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Predictive Alpha | Using scientific methods to illuminate alpha sourcesUsing scientific methods to illuminate alpha sources
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Using scientific methods to illuminate alpha sources
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Predictive Alpha | Using scientific methods to illuminate alpha sources | predictivealpha.wordpress.com Reviews
https://predictivealpha.wordpress.com
Using scientific methods to illuminate alpha sources
Factor-based equity investing: is the magic gone? | Predictive Alpha
https://predictivealpha.wordpress.com/2016/01/10/factor-based-equity-investing-is-the-magic-gone
Using scientific methods to illuminate alpha sources. Factor-based equity investing: is the magic gone? January 10, 2016. January 10, 2016. Factor-based equity investing has shown remarkable results against passive buy-and-hold strategies. However, our research shows that the magic may have diminished over the years. Our four-factor model is based on the well-researched equity factors value, quality, momentum and low volatility with S&P 1200 Global. The median number of clusters across 1,000 bootstraps i...
Bootstrapping avoids seductive backtest results | Predictive Alpha
https://predictivealpha.wordpress.com/2016/01/20/bootstrapping-avoids-seductive-backtest-results
Using scientific methods to illuminate alpha sources. Bootstrapping avoids seductive backtest results. January 20, 2016. Nothing gets the adrenaline rushing as strong backtesting results of your latest equity trading idea. Often, however, it is a mirage created by a subset of equities, which have performed particularly well or poorly thereby inflating the results beyond what seems reasonable to expect going forward. What is particularly interesting in our backtest is that the historical sample (running t...
FX: multivariate stochastic volatility – part 1 | Predictive Alpha
https://predictivealpha.wordpress.com/2016/03/15/fx-multivariate-stochastic-volatility-part-1
Using scientific methods to illuminate alpha sources. FX: multivariate stochastic volatility – part 1. March 15, 2016. March 21, 2016. We apply a (sequential) multivariate stochastic volatility model to five FX pairs. Using non-optimized settings our model beats a benchmark portfolio in terms of total return, but fails when you account for risk [note: we have edited the blog post to show results using mean-variance optimization rather than minimum-variance optimization]. And a monthly factor model. This ...
Predictive Alpha | Using scientific methods to illuminate alpha sources | Page 2
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Using scientific methods to illuminate alpha sources. Towards a better equity benchmark: random portfolios. December 24, 2015. January 26, 2016. Random portfolios deliver alpha relative to a buy-and-hold position in the S&P 500 index – even after allowing for trading costs. Random portfolios will serve as our benchmark for our future quantitative equity models. A market capitalization-weighted index, such as the S&P 500 index, is inherently a size-based portfolio where those equities which have done well.
Welcome to Predictive Alpha | Predictive Alpha
https://predictivealpha.wordpress.com/2015/11/22/welcome-to-predictive-alpha
Using scientific methods to illuminate alpha sources. Welcome to Predictive Alpha. November 22, 2015. The Predictive Alpha blog is about quantitative trading and investing using the free statistical programming language R. The Predictive Alpha blog favors complete transparency so all relevant R code is freely available. This allows visitors of the blog to recreate our results and hopefully also promotes discussion and feedback. Towards a better equity benchmark: random portfolios. Enter your comment here.
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Quant News
http://www.quantnews.com/index.php?last=2369
The latest research and news for quantitative traders. Fast Traders Make a Quick Buck: The Role of Speed in Liquidity Provision. A Bargain Hunter's Dream: High-Priced Stocks. Are expensive, that is, high-priced stocks, in reality the cheap ones from a fundamental perspective? A href=http:/ ssrn.com/abstract=2078535 The Golden Dilemma /a. A href=http:/ ssrn.com/abstract=2148691 An Impressionistic View of the 'Real' Price of Gold Around the World /a . The Term Structure of the Price of Variance Risk. At th...
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Predictive Acquisition Cost | Pricing Made Transparent
Skip to primary content. Skip to secondary content. The pharmacy industry has asked the question What should be the new drug pricing benchmark? This is really the wrong question. A better question What will show true costs in a complete and defensible way and appropriately protect private information? Introducing the Predictive Acquisition Cost. The PAC leverages the power of predictive analytics, marrying it with deep domain expertise, to deliver powerful and robust outputs to support drug pricing activ...
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Predictive Alpha | Using scientific methods to illuminate alpha sources
Using scientific methods to illuminate alpha sources. GgplotHelper: easy and beautiful plots in R. April 12, 2016. Visual expression is key in transmitting information between producers and users of research regardless of the scientific field. After many painful hours of re-writing code for plots in R based on the extensive ggplot2 package we finally created an easy-to-use overlay for making beautiful plots in R. Following our two latest posts on multivariate stochastic volatility ( part 1. Hosted on Git...
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Predictive Analytics Jobs
What Predictive Analytics Is All About. June 13, 2013 – 12:42 pm. Now descriptive model classifies all African residents into such category and manufacturers make adequate modifications to suit the demands of people in these areas. Usefulness of Predictive Analytics. June 13, 2013 – 12:39 pm. This has to do with working on information. And if you are using a smartphone you can search for specialized apps. This gives the much needed information about the customer such as the credit history, loan applicati...
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CALL US : 91 80 41129 655. Let’s Learn Analytics. WELCOME TO PREDICTIVE ANALYTICS SOLUTIONS. Specializing only on predictive analytics, Predictive Analytics Solutions provides products and training services that help address the Predictive Analytics needs of corporate organizations, government bodies as well as Academic and Research institution. An online training portal completely focus on predictive analytics, Let’s Learn Analytics provides self-paced courses that teach theoretical concepts as well as ...
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