We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant tradin...
Gluten is composed of prolamin and glutelin proteins from several related grains. Because these proteins are not present in identical ratios in the various grains and because they have some differences in sequence, the ability to accurately quantify...
In this paper we introduce an intra-sector dynamic trading strategy that captures mean-reversion opportunities across liquid U.S. stocks. Our strategy combines the Avellaneda and Lee methodology (AL; Quant. Financ. 2010, 10, 761–782) within the Black...
‘Candidatus Phytoplasma prunorum’ has been associated with severe disease in Prunus spp., which are commodities of economic importance in the USA. The introduction and establishment of ‘Ca. P. prunorum’ in the USA could result...