to come up with a better name for it than that. How about the Haines Breadth Indicator? No, thats stupid. Magic Matts Mystical Meter? Uhsure. Its a two step process. You must do a scan every day, or as frequently as you want accurate data. It