Quantocracy’s Daily Wrap for 03/02/2019

This is a summary of links featured on Quantocracy on Saturday, 03/02/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The Open Source Hedge Fund Project from Jacques Joubert (@JacquesQuant) [Quants Portal]

    Dear Hedge Fund Enthusiasts, Its been long since we sent out a newsletter but we would like to report that the Open Source Hedge Fund Project is alive and kicking again! My Msc in Financial Engineering has provided me with the unique opportunity to build an open source python package, like pandas, for my final research project. I am hunting for a unique contribution to the literature in the
  • How salience theory explains the mispricing of risk [SR SV]

    Salience theory suggests that decision makers exaggerate the probability of extreme events if they are aware of their possibility. This gives rise to subjective probability distributions and undermines conventional rationality. In particular, salience theory explains skewness preference, i.e. the overpricing of assets with a positive skew and the under-pricing of contracts with a negative skew.

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