This is a summary of links featured on Quantocracy on Wednesday, 12/27/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Deep Learning Systems for Bitcoins Part 1 [Financial Hacker]Since December, bitcoins can not only be traded at more or less dubious exchanges, but also as futures at the CME and CBOE. And already several trading systems popped up for bitcoins and other cryptocurrencies. None of them can claim big success, with one exception. There is a strategy that easily surpasses all bitcoin systems and probably all other known historical trading systems. Its name:
Predicting Long Run Stock Returns? It’s All About the Payouts and the Real Economy [Alpha Architect]What are the research questions? Given the prevalence of buybacks as a form of corporate payouts, should they be explicitly included in supply-side models such as the dividend discount model (DDM) used to forecast of stock returns? Does the same superior performance extend to the prediction of short-term changes in expected returns? What are the Academic Insights? YES. Dividends, as a payout
A Not-so Merry VIX-mas Part 2 [Quantifiable Edges]Yesterday I decided to examine performance of XIV during the last few days of the year. The thought was that we are now in a time period that is generally regarded as seasonally bullish. Additionally, volume and volatility are often light this week with many traders on vacation. So I thought with low volatility and bullish seasonality, it could be a bullish time for XIV (the inverse-VIX etf). I