September 2, 2015

What I am reading: Sept. 2, 2015

Recent articles that I found interesting and made me think. For more articles see the quant mashup Quantocracy.

Was Monday’s ETF Collapse Just A Warmup?

“The ETF can’t be more liquid than the underlying, and we know the underlying can become highly illiquid.”


Computers are the new Dumb Money

“Rational, experienced people understood that an ETF with holdings that were down an average of 5% should not have a share price down 30%.”


Avoiding the Big Drawdown: Is Downside Protection Helpful or Heresy?

‘Chasing the Investing Unicorn: Give me “High Returns with Limited Risk”’


Algorithm Aversion — Why people don’t follow the model!

“However, given this knowledge that models beat experts, forecasters still prefer to use the human (expert) prediction as opposed to using the model.”

Good Quant Trading,

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