BC SOCIETY
Saved by @Mollyycolllinss

A few things that I didn't cover yesterday when I talked about equity factor models (it's a huge area and it's impossible to more than scrape the surface)

 1. How do you get the exposure matrix Xt?

There are different ways to estimate it, depending on the factor. Simplest is factors like industry or country exposure where the entries can be 0/1 depending on whether the stock is in that industry/country or not.
Some exposures can be estimated by linear regression on historical data, if you already have a time series which approximates the factor returns. E.g. exposure to the market factor (beta) is estimated this way, by regressing each stock against the S&P 500 (or some other index)
This also works for "macro" factors e.g. you can estimate exposures for each stock to commodity prices, exchange rates, interest rates, GDP or inflation surprises etc by regressing stock returns against the relevant historical time series.
Finally you can have exposures which are heuristically derived from other observable data about the stock, e.g. accounting data, analyst reports, past price movements etc. In this case you find some metric which measures the factor you care about (e.g. price to earnings) and
transform it so that it has a nice distribution in the cross-section - common approaches are z-scoring (subtract mean and divide by standard deviation) or ranking (the stock with the lowest metric gets exposure -1, highest gets +1 and others are linearly spaced between -1 and +1)
You want all the entries in the exposure matrix to have a similar scale (generally -3 <= X(i,j) <= +3 for all entries) as this makes it much easier to compare the factors with each other.
Implementation note -- with linearly dependent factors (e.g. each stock is in exactly one industry so sum of industry exposures equals market exposure) you can't use the normal equations below. You need a constraint on the factor returns. https://t.co/miAGIQPBV5
(Normally you would require the sum of all industry factor returns to be zero, sum of all country factor returns to be zero etc)
2. How many factors do you need?

It varies depending on the application. The simplest models would have just a few, maybe the market factor plus a couple of others that you care about (think about Fama-French 3 factor or 5 factor model) but it will normally be more.
A quant equity market neutral strategy might have a market factor, 20-40 industry factors, maybe ~10 country factors, 0-10 other risk factors (e.g. commodity exposure, currency exposure) and 10-50 alpha factors. So anywhere from 30-100 factors would be pretty common.
3. Wait, so you can literally make a factor out of anything?

Yes -- you hear a lot about the well known ones like value, momentum quality etc but there are hundreds of others which are widely known in academia and industry and thousands of proprietary in-house factors.
One way to tell if a factor is meaningful is to see how well it explains risk in the cross-section (equivalently what is the volatility of the factor return). For example the US market factor has ~20% annualized vol, a big factor like momentum will have 8-10% annualized vol, and
other factors that explain a meaningful component of returns might have 3-6% annualized vol. By comparison a random factor (literally generate random factor exposures between -1 and +1 each day) will have annualized vol of ~1% on the top 2,000 US stocks.
So if your factor return has only 1-2% annualized vol it is probably not explaining much risk. It may still have a positive expected return, but I would be skeptical whether that is real vs. over-fitting to past data.

More from Society

Doga Queen //: Beyond Your Boundary
Doga Queen //: Beyond ...
@QueenDoga
We have to talk Crunchyroll yet the fuck again, but this time over a issue with Translation in the Zombie Idol recent episode but first i need to apologize to .@BigBootyWitches because i got it wrong between trans and futa but it turns out we all got played by Crunchy...

first off. One Poster i retweeted turned out to say that Lily, is more of a Ototo No Ko. She later confirms from those that watch the show in Japan that the audio doesnt match the translation and the translation itself was a self insert.

This is the major problem I have. Look, i get it. The west still has no handle on these issues. Other countries dont raise a huge fit about it and in Asia certain countries societies dont really accept it and some reluctantly accept it.

But this continuation of the bullshit from Crunchy since High Guardian Spice is beyond the pale. They lied about helping the Japanese animators. They lied about their new projects and their dubs, Funimation took most of their projects away from Crunchy...

And now, so desperate for relevance and kicks and outrage, they do this self insert, just to get some of their more conservative folk on edge, ranting about how they left one "pozzed" medium with the western animation industry to see the "pozz" get into the only thing left...
SOCIETY
Arielle Selya
Arielle Selya
@ArielleSelya
1/14 How do e-cigarettes (ECs) affect cigarette smoking among youth? My new paper with @FloeFoxon simulates each scenario and finds out which one best matches actual trends... https://t.co/dBB7kcnTls @jgitchell @mikepesko @SwitchFinder @jkelovuori @TobPolicy @Clive_Bates

2/14 First, let's talk about why this question is so difficult to answer: COUNTERFACTUALS. We can't know the alternate-reality answers, like which smokers would have never started in a world without ECs, and which nonsmokers would now be smoking without ECs as an option.

3/14 So, the best we can do is use fancy/sophisticated methodologies to estimate what would have happened to youth smoking rates in the absence of ECs. In our case, simulation modeling


4/14 First, we look at the declining smoking trends *that were already happening* before ECs came (~2010), and project them into the present. This is our BASE-CASE SCENARIO about what smoking trends would be if ECs were never invented. Actual trends were LOWER than this base-case


5/14 Side note about terminology: We use the term “catalyst” instead of “gateway,” because “catalyst” is more precise about the claim we are modeling (that ECs are used first, and then causally lead to smoking). Whereas "gateway" can include other mechanisms like renormalization.
SOCIETY
Advertisement
Michael Grunwald
Michael Grunwald
@MikeGrunwald
My dad’s first memory is hiding under a table 80 years ago tonight, when Nazis took his dad to Dachau on #Kristallnacht.

His parents, my Omi and Opi, always considered themselves more German than Jewish, so they didn’t think they’d get swept up in the madness.

Opi was taken to city hall with other Jews and lined up against a wall. He thought he was going to be shot.

He always remembered when they got to Dachau there were pajamas with Jewish stars waiting on their cots. Obviously not a spontaneous thing.

He was very lucky. His family got him a fake Uruguayan visa and he was out of Dachau six weeks later. “Before Christmas,” my dad recalls.
SOCIETY
Miss iCy Cold
Miss iCy Cold
@Credible_Intel
OK winger wonderland story time boys & girls.

1. Sleet stops, it's warming up, neighbor decides get out & drive, probably after seeing some truck drive down our residential road (4-wheel drive). Neighbor has new SUV push button start, 2-wheel drive, which is NOT THE SAME THING.

2. So anyway, they back out of their garage & then pull forward down their driveway. The driveway is flat, but it's also a really really long driveway that goes from the back of the house down the side of the house. This will be important later.

3. They make it down the driveway just fine, so now super confident this will go well.

They pull out on our little residential road and start driving.

Mother nature is laughing her ass off right about now.

4. I should mention the roads through our little subdivision don't have curbs or sewers. We're basically out in the country so they just slope roads so the run-off goes into a ditch at the side of the road.

5. So anyways, their SUV starts to slightly fishtail. They haven't gone far at this point. So, they stop, and the SUV, although stopped, just ever so slowly slides to the side of the road and ends up half way in the ditch & almost tipped over.
SOCIETY
houston policy scrap fighter
houston policy scrap f...
@zoyamiddleton
Since a lot of my fellow Texans are going to apply for aid through @FEMA let’s talk about the agency and some of the barriers disaster survivors encounter and persisting program flaws.

First things first, @FEMA is part of the Department of Homeland Security. Here’s a blog I wrote about its history and shortcomings in how the agency is funded:

Many people will be applying for Individual Assistance (IA), but past disasters have shown us that help isn’t evenly distributed and frequently struggles to reach those in deepest need. This unpacks some of the class bias in accepted/rejected apps:

Of course, there are racial dimensions to this as well:

Documentation is seen as helping reduce fraud, but after a disaster many docs are destroyed. People who are denied assistance and appeal are often told to make small changes to the documents they provide or provide updated documentation b/c of how long the aid process takes.
SOCIETY

You May Also Like

Anshul Pandey
Anshul Pandey
@Anshulspiritual
TYPES OF SINS(PAAP) AS PER SKAND PURAN.

There are three types of Adharma- Sthool, Sukshma and Ati Sukshma. The group of Sins in the Sthul section carries you to Narak. These sins are committed through your thoughts, words and deeds.


It is of four types.

1)First is the sin committed by your mental state-
Thinking about woman other then your spouse.

A)Resolution to amass wealth from others.

B)Thinking ill about others.

C)Thinking of doing a forbidden or unworthy deed.

2)Second is the sin that you commit through your words :-

A)Talking irrelevant things.

B)Telling a lie.

C)Speaking harshly.

D)Talking ill about others.

3)Third type of sin is committed through your body actions-

A)Eating food not prescribed to you or forbidden.

B)Violence.

C)Eating fancier food.

D)Acquiring other's wealth.

So these twelve types of sins.

There are six types of sinners or Mahapatak

1)One not bowing his head in front of a temple.

2)Never praise Shiva.

3)People who behave untowardly way in front of Ishwar.

4)People who do not show respect to Ishwar, guru or one who are undignified.

5)One who do not behave properly.

6)One who is jealous of other bhakts.

Below is the list of sins which people may commit.

1)One who does not help a needy person or a person in pain,
RELIGION
Jeet Heer
Jeet Heer
@HeerJeet
1. Now that Stan Lee is being eulogized far and wide, it's important to remember how marginal Stan Lee and his collaborators (Jack Kirby and Steve Ditko) were in the 1950s and 1960s.

2. Marvel Comics (before that Atlas) was just a cog in the machine of a bottom pulp publisher run by Martin Goodman, the husband of one of Lee's cousins. It was the lowest of the low in the publishing world.

3. Now Mario Puzo (not yet the author of the Godfather) shared offices with Stan Lee in the 1950s and 1960s. Puzo wrote for garrish men's adventure magazines and, like Lee, dreamed of writing a novel & breaking out. But Puzo looked down on Lee.

4. Flo Steinberg, 1960s secretary at Marvel: "They were always making jokes about us. They'd come in and giggle. mario Puzo would look in and would see us all working on his way to the office and say, 'Work faster, little elves. Christmas is coming.'"

5. When JFK was killed, the whole office of Magazine Management was stunned and quiet. Except Lee. He continued working. "He was still working on the comic books," Puzo said. "Like that was the most important thing in the world."
CULTURE
Advertisement
Billy Bostickson \U0001f3f4\U0001f441&\U0001f441 \U0001f193
Billy Bostickson 🏴👁&👁 ...
@BillyBostickson
Keep dwelling on this:
Further Examination of the Motif near PRRA Reveals Close Structural Similarity to the SEB Superantigen as well as Sequence Similarities to Neurotoxins and a Viral SAg.

The insertion PRRA together with 7 sequentially preceding residues & succeeding R685 (conserved in β-CoVs) form a motif, Y674QTQTNSPRRAR685, homologous to those of neurotoxins from Ophiophagus (cobra) and Bungarus genera, as well as neurotoxin-like regions from three RABV strains

(20) (Fig. 2D). We further noticed that the same segment bears close similarity to the HIV-1 glycoprotein gp120 SAg motif F164 to V174.
https://t.co/EwwJOSa8RK


In (B), the segment S680PPRAR685 including the PRRA insert and highly conserved cleavage site *R685* is shown in van der Waals representation (black labels) and nearby CDR residues of the TCRVβ domain are labeled in blue/white
https://t.co/BsY8BAIzDa


Sequence Identity %
https://t.co/BsY8BAIzDa
Y674 - QTQTNSPRRA - R685
Similar to neurotoxins from Ophiophagus (cobra) & Bungarus genera & neurotoxin-like regions from three RABV strains
T678 - NSPRRA- R685
Superantigenic core, consistently aligned against bacterial or viral SAgs
ALL
sriram
sriram
@SriramKannan77
'Treasure Gods' - Sangha Nidhi' and 'Padma Nidhi', Tirumala, Tirupati.

------------------------------------

These are the two guards guarding the Wealth and Treasure of Lord Sri Venkateswara.

They are representatives of two treasures of Kubera, the God of Wealth.


One guard who is holding shangam (conch) on both the hands is known as Shanka Nidhi ('nidhi' means wealth).

On the other side, the guard who is holding Lotus flowers on both the hands is known as Padma nidhi.

Shangu is from the ocean which includes all types of wealth like pearls and corals.

Why shagam in his hand? Because shangam only gives the sound of 'omkaram'.

'Padmam' is the symbol of water sources in land like river, lakes, tanks etc. which is very important for all living beings.

As per the tradition, these guards are installed at the third entrance of the temple.

One enters the holy shrine after saluting the first protection threshold - Sankha Nidhi and Padma Nidhi.
ALL
Vibhu Vashisth
Vibhu Vashisth
@VIBHU_Tweet
THE LESSER KNOWN MAHARANA OF MEWAR:RANA KUMBHA
Kumbalgarh Fort is one of most spectacular sites of India,atop a hill abt 3600ft above sea lvl in the https://t.co/LkjmzzBhE2's second largest wall is surrounding it.A fort wall second only to Great wall of China,still not so famous.


This longest wall of India stretches to almost 36Km and encompasses a few hills, many step wells and over 360 temples and palaces. Birth place of the Great Maharana Pratap, this fort is named after another Great Maharana of Mewar, who is not given his due in the History.


Builder of many architectural marvels like the Kumbhalgarh Fort, an erudite scholar, a patron of arts, music, culture & a great warrior was the Great Maharana Kumbha. Yet we don't know much about him. Let's get to know him a little.


Maharana Kumbha was the undefeated King of Mewar from 1433-1468CE.He never lost any battles &kept Mewar out of the reach of Islamic Invaders till the time he was alive. Born on Makar Sakranti to Maharana Mokal & Saubhagya Devi, Rana Kumbha was only 13 when he ascended the throne.


His father was killed by his own relatives in a political conspiracy. He was a powerful King about 8ft tall &charismatic personality,a hardcore Hindu Rajput who could shed his life for Hindu honour without thinking twice.He was an ardent skillful warrior who never lost a battle.
ALL