mperlow
  • Member for 4 years, 10 months
  • Last seen more than 2 years ago
1 answers
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3k views
statistical arbitrage vs factor trading
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11 votes

1) Why would you trade the error on the residual instead of creating a long/short factor model and trade expected returns? I would posit that the biggest reason people do this is for orthogonality of ...

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2 answers
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309 views
Reference request: Quantitative approaches to market abuse detection
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6 votes

I can't help as much with public literature, but I did see a talk with a member of the FINRA data science team responsible for exactly this (event link below - perhaps you can track down the speaker). ...

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3 answers
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2k views
Compute tangency portfolio with asset allocation constraints
4 votes

If you are willing to switch to CVXPY, it comes with a pretty example of exactly this exercise: http://nbviewer.jupyter.org/github/cvxgrp/cvx_short_course/blob/master/applications/...

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5k views
portfolio optimization with weights constraint in python
3 votes

This is a bit more complex than adding additional constraints. This is a well known problem in markowitz optimization - if you don't treat your covariance matrix and expected return vector with great ...

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2 answers
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134 views
ESG score for shorted stocks and for long-short portfolio
2 votes

It will be inherently tied to your business goals. For example, if shorting a "bad ESG" stock is a goal of the portfolio, then the taking a weighted average, i.e. sum(position_size * IVA), where ...

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4k views
How to calculate "portfolio cumulative return" from individual price data and weight of them?
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2 votes

These answers are missing the idea of path dependency. Your weights are only updated monthly. That means your weight on t0 is w0 and weight on t1 is w0*(1 + r1), weight on t2 is w0*(1+r1)*(1+r2) where ...

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63 views
Testing which index is a better benchmark to track stock prices
1 votes

I have seen this done mostly qualitatively. For example, this is a large cap tech name, so I will benchmark it against the QQQ. With short time periods of data and a single stock, running a ...

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1 answers
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311 views
Calculating idiosyncratic risk of stock without beta or risk free rate
1 votes

Check out page 24 of Active Portfolio Management (mine is Second Edition) if you can get your hands on it. Problem 3 is effectively this exact problem. Or see here: Calculating the correlation of ...

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1 answers
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397 views
Simple mean reversion strategy portfolio construction
1 votes

How about thinking about each trade in terms of gross exposure instead of long? I would pick a gross leverage ratio at the portfolio level and size this way. Concretely, change the formula to be |Ps| +...

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2 answers
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83 views
Compound 3-year returns to obtain 10-year returns: How to do?
0 votes

If 3 year returns start at t1 (i.e. the first "3 year return" is a one-month return), then you can back into the individual monthly returns. Once you have monthly returns, you should just be able to ...

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