Top Quant Links 2018-05-09

@quanthub aims to assemble the finest list of Quant Links everyday! In today's market, traders and investors need the most sophisticated strategies to profit against the intense competition of the global financial marketplace. The links we assemble everyday contain some of the highest alpha information available on the internet today.

Leverage and Trend Following

We typically discuss trend following in the context of risk management for investors looking to diversify their diversifiers. While we believe that trend following is most appropriate for investors concerned about sequence risk, levered trend following may...more

Improving data diversity. Synthetic Financial Time Series Generator

When dealing with data we (almost) always would like to have better and bigger sets. But if there’s not enough historical data available to test a given algorithm or methodology, what can we do? Our answer has been: creating it...more

A Historical Look At Employment Days

Friday the employment report will be released about an hour before the NYSE open. Employment days have an interesting history and they have contributed to some worthwhile studies over the years...more

Following Sell-Side Analysts? This Paper Identifies Who You Should Chase.

Constructing a database of Star analyst designations collected from Institutional Investor, the Wall Street Journal and StarMine for the period 2003 to 2014, the authors document the differences in profitability of following Star and nonStar analyst recommendations as an investment strategy....more

CONSTANT MATURITY DATA

I’ve been asked multiple times why/when I use constantly maturity data for research and modelling. I thought I’d cover it here on my blog since its been a while. I hope to post more in the coming months/future as it has been a good way for me to organize my thoughts and share what I’ve been working on....more

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