Quantpedia in November 2019

Dear readers,

Six new Quantpedia Premium strategies have been added into our database in November, and five new related research papers have been included into existing Premium strategies.

Additionally, we have produced 22 new backtests written in QuantConnect code. Therefore our database currently contains over 190 strategies with out-of-sample backtests/codes.

Also, four new blog posts you may find interesting have been published on our Quantpedia blog:

Quantitative Easing Increases Connectedness of Equities and Commodities
Authors: Ordu-Akkaya, Soytas
Title: Unconventional Monetary Policy and Financialization of Commodities

Popularity Asset Pricing Model
Authors: Ibbotson, Idzorek, Kaplan, Xiong
Title: Popularity: A Bridge between Classical and Behavioral Finance

Three Methods to Fix Momentum Crashes
Authors: Hanauer and Windmueller
Title: Enhanced Momentum Strategies

Impact of Currency Volatility on Momentum and Carry Factors
Authors: Hoang
Title: Long Run and Short Run Risk Premium in Currency Market

Best regards,

Radovan Vojtko
CEO & Head of Research


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