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Quantocracy’s Daily Wrap for 11/16/2019

DATE POSTED:November 17, 2019

This is a summary of links featured on Quantocracy on Saturday, 11/16/2019. To see our most recent links, visit the Quant Mashup. Read on readers!

  • IPO Exploration: Part 1 [Reproducible Finance]

    Inspired by recent headlines like Fear Overtakes Greed in IPO Market after WeWork Debacle and This Years IPO Class is Least Profitable since the Tech Bubble, today well explore historical IPO data and next time well look at the the performance of IPO driven-portfolios constructed during the ten-year period from 2004 – 2014. Ill admit Ive often wondered how a portfolio that allocated
  • Endogenous market risk: updated primer [SR SV]

    Endogenous risk arises from the interaction of financial market participants, as opposed to traded assets fundamental value. It often manifests as feedback loops after some exogenous shock. An important type of endogenous market risk is setback risk, which refers to the asymmetry of the upside and downside potential of a trade that arises from market positioning. Setback risk is a proclivity to
  • State of Trend Following in October [Au Tra Sy]

    A negative October takes the State of Trend Following index in the red for the year. Please check below for more details. Detailed Results The figures for the month are: October return: -3.92% YTD return: -3.23% Below is the chart displaying individual system results throughout October: StateTF October And in tabular format: System October Return YTD Return BBO-20 -4.67% 7.06% Donchian-20 -6.32%

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