This is a summary of links recently featured on Quantocracy as of Sunday, 09/06/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Not another one! My fifth book… [Investment Idiocy]Well yes, I am pleased to announce that as of this week I completed final proof reading of my new book "The Art And Science of Trading"(AAST). It joins the list of my existing books with their own acronyms: Systematic Trading (ST), Smart Portfolios (SP), Leveraged Trading (LT) and Advanced Futures Trading Strategies (AFTS). Due to the inherent delays involved in global dead tree supply
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Ghost Members. Recipe for Reconstructing Historical Membership of S&P 500 from Public Sources [Dead Signals Lab]The previous note showed that a backtest with a net Sharpe of 0.63 fell to 0.06 upon applying a single filter: the point-in-time membership of the index, that is, knowing with precision which companies belonged to the S&P 500 in each month of the sample. It should be noted that a paradox was then only hinted at: the most decisive input behind that result was not any price, nor any volume
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Post-earnings-announcement drift decomposed by earnings predictability and gross profitability [Quanter Lab]Nine cohorts are cut at every anchor from the point-in-time S&P 500, three terciles of earnings predictability crossed with three of gross profitability, and each walks twenty sealed one-year windows from 2006 to 2025 at four holding periods in two book shapes: a long-short book that buys qualifying beats and shorts qualifying misses, and a long-only pair, every announcement of the cohort
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Do LLM Crowds Produce Investment Signals? An Empirical Test [Quantpedia]The integration of artificial intelligence into algorithmic trading has ignited a race to transform generative text into systematic alpha. A new paper written by Steven Edwards empirically investigates whether constructing a synthetic consensus using large language models can simulate information aggregation dynamics or if it merely acts as a sophisticated echo chamber. By utilizing an expansive
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Post-earnings announcement drift 2006-2025 [Quanter Lab]The drift the academic literature describes does not pay in large caps: form the classic quarterly surprise book and the grid nets -0.5 percent a year across eleven sectors and twenty years. The reaction to the earnings number itself still does: enter each company the day its own number is known and the same surprise measure nets +2.2 percent a year, peaks at the ten-day hold, and fades by the
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The Quantish Research Harness [Quantish]Over the past year I built an operating system for quantitative trading research: a harness that lets AI agents run the grunt work of strategy development end to end, inside rails that make self-deception structurally difficult. It recently carried two strategies from an empty folder through the full gauntlet: one crypto trend follower to a deployable, drawdown-controlled config, and one options
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Gold and macro factors [Macrosynergy]Trends in gold returns can be partly explained by the macroeconomic environment. Persistent monetary easing, dollar stability risks, and weak economic sentiment can each drive sustained demand for gold. This article shows how to construct simple point-in-time macro factors that capture these themes and combine them into a broad macro-support score that can serve as a trading signal for
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What Daily Stock Returns Tell Us About the Economy [Alpha Architect]One of the most enduring puzzles in finance is the apparent disconnect between Wall Street and Main Streetmarkets sometimes soar while the underlying economy stumbles, and vice versa. Paul Samuelson famously quipped that the stock market has predicted nine out of the last five recessions capturing the frustration economists and investors have long felt trying to extract reliable