This is a summary of links recently featured on Quantocracy as of Monday, 12/30/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Top Ten Blog Posts on Quantpedia in 2024 [Quantpedia]The year 2024 is nearly behind us, so its an excellent time for a short recapitulation. In the previous 12 months, we have been busy again (as usual) and have published over 70 short analyses of academic papers and our own research articles. The end of the year is a good opportunity to summarize 10 of them, which were the most popular (based on the Google Analytics ranking). The top 10 is
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A “New” Way to Smooth Price [Dekalog Blog]Rather than describe it, I'll just paste the "help" description below:- "This function takes an input series and smooths it by projecting a 5 bar rolling linear fit 3 bars into the future and using these 3 bars plus the last 3 bars of the rolling input to fit a FIR filter with a 2.5 bar lag from the last projected point, i.e. a 0.5 bar lead over the last actual rolling point in
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From Gold to Bitcoin: Exploring the Oldest and Newest Asset Classes [Relative Value Arbitrage]Gold, one of the oldest and most enduring asset classes, had an exceptional run in 2024, capturing attention across financial markets. Its role in investment portfolios continues to spark interest, acting as a hedge against uncertainty. On the other end of the spectrum, cryptocurrencies represent the newest frontier in finance. While opinions remain divided, some are enthusiastic supporters, while
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Linear Congruential Generators in Python [Quant Start]Some years ago we wrote a range of articles on random number generation (RNG) using C++. These techniques are primarily used for Monte Carlo simulations that underpin modern derivatives pricing methods. The articles included one that implemented a particular algorithm known as a Linear Congruential Generator (LCG). The LCG is an algorithm for generating random looking numbers, despite being