Quantocracy’s Daily Wrap for 01/09/2019

This is a summary of links featured on Quantocracy on Wednesday, 01/09/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How Bad Was 2018 s Volatility? [Alvarez Quant Trading]

    I have a Google Home in my bathroom that I play a morning routine while I shave, brush my teeth and get ready for the day. One step is to play The Indicator podcast from Planet Money. This morning they were talking about how 2018 was one of the most volatile years on record for the stock market. Of course that caught my attention and I wanted to discover how they measured that. The
  • Omega ratio, the ultimate risk-reward ratio? [Quant Dare]

    If you are working in finance, you have almost surely heard of risk-reward ratios and probably used some of them to evaluate the performance of a stock, ETF, or any other investment strategy. Among the different alternatives, the most popular risk-reward ratio is the so-called Sharpe ratio, first introduced by William F. Sharpe in 1966. It was originally termed reward-to-variability ratio and,

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