This is a summary of links recently featured on Quantocracy as of Sunday, 05/04/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Correlation-Based Clustering: Spectral Clustering Methods [Portfolio Optimizer]Clustering consists in trying to identify groups of similar behavior1 – called clusters – from a dataset, according to some chosen characteristics. An example of such a characteristic in finance is the correlation coefficient between two time series of asset returns, whose usage to partition a universe of assets into groups of close and distant assets thanks to a hierarchical
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A New Approach to Regime Detection and Factor Timing [Alpha Architect]The financial research literature has found that the performance of assets (and factors) can vary substantially across regimes (for example, see here and here)factor premiums can be regime dependent. Unfortunately, the real-time identification of the current economic regime is one of the biggest challenges in finance. Amara Mulliner, Campbell Harvey, Chao Xia, and Ed Fang, authors of the March
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Why data mining risks your trading career [Robot Wealth]I was recently talking to someone about data mining as an approach to finding edges to trade. I get the appeal. Feed enough data into a computer, run enough tests, and surely something profitable will emerge, right? Maybe. But almost certainly not. But the worst thing about this approach is that it risks your entire trading career. Sound extreme? Ill explain. Two types of traders Let me tell
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Revisiting Pragmatic Asset Allocation: Simple Rules for Complex Times [Quantpedia]Pragmatic Asset Allocation (PAA) represents a portfolio construction approach that seeks to balance the benefits of systematic trend-following with the realities faced by semi-active investors (mainly taxes and lack of time to manage positions). Building upon the insights presented in Quantpedias initial overview and later in the follow-up, we see clear potential in this frameworkespecially
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Weekly Research Recap [Quant Seeker]Time for another batch of top-tier investing research. Below is a carefully curated list of great papers from last week, each linked to the original source for easy access. If youre enjoying these posts, a like or subscribe is always appreciated, thank you for your support! Asset Allocation Global Tactical Asset Allocation: Updated Results and Real-Market Implementation Using Python and IBKR