Quantocracy’s Daily Wrap for 03/08/2019

This is a summary of links featured on Quantocracy on Friday, 03/08/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Synthetic Data Generation (Part-1) – Block Bootstrapping [Black Arbs]

    Data is at the core of quantitative research. The problem is history only has one path. Thus we are limited in our studies by the single historical path that a particular asset has taken. In order to gather more data, more asset data is collected and at higher and higher resolutions, however the main problem still exists; one historical path for each asset. Derivatives pricing has come up with
  • Options Expiration Week Performance By Month 2019 Update [Quantifiable Edges]

    Next week is monthly options expiration week. Ive noted several times over the years that Op-ex week in general is pretty bullish. March, April, October, and December it has been especially so. S&P 500 options began trading in mid-1983. The table below is one I have showed in March each of the last several years. It goes back to 1984 and shows op-ex week performance broken down by month.

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