Pairs Trading Kicks Butt!
Pairs Trading: Performance of a Relative-Value Arbitrage Rule Evan Gatev, William N. Goetzmann, and K. Geert Rouwenhorst A version of the paper can be found here. [...]
Quantitative Value Video Snippet
[youtube url="http://youtu.be/lG_064_XvfY"]
Why aren’t you a slave to an algorithm?
http://www.aeonmagazine.com/world-views/steven-poole-can-algorithms-ever-take-over-from-humans/ A great article by Steven Poole. He highlights what Turnkey readers are slowing learning via our Models vs. Experts series: Speaking to the evidence [...]
Cheap Stocks Win…EVERYWHERE
Value Around the World Nilufer Caliskan and Thorsten Hens A version of the paper can be found here. Want a summary of academic papers with alpha? [...]
Simple Moving Averages vs. Exponential Moving Averages
We've seen a few cool posts comparing different moving average rules. Here is a recent example from Systemtradersuccess.com: http://systemtradersuccess.com/golden-cross-which-is-the-best/ Below are the results of different [...]
Japanese Bond Yields Spike!! Successful Abenomics or the Beginning of the End?
It appears Japanese monetary policy is beginning to resemble Kabuki. Kabuki is a form of Japanese theater that involves stylized performances that can appear positively [...]
Do REITs blow up if interest rates spike?
Depends on the time period analyzed... Positive correlation between rates and REIT returns prior to 2000 Negative correlation post 2000. Extreme positive interest rate moves [...]
Models vs. Experts #9: Diagnosing Acute Abdominal Pain
Computer-aided diagnosis of acute abdominal pain De Dombal, F. T., Leaper, D. J., Staniland, J. R., McCann, A. P., & Horrocks, J. C. British Medical [...]
Models vs. Experts #8: Graduate School Admissions
A case study of graduate admissions: Application of three principles of human decision making Dawes, R. M. American Psychologist, 26, 180-188 An online version of [...]
Are Market Valuations too High?
There is a lot of chatter regarding market valuations. Many commentators are very confident that market is overpriced. Overconfidence can be dangerous. In the words [...]
Models vs. Experts #7: Job Analysis
A comparison of holistic and decomposed judgment strategies in job analyses by job incumbents synthesis Cornelius, E. T., & Lyness, K. S. Journal of Applied [...]
Complexity ==> Confusion and Dysfunction
A heartwarming paragraph from a paper I'm reading: Miller (1956) argued that there are definite limitations on the number of conceptual units that humans can [...]
Models vs. Experts #6: Predicting Male Psychological Disturbance
MMPI in actuarial diagnosis of psychological disturbance among college males Cooke, J. K. Journal of Counseling Psychology, 14, 474-477 A version of the paper can [...]
Shareholder Yield is here!
Cambria Funds is out with an interesting ETF. http://www.cambriafunds.com/syld/ Here is the fact sheet: At 59bps, this fund is low-cost, tax-efficient, and likely to produce [...]
Are Stocks Cheap? The Feds think so…
Are Stocks Cheap? A Review of the Evidence Fernando Duarte and Carlo Rosa A version of the paper can be found here. Want a summary of [...]
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 [...]
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 [...]