Quant Mashup - Aligrithm

How to Spot a Fake ML Trading Paper [Aligrithm]

Three papers crossed my desk this month. One detects market manipulation with graph neural networks and reports 98.7% accuracy at 8.3 milliseconds per decision. A second, same author cluster, detects anomalies in high-frequency trading and reports a 15% accuracy improvement with an F1 of 0.915. A(...)

Stop Using Pairwise Granger: PCMCI for Financial Causality [Aligrithm]

Run pairwise Granger tests over a basket of thirty instruments and you get a causal network that looks like a plate of spaghetti. AUD/USD drives copper, copper drives the Aussie back, oil leads the loonie, the loonie leads oil, and somewhere in the mess a small-cap ETF appears to Granger-cause the(...)

Bid-Ask Spread From OHLC: The GMM Estimator That Beats Roll/CS [Aligrithm]

You backtest a strategy, subtract "a spread" for costs, and move on. Where did that number come from? If you typed in a guess, or pulled a single quoted spread from a vendor, you are almost certainly wrong, and wrong in the one direction that flatters your worst assets. The effective(...)

The Mathematics of Machine Learning, for Traders [Aligrithm]

You already ran the models. The old article "From One Tree to Forests to Boosting" walked you from a single decision tree to XGBoost, "How a Decision Tree Engineers a New Alpha" showed a tree carving conditional edges out of order-book features, and "Ridge Above 1h, XGBoost(...)

The Signal Ceiling: Why No Single-Bar OHLCV Edge Beats Costs in MNQ [Aligrithm]

Open any retail futures forum and you will find the same fourteen setups traded as gospel: the opening range breakout, the gap fade, the gap continuation, the volume spike, the liquidity grab reversal, the Asia session expansion. Each comes with a chart, a win rate, and a story about why it works.(...)

Fair Value as an Adaptive Low-Pass Filter: LAFO for Mean Reversion [Aligrithm]

Every mean-reversion trade starts with a lie you tell yourself about where price "should" be. You call it fair value, you subtract it from the spot price, and you bet the gap closes. Most traders reach for a moving average and stop thinking. Xu, Firoozye, Koukorinis, Treleaven, and Zhu at(...)

Bitcoin's Overnight Returns Forecast the VIX [Aligrithm]

Split one Bitcoin day into two pieces and only one of them predicts anything. The piece that runs while US stock exchanges are closed, from yesterday's 4pm close to today's 9:30am open, carries a signal for tomorrow's VIX. The piece that runs while those exchanges are open carries(...)

Chicken and Egg: Use the SPX to Time the VIX, Not Vice Versa [Aligrithm]

Twenty years of retail research points the arrow one way. You read the VIX, and the VIX tells you where the S&P 500 is going. Oversold VIX means complacency, sell stocks; spiked VIX means panic, buy the dip. Connors built a cottage industry on it, and every trading forum still runs some version(...)

Momentum Is a Ranking Problem: Learning-to-Rank vs Regress-then-Rank [Aligrithm]

Cross-sectional momentum has one job: at each rebalance, order a universe of assets from worst to best, buy the top, sell the bottom. Everyone agrees on that. Where strategies quietly disagree is on how they produce the order. Classic momentum sorts on the past twelve-month return. A neural net(...)

Can Machines Learn Weak Signals? Ridge > Zero > Lasso [Aligrithm]

Feed 920 firm characteristics into a Lasso to predict next month's stock returns and it will do something that should stop you cold: it loses to a model that predicts zero for every stock. Not "underperforms a good benchmark." Loses to the number 0. Shen and Xiu prove this is not bad(...)

Percentile-Rank Momentum With Hysteresis: Low-Churn Signals [Aligrithm]

Momentum is the oldest anomaly in the book, and a new momentum paper has to justify why it exists. Landolfi's percentile-rank framework does not sell you the momentum. It sells the plumbing around it: rank each move against its own sign-consistent history instead of a raw threshold, gate(...)

State-Space Models for Price: CryptoMamba vs Transformers (Skeptical) [Aligrithm]

Every few years a new architecture gets pointed at Bitcoin and a paper announces it won. This round it is Mamba, the selective state-space model that is genuinely reshaping language and vision. Sepehri, Mehradfar, Soltanolkotabi, and Avestimehr at USC built CryptoMamba, a compact Mamba network that(...)

Network Momentum as a Cross-Asset Factor [Aligrithm]

Momentum is the one factor nobody argues about. Winners keep winning, losers keep losing, and the effect shows up in stocks, bonds, commodities, and currencies across a century of data. The old article "From Intermarket Analysis to Network Momentum" pushed a harder claim: an asset's(...)

Trend-Following P&L Is a Function of Autocorrelation (Closed Form) [Aligrithm]

Ask a CTA salesperson why their fund makes money and you get a story: markets trend, we ride the trend, we cut losers and let winners run. That story is untestable. Sepp and Lucic did something the industry rarely does. They wrote down the exact profit-and-loss of a standard European trend-follower(...)