This is a summary of links featured on Quantocracy on Thursday, 12/29/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Factor’s Performance During Various Market Cycles [Quantpedia]We have already showed How to extend history of any asset, portfolio or strategy to a 100-year long history. Weve done this by introducing Quantpedias Multi-Factor Regression Model, which aims to replicate any portfolio and recreate what its 100-year history would have looked like. The model uses several factors, including Market (U.S. Equities), Bonds, Commodities, Trend factor, etc. In
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Hundreds of quant papers from #QuantLinkADay in 2022 [Cuemacro]If you follow me on Twitter (@saeedamenfx), youll notice that I post a lot of stuff about burgers (yes, I do like them). In an effort to make sure that I at least regularly post quant content (as opposed to burger based tweets), I started posting a daily link under the #QuantLinkADay hashtag. Usually these are papers, sometimes they might also be code libraries, essentially anything that seems
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Cryptocurrencies with Python: A new YouTube video series! [Quant at Risk]We kicked off a new series of go-to solutions for #Cryptocurrencies with #Python. Subscribe to our YouTube channel for regular updates!
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Geopolitical risk: novel econometric methods! [Alpha Architect]Traditional measures of geopolitical risk have been primarily qualitative. In this article, the authors describe and analyze not just new, but novel measures including textual analysis of news and expert reports, novel econometric methods and machine learning applications for measuring geopolitical risk and changes in geopolitical risk. Comparing Geopolitical Risk Measures Ahmet K. Karagozoglu, Na