This is a summary of links featured on Quantocracy on Saturday, 12/30/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quickly store 2,370,886 rows of historic options data with ArcticDB [PyQuant News]Over 1,200,000 options contracts trade daily. Storing options data for analysis has become something only professionals can do using sophisticated tools. One of the professionals recently open sourced their tools for lightening fast data storage and retrieval. ArcticDB is a DataFrame database that is used in production by the systematic trading company, Man Group. Its used for storage,
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Tracking systematic default risk [SR SV]Systematic default risk is the probability of a critical share of the corporate sector defaulting simultaneously. It can be analyzed through a corporate default model that accounts for both firm-level and communal macro shocks. Point-in-time estimation of such a risk metric requires accounting data and market returns. Systematic default risk arises from the capital structures vulnerability and
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The Financial Distress Puzzle [Alpha Architect]That riskier assets should command higher expected returns is the most basic of asset pricing theories. Clearly, financial distress is a risk characteristic, but it presents a puzzle, as there has not been a linear relationship between it and stock returns. For example, John Birge and Yi Zhang, authors of the April 2017 study Risk Factors That Explain Stock Returns: A Non-Linear Factor Pricing