Quantocracy’s Daily Wrap for 12/03/2018

This is a summary of links featured on Quantocracy on Monday, 12/03/2018. To see our most recent links, visit the Quant Mashup. Read on readers!

  • GARCH and a rudimentary application to Vol Trading [QuantStrat TradeR]

    This post will review Kris Boudts datacamp course, along with introducing some concepts from it, discuss GARCH, present an application of it to volatility trading strategies, and a somewhat more general review of datacamp. So, recently, Kris Boudt, one of the highest-ranking individuals pn the open-source R/Finance totem pole (contrary to popular belief, I am not the be-all end-all of coding R
  • The relationship between ATR and standard deviation [Investment Idiocy]

    Let's begin this post with a gross generalisation: Professional traders tend to measure risk and target risk using standard deviation. Amateur traders tend to use a funky little number called the ATR: 'Average True Range'. Both try and achieve the same aim: summarise the typical movement in the price of something using a single number. However they are calculated differently. Can we
  • Maximizing Diversification [Flirting with Models]

    Diversification within a portfolio can be quantified using the diversification ratio, which measures how much the volatility is reduced relative to a scenario where all assets are perfectly correlated. By maximizing the diversification ratio, we can construct the most diversified portfolio for a given investment universe. We construct the most diversified portfolio using data from 1973 and look at
  • Measuring Factor Exposures: Uses and Abuses [Alpha Architect]

    What are the research questions? USES: Can investors really separate alpha from beta? What are the ins-and-outs of understanding the exposures in a portfolio and their contribution to alpha? ABUSES: Are there differences in the way strategies are constructed in academic articles vs. the way practitioners actually implement those strategies that are consequential for investors?
  • Private Equity: The Emperor Has No Clothes [Factor Research]

    This research note was originally published by the CFA Institutes Enterprising Investor blog. Here is the link. SUMMARY Private equity returns can be replicated with small cap equities Small, cheap and levered stocks would have achieved higher returns since 1988 Valuation and debt multiples are at all-time-highs, lowering expected returns FROM BUST TO BOOM The private equity industry had an
  • Free Data and the Collapse of Trading Costs [CXO Advisory]

    How have costs of U.S. stock trading data evolved in recent years? In his October 2018 paper entitled Retail Investors Get a Sweet Deal: The Cost of a SIP of Stock Market Data, James Angel examines costs of U.S. stock market data. He also describes the production of these data and their consolidation/distribution via Securities Information Processors (SIP). Using data for U.S. trading costs

The post Quantocracy’s Daily Wrap for 12/03/2018 appeared first on Quantocracy.

Leave a Reply

Your email address will not be published. Required fields are marked *