Models vs. Experts #5: Health Care Protocol
Experience with a computerized interactive protocol system using HELP Cannon, S. R., & Gardner, R. M. Computers in Biomedical Research,13, 399-409. A version of the [...]
Economic Comeback?
H1B Visa applications went to a lottery this year... Housing is hot and Ford pickups are selling like hotcakes... US Energy IS the story for [...]
Models vs. Experts #4: Electrocardiogram
Performance of the computer and physician in the analysis of the electrocardiogram Caceres, C. A., & Hochberg, H. H. American Heart Journal, 79, 439-443 A [...]
Models vs. Experts #3: Advertising Sales Predictions
A Field Test of Implications of Laboratory Studies of Decision Making Ashton, A. H. The Accounting Review, 59, 361-375 A version of the paper can [...]
Tax is more important than alpha
Below is a snapshot from a marketing deck I've been working on. I'm shifting the majority of my very limited brainpower into the field of [...]
Googling for Profits?
Quantifying Trading Behavior in Financial Markets Using Google Trends Tobias Preis, Helen Susannah Moat, and H. Eugene Stanley A version of the paper can be [...]
Models vs. Experts #2: Rorschach interpretation
Unsuccessful differential diagnosis from the Rorschach Armitage, S. G., & Pearl, D. Journal of Consulting Psychology, 21. 479-484 A version of the paper can be [...]
Models vs. Experts #1: College GPA predictions
Predictive efficiency of two multivariate statistical techniques in comparison with clinical predictions Alexakos, C.E. Journal of Educational Psychology, 57, 207-306 A version of the paper can [...]
Sell in May and Go Away Results
We did a study of this a while ago using the data from Ken French's website. All of the results below are through December 2010. [...]
Can We Make Money off of Investors’ Limited Attention?
Limited Attention and Asset Price Efficiency: Evidence from NYSE Opening and Closing Ceremonies Click to get the pdf. Steve Crawford, Wesley Gray (me!), and Shastri Sandy [...]
Tax Party–and EVERYONE is invited!
http://www.treasury.gov/resource-center/tax-policy/Documents/General-Explanations-FY2014.pdf What exactly is "fair share?" Don't worry, private equity already has workarounds...public equity folks are toast. I guess we'll all be HFT traders now [...]
Neuroeconomics: Prime Yourself with a Power Pose to Generate Testosterone
We were reading Frank Partnoy's Wait: The Art and Science of Delay recently, when we came across a section discussing a fascinating study related to the author [...]
S&P 500 10-Year Nominal Return Forecasts
We've outlined the fundamentals of long-term return projection models in a recent post: https://alphaarchitect.com/2012/12/projected-15-year-sp-500-returns/ Butler|Philbrick|Gordillo and Associates have a great post that focuses on the [...]
Clone Endowment Asset Allocations
Getting access to what the top asset allocation brains are thinking is easy-- "Google it." For example, I googled "yale endowment asset allocation filetype:pdf" and [...]
More Information=More Confidence=More Problems
Effects of amount of information on judgment accuracy and confidence Claire I. Tsai, Joshua Klayman, Reid Hastie A version of the paper can be found here. [...]
Are Stocks Expensive? Yes, but…
Are stocks expensive? On an absolute basis, yes. As Greenbackd.com and Mebanefaber.com have recently pointed out, the Shiller P/E, or cyclically-adjusted P/E (CAPE), is at a historical [...]
Are you a Company Man?
Contrarian investing is the art of profiting in the markets by diverging from the investment approach favored by the crowd. While we may all aspire [...]
Tournament Trading Competitions–A New Way to Attract Capital
The investment management business is a major Catch-22: On one hand you need a track record; but to get a track record you need assets. [...]
Momentum-Based Allocation
Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay Gary Antonacci A version of the paper can be found here. Want a summary of academic [...]
Battle of the Quants
I'll be kicking, screaming, and fighting for the Quants. Wish me luck... http://battleofthequants.net/wesley-gray/ Come join the party on April 23 and 24! http://battleofthequants.net/agenda/