This is a summary of links featured on Quantocracy on Saturday, 12/28/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Hundreds of quant papers from #QuantLinkADay in 2019 [Cuemacro]I probably tweet too much. Some tweets are on burgers (well, they are pretty important I suppose). Other tweets will constitute puns, which I find mildly amusing, but most term as dad jokes. Among all of these tweets, there is also stuff about Python and quant more generally. In particular, I tweet out #QuantLinkADay, which largely consists of links to recent quant papers on financial
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How market liquidity causes prices distortions [SR SV]Liquidity is a critical force behind market price distortions (and related trading opportunities). First, the cost of trading in and out of a contract gives rise to a liquidity premium. Second, the risk that transaction costs will rise when market conditions necessitate trading commands a separate liquidity risk premium. Third, actual changes in liquidity can precipitate large price changes