Quantocracy’s Daily Wrap for 01/12/2019

This is a summary of links featured on Quantocracy on Saturday, 01/12/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Quandl’s Third Annual Data Conference – Feb 28th, New York City [Quandl]

    Quandl, the leading platform for financial and alternative data, will host its third annual Quandl Data Conference (formerly the Alternative Data Conference) on February 28, 2019, at Convenes 46th St. location in New York City. We launched this event nearly three years ago to create awareness of what was then a new idea: alternative data, said Tammer Kamel, CEO of Quandl. Alternative
  • January Opex Weak [Quantifiable Edges]

    Opex week overall has typically been a bullish part of the month for the market. But over the last 20 years, January has been a major exception to this rule. The table below shows results of buying the Friday before options expiration week in January and then selling at the close of option expiration Friday, which is the 3rd Friday of the month. 2019-01-11-1 15 of the last 20 January opex weeks
  • Where to find free data for markets [Cuemacro]

    If you do any sort of analysis of markets, you need market data and related datasets. Without data, you are kind of stuck! There are of course many market datasets which are available to purchase from data vendors. However, what type of datasets are available for free (aside from crypto markets, where there is a massive amount of free data)? A surprising number of free data sources are available
  • Liquidity yields and FX [SR SV]

    Liquidity yields are convenience yields of financial securities that typically arise from high liquidity, suitability as collateral or preferred regulatory status. New research argues that relative changes in liquidity yields on government bonds across countries have a significant impact on exchange rate dynamics. Theoretically, an unexpected increase in the liquidity yield on government bonds in

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