{"id":28211,"date":"2020-01-06T14:22:59","date_gmt":"2020-01-06T05:22:59","guid":{"rendered":"https:\/\/smallake.kr\/?p=28211"},"modified":"2020-01-06T14:22:59","modified_gmt":"2020-01-06T05:22:59","slug":"%ed%98%b9-quantpedia%eb%a5%bc-%ec%95%84%ec%8b%9c%eb%82%98%ec%9a%94","status":"publish","type":"post","link":"https:\/\/smallake.kr\/?p=28211","title":{"rendered":"\ud639 Quantpedia\ub97c \uc544\uc2dc\ub098\uc694?"},"content":{"rendered":"

1.
\n\ub9ac\uc11c\uce58\uac00 \ud2b8\ub808\uc774\ub529\ube44\uc9c0\ub2c8\uc2a4\uc5d0\uc11c \ucc28\uc9c0\ud558\ub294 \ube44\uc911\uc740 \ud68c\uc0ac\ub9c8\ub2e4 \ub2e4\ub985\ub2c8\ub2e4. \uc55e\uc11c \uc18c\uac1c\ud588\ub358 NewFound Research\ub098 \uc81c\uac00 \uc790\uc8fc \uc18c\uac1c\ud588\ub358 Alpha Architect\uc640 \uac19\uc740 \ud68c\uc0ac\ub4e4\uc740 \ub9ac\uc11c\uce58\ub97c \uc911\uc694\ud558\uac8c \ub2e4\ub8f9\ub2c8\ub2e4.<\/p>\n

Newfound Research\ub77c\ub294 \uc6b4\uc6a9\uc0ac\uac00 \ubc1c\ud45c\ud55c 2019\ub144 \ub17c\ubb38\ub4e4<\/a>
\n\ub17c\ubb38\uc744 \uc77d\uc5b4\uc8fc\ub294 \ud2b8\ub808\uc774\ub529\ud68c\uc0ac<\/a><\/p>\n

\uacfc\uac70\uc640 \ub2ec\ub9ac \ud559\uc220\ub17c\ubb38\uc5d0 \ub300\ud55c open-access\uac00 \ubcf4\ud3b8\ud654\ud558\uba74\uc11c SSRN<\/a>, arXiv<\/a>, RePEc<\/a>, PMC<\/a> \ud639\uc740 ResearchGate<\/a>\uc744 \ud1b5\ud574 \ub17c\ubb38\uc744 \uc27d\uac8c \uad6c\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \ub2e4\ub974\uac8c \ub9d0\ud558\uba74 \uc790\uccb4\uc801\uc73c\ub85c \ub9ac\uc11c\uce58\ub97c \ud560 \uc218 \uc788\ub294 \uc5ed\ub7c9\uc774 \ubd80\uc871\ud558\ub354\ub77c\ub3c4 \uc801\uc740 \ube44\uc6a9\uc744 \ub4e4\uc5ec\uc11c \ub9ac\uc11c\uce58\ud55c \uacb0\uacfc\ub97c \ubd84\uc11d\ud558\uace0 \ud65c\uc6a9\ud560 \uc218 \uc788\ub294 \uae38\uc740 \uc5f4\ub824\uc788\uc2b5\ub2c8\ub2e4. \ucc38\uace0\ub85c \uc55e\uc11c\uc640 \uac19\uc740 \uc0ac\uc774\ud2b8\ub97c open access repository\ub77c\uace0 \ud569\ub2c8\ub2e4.<\/p>\n

2014\ub144\uc5d0 \ubc1c\ud45c\ub41c A Quantitative Approach to Tactical Asset Allocation\ub77c\ub294 \ub17c\ubb38\uc774 \uc788\uc2b5\ub2c8\ub2e4. \uc774\ub97c \uac01\uac01 \ub808\ud3ec\uc9c0\ud1a0\ub9ac\uc5d0\uc11c \uac80\uc0c9\ud574\ubcf4\uba74 \ub2e4\uc74c\uacfc \uac19\uc2b5\ub2c8\ub2e4.<\/p>\n

SSRN<\/a>
\nResearchGate<\/a><\/p>\n

\uc5b4\ub5a4 \ub808\ud3ec\uc9c0\ud1a0\ub9ac\ub97c \uc774\uc6a9\ud558\ub4e0 \uc5bb\uc744 \uc218 \uc788\ub294 \uac83\uc740 \ub17c\ubb38 \uc6d0\ubb38(\ucd08\uace0)\uc785\ub2c8\ub2e4. \ub17c\ubb38\uc744 \uc785\uc218\ud55c \ud6c4 \uc790\uccb4\uc801\uc778 \ubd84\uc11c\uacfc\uc815\uacfc \uc2dc\ud5d8\uc744 \ud1b5\ud558\uc5ec \uc720\uc758\ubbf8\ud55c\uc9c0\ub97c \ud310\ub2e8\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n

Quantpedia\ub294 \ud2b8\ub808\uc774\ub529\ud68c\uc0ac\uac00 \ubaa9\uc801\uc5d0 \ub530\ub77c \ud544\uc694\ud55c \ub17c\ubb38\uc744 \uc27d\uac8c \uac80\uc0c9\ud558\uace0 \ud65c\uc6a9\ud560 \uc218 \uc788\ub3c4\ub85d \ub17c\ubb38\ubd84\uc11d\uc11c\ube44\uc2a4\ub97c \uc81c\uacf5\ud569\ub2c8\ub2e4. \uc55e\uc11c \ub17c\ubb38\uc744 \uae30\uc900\uc73c\ub85c \uc544\ub798\uc640 \uac19\uc740 \ucd94\uac00\ubd84\uc11d\uc744 \uc81c\uacf5\ud569\ub2c8\ub2e4.<\/p>\n

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Quantpedia\ub294 \ud604\uc7ac 450\uc5ec\ud3b8\uc758 \ub17c\ubb38\uc5d0 \ub300\ud55c \ubd84\ub958\uc815\ubcf4\ub97c \uc720\ub8cc\ub85c \uc81c\uacf5\ud558\uace0 \uc788\uc2b5\ub2c8\ub2e4.<\/p>\n

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\ub354\ubd88\uc5b4 Quantconnect\ub77c\ub294 \uc54c\uace0\ub9ac\uc998\ud2b8\ub808\uc774\ub529 \ud50c\ub7ab\ud3fc\uacfc \uc81c\ud734\ud558\uc5ec \ucf54\ub4dc,\ubc31\ud14c\uc2a4\ud2b8,\ub17c\ubb38\uc744 \uc6d0\uc2a4\ud0d1\uc73c\ub85c \uc870\ud68c\ud560 \uc218 \uc788\ub294 \uc11c\ube44\uc2a4\ub3c4 \uc81c\uacf5\ud558\uace0 \uc788\uc2b5\ub2c8\ub2e4. Quantopian\uc774 \uc81c\uacf5\ud558\ub294 \uc11c\ube44\uc2a4\uc5d0 \ub17c\ubb38\ubd84\uc11d\uc815\ubcf4\ub97c \ucd94\uac00\ud55c \ubaa8\ud615\uc73c\ub85c \uc774\ud574\ud558\uba74 \ub429\ub2c8\ub2e4. \uaf2d \uc720\ub8cc\uc11c\ube44\uc2a4\ub97c \uc774\uc6a9\ud558\uc9c0 \uc54a\ub354\ub77c\ub3c4 \uc811\uadfc\uac00\ub2a5\ud55c \uc790\uc6d0\uc744 \uc774\uc6a9\ud560 \uc218 \uc788\ub294 \ud658\uacbd\uc744 \ub9cc\ub4e4\uc5b4\ubcf4\ub294 \uac83\ub3c4 \uc9c0\uc18d\uac00\ub2a5\ud55c \ud2b8\ub808\uc774\ub529\ud68c\uc0ac\ub97c \ub9cc\ub4dc\ub294 \ubc29\ubc95\uc911 \ud558\ub098\uac00 \uc544\ub2d0\uae4c \uc0dd\uac01\ud569\ub2c8\ub2e4.<\/p>\n

\"\"<\/p>\n

2.
\n2019\ub144 Quantpedia\uc5d0\uc11c \uac00\uc7a5 \ub9ce\uc740 \uc870\ud68c\uc218\ub97c \uae30\ub85d\ud55c \ub17c\ubb38\ub4e4\uc785\ub2c8\ub2e4.<\/p>\n

Nbr. 10:\u00a0<\/span>Lexically Diverse Hedge Funds Outperform<\/span><\/strong><\/a>\u00a0\u2013\u00a0<\/span><\/strong>you can use analyses of text sophistication to find skilled hedge fund managers<\/span><\/p>\n

>Nbr. 9:\u00a0<\/span><\/strong>Continuous Futures Contracts Methodology for Backtesting<\/span><\/strong><\/a>\u00a0\u2013 Quantpedia\u2019s own research about the importance of choosing the right methodology for building continuous futures contracts series<\/span><\/p>\n

Nbr. 8:\u00a0<\/span><\/strong>Retail Day Trading is an Uphill Battle<\/span><\/strong><\/a>\u00a0\u2013 short recapitulation \u2013 retail day-trading (market-timing) is extremely hard, a lot of data to show a point<\/span><\/p>\n

Nbr. 7:\u00a0<\/span><\/strong>Popularity Asset Pricing Model<\/span><\/strong><\/a>\u00a0<\/span><\/strong>\u2013 Roger Ibbotson\u2019s new asset pricing model and a few new equity factors<\/span><\/p>\n

Nbr. 6:\u00a0<\/span><\/strong>Commodity Futures Risk Premium \u2013 Historical Analysis<\/span><\/strong><\/a>\u00a0\u2013 cool paper with a history of commodity futures risk premium going back to the year 1871<\/span><\/p>\n

Nbr. 5:\u00a0<\/span><\/strong>How to Choose the Best Period for Indicators<\/span><\/strong><\/a>\u00a0\u2013 our short article about the basics of walk-forward methodology and about the averaging of indicator\u2019s periods over a robust area<\/span><\/p>\n

Nbr. 4:\u00a0<\/span><\/strong>Case Study: Quantpedia\u2019s Composite Seasonal \/ Calendar Strategy<\/span><\/strong><\/a>\u00a0\u2013 a short case study about the basic seasonal \/ calendar trading strategies<\/span><\/p>\n

Nbr. 3:\u00a0<\/span><\/strong>Commodity Futures Predict Stock Market Returns<\/span><\/strong><\/a>\u00a0\u2013 stock market returns of some emerging market countries are dependent on the returns of some commodities<\/span><\/p>\n

Nbr. 2:\u00a0<\/span><\/strong>Momentum Explains a Bunch Of Equity Factors<\/span><\/strong><\/a>\u00a0\u2013 a lot of equity factors can be explained with momentum anomaly<\/span><\/p>\n

Nbr. 1:\u00a0<\/span><\/strong>Three Methods to Fix Momentum Crashes<\/span><\/strong><\/a>\u00a0\u2013 analyzes three momentum risk management techniques \u2013 idiosyncratic momentum, constant volatility-scaling, and dynamic scaling<\/span><\/p><\/blockquote>\n","protected":false},"excerpt":{"rendered":"

1. \ub9ac\uc11c\uce58\uac00 \ud2b8\ub808\uc774\ub529\ube44\uc9c0\ub2c8\uc2a4\uc5d0\uc11c \ucc28\uc9c0\ud558\ub294 \ube44\uc911\uc740 \ud68c\uc0ac\ub9c8\ub2e4 \ub2e4\ub985\ub2c8\ub2e4. \uc55e\uc11c \uc18c\uac1c\ud588\ub358 NewFound Research\ub098 \uc81c\uac00 \uc790\uc8fc \uc18c\uac1c\ud588\ub358 Alpha Architect\uc640 \uac19\uc740 \ud68c\uc0ac\ub4e4\uc740 \ub9ac\uc11c\uce58\ub97c \uc911\uc694\ud558\uac8c \ub2e4\ub8f9\ub2c8\ub2e4. Newfound Research\ub77c\ub294 \uc6b4\uc6a9\uc0ac\uac00 \ubc1c\ud45c\ud55c 2019\ub144 \ub17c\ubb38\ub4e4 \ub17c\ubb38\uc744 \uc77d\uc5b4\uc8fc\ub294 \ud2b8\ub808\uc774\ub529\ud68c\uc0ac \uacfc\uac70\uc640 \ub2ec\ub9ac \ud559\uc220\ub17c\ubb38\uc5d0 \ub300\ud55c open-access\uac00 \ubcf4\ud3b8\ud654\ud558\uba74\uc11c SSRN, arXiv, RePEc, PMC \ud639\uc740 ResearchGate\uc744 \ud1b5\ud574 \ub17c\ubb38\uc744 \uc27d\uac8c \uad6c\ud560 \uc218 \uc788\uc2b5\ub2c8\ub2e4. \ub2e4\ub974\uac8c \ub9d0\ud558\uba74 \uc790\uccb4\uc801\uc73c\ub85c \ub9ac\uc11c\uce58\ub97c \ud560 \uc218 \uc788\ub294 \uc5ed\ub7c9\uc774 \ubd80\uc871\ud558\ub354\ub77c\ub3c4 \uc801\uc740 \ube44\uc6a9\uc744 \ub4e4\uc5ec\uc11c…
Read more<\/a><\/p>\n","protected":false},"author":1,"featured_media":28225,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"nf_dc_page":"","om_disable_all_campaigns":false,"_monsterinsights_skip_tracking":false,"_monsterinsights_sitenote_active":false,"_monsterinsights_sitenote_note":"","_monsterinsights_sitenote_category":0,"_jetpack_newsletter_access":"","_jetpack_dont_email_post_to_subs":false,"_jetpack_newsletter_tier_id":0,"_jetpack_memberships_contains_paywalled_content":false,"_jetpack_feature_clip_id":0,"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"SSRN\uc774\ub098 arXiv\uc5d0\uc11c \uad6c\ud560 \uc218 \uc788\ub294 \uae08\uc735\uacf5\ud559\uacfc \uad00\ub828\ud55c \ub17c\ubb38\uc774 \ub9e4\ub9e4\uc5d0 \ud65c\uc6a9\ud560 \uc218 \uc788\ub3c4\ub85d \ubd84\uc11d\uc815\ubcf4\ub97c \uc81c\uacf5\ud558\ub294 Quantpedia!!","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2},"jetpack_post_was_ever_published":false},"categories":[7],"tags":[3414,3413,1586],"class_list":["post-28211","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-7","tag-arxiv","tag-quantpedia","tag-ssrn"],"aioseo_notices":[],"aioseo_head":"\n\t\t\n\t\n\t\n\t\n\t\n\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t\n\t\t