Quantocracy’s Daily Wrap for 01/01/2019

This is a summary of links featured on Quantocracy on Tuesday, 01/01/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How bad is the problem of data misuse in finance research papers? [Mathematical Investor]

    Spurious results are the norm Having done a healthy share of paper replications over the past decade, and having been consistently disappointed when the models or techniques broke down on data shortly after (or even before) the authors sample periods, I would say that data misuse is a gigantic problem spurious results are the norm. But also over those years, the granularity of market data
  • Is Asset Dynamics Priced In Correctly by Black-Scholes-Merton Model? [Relative Value Arbitrage]

    A lot of research has been devoted to answering the question: do options price in the volatility risks correctly? The most noteworthy phenomenon (or bias) is called the volatility risk premium, i.e. options implied volatilities tend to overestimate future realized volatilities. Much less attention is paid, however, to the underlying asset dynamics, i.e. to answering the question: do options price
  • Factor Olympics 2018 [Factor Research]

    2018 was negative for classic multi-factor portfolios Low Volatility generated the best and Value the worst performance Factor performance was homogenous across global markets INTRODUCTION We present the performance of five well-known factors on an annual basis for the last 10 years, including 2018. We only present factors where academic research highlights positive excess returns across market
  • Programming’s Achilles Heal [John Orford]

    I am building a small Domain Specific Language (spreadsheet style calculations) called FlatLang with some interesting properties. These are my notes. ~ FlatLang is a functional, pure, total, statically typed language. To simplify, 1) (almost) everything is a function 2) each function's 'functionality' is described completely by its inputs and outputs 3) each function will produce an
  • Our Most Popular Posts in 2018 [Dual Momentum]

    Happy New Year! In case you missed them, here were our most popular posts in 2018: Extended Backtest of Global Equity Momentum My book had dual momentum results from 1974 through 2013. With the acquisition of additional data, we are now able to show results back to 1950. We also explain why 1950 is a good starting date for looking at global investing. Perils of Data Mining We show examples of

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