This is a summary of links featured on Quantocracy on Thursday, 03/02/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
Check Out Our Awesome New Book Library [Quantocracy]
Check out our awesome new book library curated by four of the top rated authors in our community: Investment Idiocy (Rob Carver): General Quantitative Finance, Market History, Hedge Funds, General Programming Quant Start (Michael Halls-Moore): Python, C++, Financial Math, Quant Jobs & Interviews QuantStrat TradeR (Ilya Kipnis): R Programming Robot Wealth (Kris Longmore): Quant Trading, Machine
The Downside Of Momentum [Larry Swedroe]
Momentum has been found to be a persistent and pervasive factor in the returns not only of equities, but in other asset classes (including bonds, commodities and currencies). With equities (compared to the market, value, size, profitability and quality factors), during the period 1927 through 2015, momentum has earned both the highest premium (9.6%) and the highest Sharpe ratio (0.61). However,
Prices Transformation Cheat Sheet [Quant Dare]
In this entry, we discover the secrets behind prices transformation in financial series. Do you use price series in things such as technical analysis visualisation? Do you use return series in things such as volatility calculations? Do you use equity series in things such as comparing products with prices on different scales? If you answered yes to at least two of these questions, look at
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