Quantocracy

Quant Blog Mashup

Recent Quant Links from Quantocracy as of 09/26/2026

This is a summary of links recently featured on Quantocracy as of Saturday, 09/26/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Can Weakening Morning Order Flow Predict SPY Reversals? [Quantpedia]

    In a previous article Building and Testing Trend-Following Strategies on One-Minute SPY Data, we investigated whether retail activity indicators derived from one-minute SPY data could be used to construct profitable trend-following strategies. The results suggested that we are able to construct strategies that are often able to achieve superior risk-adjusted performance. In this article, we
  • The NAAIM Exposure Index: Contrarian or Continuation Indicator? [Portfolio Optimizer]

    In a previous blog post, I described the NAAIM Exposure Index, which represents the average exposure to U.S. equity markets as reported by members of the National Association of Active Investment Managers (NAAIM) in a weekly survey. At the end of August 2026, the NAAIM Exposure Index hits a value of 102.66, meaning that U.S. active investment managers were in aggregate leveraged long in terms of
  • RSI(2) mean reversion on the S&P 500, 2006 to 2025: dips, trading costs and the VIX [Quanter Lab]

    Mean reversion is the idea that a price pushed too far in a few days tends to come part of the way back. The research explains it as a trade: holders who must sell at once push the price below what the news justifies, and whoever buys from them is paid when it drifts back. We test its plainest trading form, the two-day RSI dip rule: buy a stock after a sharp two-day fall while its long trend is
  • Stat-Arb Is a Clustering Problem: Multi-View Spectral > Any Signal [Aligrithm]

    On S&P 500 names from 2000 to 2022, the best book in Raymond Leung's grid is multi-view co-regularized spectral clustering with 25 clusters, a plain long-short spread, and an Ornstein-Uhlenbeck entry and exit. After a 5 basis point charge on each leg at entry and again at exit, that book has an annualized Sharpe ratio of 0.830, a mean excess return of 2.7% a year, and a maximum drawdown
  • Stop Using Pairwise Granger (causality upgrade) [Aligrithm]

    A pairwise screen of the 64-futures book, at a 5% level and five lags, expects 1,008 false links when every cross-link is null. That book is the one in the old article "Network Momentum as a Cross-Asset Factor," and the screen is the bivariate test the old article "Stop Using Pairwise Granger: PCMCI for Financial Causality" took apart. The sequel is the object you trade. Both

Recent Quant Links from Quantocracy as of 09/24/2026

This is a summary of links recently featured on Quantocracy as of Thursday, 09/24/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tech companies that spend more on capex than their operating cash flow [Quanter Lab]

    Before the dot-com crash, the telecom companies building the internet's networks spent more on buildings and equipment than their businesses brought in, and borrowed or sold shares to pay the difference. Our thirty-year study of the tech industry found that their spending passed their own cash in 2000, and within two years they had cut it in half. Today's AI giants spend a similar share
  • Which Conformal Method Works for Which Alpha Signal? [Delphic Alpha]

    Conformal prediction is not one technique – it is a family of methods, each with its own strengths and weaknesses. Split Conformal, Mondrian, ACI, CQR – they all produce valid prediction intervals, but they behave very differently depending on the signal you feed them. It is not an implementation detail. On the same alpha signal with the same data, switching from Split Conformal to ACI turns a
  • Moving Average Distance: The Technical Indicator That Passed the Cross-Section [Aligrithm]

    Divide a stock's 21-day moving average by its 200-day moving average. That is the whole signal, and it is about as retail as a signal gets. Avramov, Kaplanski and Subrahmanyam ran it across 13,828 US firms and 1,353,679 monthly returns from July 1977 through December 2018, and the value-weighted hedge portfolio produced an annual alpha of 9.05% against the five Fama-French factors plus
  • The Part Time Trader Part 2: The Questions Before the Backtest [Algorithmic Advantage]

    Part 1 was survival first: start slow, start boring, and treat the early years as skill acquisition rather than a race to 100% a year. This part is the bridge from that idea into the actual research. The subject is relative momentum: rank a universe of stocks by how strongly theyve risen, hold the strongest, and rotate as the ranking changes. It suits a part-time trader almost perfectly. It

Recent Quant Links from Quantocracy as of 09/22/2026

This is a summary of links recently featured on Quantocracy as of Tuesday, 09/22/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Building and Testing Trend-Following Strategies on One-Minute SPY Data [Quantpedia]

    Intraday trading strategies have gained increasing attention as advances in computing power and market data availability have made intraday strategy analysis more accessible. While many trading strategies are traditionally developed and evaluated using daily price data, shorter timeframes can provide additional opportunities to identify and exploit market trends within a single trading session. In
  • I Tried A Foundational Financial LLM Model to See If It Holds Up to It s Claims: It Doesn t [Paper to Profit]

    Since the dawn of the LLM age (only few years ago), there has been a flurry of alternative approaches and fundamental remixed on the classic ChatGPT style attention transformer. In 2023, Bloomberg released BloombertGPT which was the first financial LLM and claimed that it could outperform the current state-of-the-art in financial sentiment analysis. Just last year, a PhD student in
  • State-Dependent (In)Efficiency: Meta-Learning a Directional-Change Threshold [Aligrithm]

    Barak, Razmi and Mousavi report an out-of-sample Sharpe ratio of 1.34 against 0.59 for the best static version of the identical trading logic, on 50 crypto futures from January 2022 to January 2024, with a Ledoit-Wolf bootstrap p-value of 0.008 on the difference. The machine doing the work is a LightGBM classifier that picks tomorrow's directional-change threshold out of {0.01, 0.02, 0.04}.
  • Is the Altman Z-score still relevant? The 1968 formula tested on the S&P 500 [Quanter Lab]

    In 1968 Edward Altman took sixty-six manufacturers, half of which had gone bankrupt, and found five numbers from their accounts that together told the two halves apart. His Z-score is still taught, and it is now used for a different job: as a quality screen, a way of choosing which shares to own. The reasoning is easy to follow. A low score means trouble, so a high score should mean a sound
  • The Holdout That Made the Sharpe Bigger [Jonathan Kinlay]

    The panel in my September post was supposed to have zero alpha. It didnt quite. The market factor carried a drift of 0.0002 per day and the betas were drawn N(1, 0.3), so a book that tilted towards high-beta names had a true Sharpe of about +0.22 on a panel I described as containing nothing. The generator also clipped daily returns asymmetrically, at [0.5, +1.0], which leaves a name whose
  • How much can machine learning improve losing trading strategies? [Daru Finance]

    Take a library of rules that loses money, put a model on top and let it decide which trades to take, then measure what that recovers across 420 rules, two markets and 43 months. A common pitch for machine learning in systematic trading leaves the strategies alone and puts a model on top of them. The rules keep generating signals, while a model trained on their past trades decides which signals to
  • Good vs Bad COVOL in Crypto: A Common-Volatility Tilt [Aligrithm]

    Pham, Han, Nguyen, Pham and Do build one index and then trade it backwards. In Section 5.4 they write that an RCI near zero marks "widespread panic selling and a potentially buying opportunity," and that exuberance at the top "can indicate a market peak and a potential selling opportunity." Nine pages later, in Section 6, they lever the portfolio up to 125% when the same index
  • How long should you wait before trading a newly listed perpetual? [Daru Finance]

    Crypto exchanges list new perpetual futures every week, and Binance alone has listed 832 USDT-margined perpetuals, so a research universe built on that exchange mixes contracts listed last week with contracts that have traded for years. Both kinds usually share one cost assumption and one strategy library, even though a new contract has no settled basis, no settled funding schedule and far more

Recent Quant Links from Quantocracy as of 09/20/2026

This is a summary of links recently featured on Quantocracy as of Sunday, 09/20/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • A sad day for the quant vol trading community, Vance is gone [Six Figure Investing]

    Vance Harwood passed away in September 2026 after a brief and very unexpected illness. Any clients who have posted orders can get their payments refunded via the platform chosen for payment. May his best live on in others. Should you have any important questions or concerns, contact Heidi Nordberg: hlnordberg at gmail
  • Do Airline Stocks Take Off Around U.S. Holidays? [Quantpedia]

    Holidays put people in motion. In the days surrounding major U.S. holidays, airports become busier as travelers visit their families or take advantage of extended weekends. Financial markets themselves are known to display a holiday-related seasonality. In our previous research on the Pre-Holiday Effect in Commodities, we identified a short-term price drift in crude oil and gasoline before major
  • From Alpha Signals to Portfolio [Delphic Alpha]

    Every quant hits the same wall. You have hundreds of features that look predictive in isolation. Now you need to combine them into a single portfolio. This is a worked example of that problem: 576 features, 25 instruments, 5 asset classes, daily bars. What to select, how to combine, and where it quietly breaks. 1. The Problem The investment universe is 25 instruments across 5 asset classes: equity
  • VIX regime factor tilt against a fixed factor blend, S&P 500 walk-forward 2006 to 2025 [Quanter Lab]

    A regime tilt is bought as insurance: lean into momentum while the market is calm, into quality when it is stressed, and keep your head in a crash at little cost in between. The premium is rarely priced with the rule held fixed, because most tests choose the thresholds after seeing the crashes. This one fixed them before the walk and printed the bill year by year. Two portfolios hold thirty
  • The Invisible Drawdown: 150 Years of Cash Returns [Beyond Passive]

    There is 150 years of data on stocks, on bonds, on gold, and on property. On the asset most people actually hold, there is almost nothing. Cash has no volatility, so there seems to be nothing to measure. That turns out to be the wrong conclusion. What is actually guaranteed A Treasury bill promises a number. You put in a hundred, and in three months you get back a hundred plus a little, and the
  • Is Trend Still Your Friend? A Microstructural Explanation for Demise of Short-Term Trend-Following [Alpha Architect]

    Trend following is one of the oldest and most persistent anomalies in finance. The evidence that recent winners continue to outperform recent losers has been documented across virtually every liquid asset class, stretching back at least two centuries. It stands in direct opposition to the Efficient Market Hypothesis, yet it has survived out-of-sample testing, multiple market regimes, and decades
  • Overnight returns on the S&P 500: close-to-open premium, trading costs, and why NightShares funds closed [Quanter Lab]

    The overnight gain is real. Since 1993 nearly everything the S&P 500 paid came between the close and the next morning's open, and a dollar held in SPY only overnight ended more than ten times above a dollar held only through the trading day. Every year someone puts this back into circulation as a discovery, with a table of small stocks whose night returns run to thousands of times and a
  • Trend Quality Near Settlement: A Kalshi State Variable, Not Alpha [Aligrithm]

    A 70.8% continuation rate looks like a trade. Greene sorts 4,061 Kalshi contracts by the quality of their price trend over the window from 30 to 12 minutes before close, and the top decile keeps moving in the trend's direction 70.8% of the time against 51.2% in the bottom decile. Ex-post forecast error falls from 14.75 cents to 6.07 cents across the same sort. Both gaps carry contract-level
  • Addendum: five more weeks of data [Tommi Johnsen]

    When we published that piece we said a re-test was scheduled and that we would report it whichever way it came out. It has now run, on data through 18 September. Here is what it found, and what it changes. The short version. On all the data together the result is stronger and cleaner than what we published. On the five weeks of genuinely new data considered alone, the size of the effect held up
  • Backtest a Profitable Trend-Following Strategy using Python [Concretum Group]

    We wanted to see whether a long-only, rules based algorithm applied to US industries could remain profitable over a full century. Our paper written with Gary Antonacci, A Century of Profitable Industry Trends, answers exactly that. Using Kenneth Frenchs industry data from 1926 to 2024, the strategy delivers 18.2% compounded per year, with 12.6% volatility and a Sharpe ratio of 1.39. For
  • Macro demand factors and rates trading strategies [Macrosynergy]

    Macroeconomic theory suggests that aggregate demand for goods and services is a key determinant of interest rates. Interest rates regulate demand strength or weakness through market-based financing conditions and central-bank reaction functions. If financial markets do not immediately incorporate all information contained in macroeconomic trends, excess-demand pressures should help predict

Recent Quant Links from Quantocracy as of 09/16/2026

This is a summary of links recently featured on Quantocracy as of Wednesday, 09/16/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Fama-French factors inside the S&P 500: walk-forward 2006 to 2025 [Quanter Lab]

    Fama and French sort every US stock on the signal at the end of June, hold the top thirty percent weighted by market value, and quote the spread against the bottom thirty percent. A fund that sells the factor holds something near that, restricted to large caps. A private investor who reads about the same factor buys thirty names and weights them equally. The three are assumed to be one trade at
  • Momentum Mini-Portfolio Development – Part 3: ASX Momentum [TradeQuantiX]

    As many of you know, I trade the US, ASX (Australian), and TSX (Canadian) markets systematically. And hopefully in the near future Ill be adding even more markets. It puzzles people why I trade markets other than the US. The US has to be the best, right? Its the biggest and has the most volume, so surely every trading opportunity I could ever need lives in the US market… right? I get this
  • The Activist Who Only Won Among the Survivors [Dead Signals Lab]

    The first two autopsies of this series documented two species of the same family of errors: the inclusion look-ahead, which contaminates the list of names that enter the backtest, and the execution look-ahead, which contaminates the price at which the purchase is assumed to have happened. The present note documents the third species, found in an experiment on shareholder activism, and with it the
  • Predictive Value of Within-Strategy Permutation Tests for Forward Selection [Daru Finance]

    A large-scale empirical test of whether within-strategy Monte Carlo permutation testing, a standard validation step in quantitative strategy development, actually improves forward-looking strategy selection. Across 437,911 strategy configurations on nine instruments spanning crypto, forex and commodities, 160 walk-forward windows, and 26.5 billion permutations end-to-end, the answer is no, but for
  • Do Intra-Bar Timestamps Carry Alpha? OHLC + Timing Features [Aligrithm]

    Bloomberg started selling the clock inside the bar. Not just the high price for the minute, but the second at which the high printed, the same for the low, the first and last trade times, condition-code tick counts, and a Bloomberg VWAP for the interval. Ruslan Tepelyan trained three neural networks on that feed across the Russell 3000 for all of 2021 and reports that the timing features improve

Recent Quant Links from Quantocracy as of 09/14/2026

This is a summary of links recently featured on Quantocracy as of Monday, 09/14/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Tom Carlson s Adaptive 60/40 Portfolio: Momentum-based Selection of Stock Diversifiers [Portfolio Optimizer]

    Welcome to 2026, where bonds no longer diversify stocks, volatility remains elevated and inflation isnt going anywhere1. This is the dramatic, although factual, opening of Basis Pointss video Morgan Stanleys asset allocation playbook for the next 5 years. As a consequence, the 60/40 Portfolio – invested 60% in stocks and 40% in bonds – which for decades has stood as the institutional
  • Do Analyst Upgrades Beat the Market? We Scored 22,000 Rating Changes [Talval]

    Every trading day brings a wave of upgrades and downgrades, each one moving a share price and none of them ever audited. The reason is mundane: to score a call you need the price on the day it was made, and that is the one thing almost nobody keeps. We keep it. Our records hold 149,587 analyst rating changes with the price at the moment of the call, going back to May 2016, with the firm named on
  • Piecewise-Linear Regime Identification (Interpretable, No Black Box) [Aligrithm]

    Fit a connected piecewise-linear trend to the Swiss Leaders Index with fifteen breakpoints and you get an in-sample R-squared of 0.954. Fit the same model to a driftless random walk of the same length and you get 0.966. I ran 200 of them. The noise wins at every single value of K, from zero breakpoints to fifteen. Whatever the 0.954 is measuring, it is not evidence that the SLI has regimes. This
  • Barrier Crossings to Terminal Distributions: Skellam-Based Options Pricing for 0-DTE Markets [Quantpedia]

    The explosive growth of hyper-liquid 0-DTE markets has pushed traditional options pricing infrastructure to its breaking point, as continuous Black-Scholes calculus can collapse into an unusable point mass at expiration. Rather than patching a broken formula with hand-fitted tweaks, a new paper suggests dismantling legacy math by replacing continuous geometric Brownian motion with a discrete,
  • Reflexivity and the Dynamics of Option Markets [Relative Value Arbitrage]

    Reflexivity is the process through which market participants actions influence the very market variables on which their decisions are based, creating feedback effects. In this post, we discuss how reflexivity manifests itself in options hedging and how it can be explicitly incorporated into option pricing models. Feedback Effect in the Foreign Exchange Market The BlackScholes-Merton (BSM)

Recent Quant Links from Quantocracy as of 09/12/2026

This is a summary of links recently featured on Quantocracy as of Saturday, 09/12/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Piotroski F-score backtest on the S&P 500, point in time, 2000 to 2025 [Quanter Lab]

    Piotroski's F-score is the screen every value investor has run: nine yes-or-no questions on the last two annual statements, a point for each yes, buy the eights and nines. Piotroski (2000) built it for the cheapest fifth of the market by book-to-market, where a positive return on assets was information and the high scorers earned 7.5 percentage points a year more than the group between 1976
  • Strategy Recalibration Breakout [Handelsmeisterei]

    This report evaluates the Breakout strategy through signal diagnostics, parameter selection, robustness testing, and portfolio integration. It examines whether historical performance holds up under recent conditions and whether the strategy adds value to the portfolio. Despite strong results over the full sample, weaker recent performance and substantial overlap with existing strategies support
  • Dividend capture strategy backtest [Quanter Lab]

    Dividend capture is sold as income on a calendar: buy the stock at the close before the ex-date, the payment is yours, sell the next day. On the ex-date the price falls, and the trader keeps only the part of the payment the price did not take back, minus the spread both ways. Elton and Gruber measured the fall at about four fifths of the payment in 1970. We expected the fall to match the payment
  • The Wisdom of 100 Strategies: Using Aggregate TAA Allocation as a Trading Signal [Allocate Smartly]

    We track 100+ Tactical Asset Allocation (TAA) strategies. A unique feature of our platform is our Aggregate Allocation Report, a daily snapshot of the average asset allocation across all of the strategies we track. To illustrate, in the graph below we show the aggregate allocation over the last 3 years, summarized by asset category. Note the increase in defensive allocation (ex. cash and bonds)

Recent Quant Links from Quantocracy as of 09/08/2026

This is a summary of links recently featured on Quantocracy as of Tuesday, 09/08/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • The Missing Asset: 120 Years of Global Stocks, Bonds and Gold Through Inflation Regimes [Beyond Passive]

    The first two articles in this series measured what one countrys stocks and bonds did over 150 years and found that the country decided most of it. This one holds all sixteen, adds gold, and asks what the combination does in each economic regime, and whether the trend rule from the fourth trend-following article changes the answer. What is held The equity sleeve holds sixteen countries in equal
  • European country rotation vs sector rotation [Quanter Lab]

    Every European rotation system in circulation treats the country as the unit of risk. The people who run these books rank Germany against Spain against Sweden and call the result a country bet. A European country index is a concentrated sector bet: banks carry the south, pharma and staples carry Switzerland. So the question here is whether European country rotation is already sector rotation, and
  • SPX Options Database: Databento vs. Cboe DataShop [Concretum Group]

    As we recently anticipated to our readers, we are expanding our research effort into listed US options. As usual, the first step is building a reliable historical database. For our work on SPX options, that means finding a source of clean, consistent, and usable intraday data. Cboe DataShop is widely used in both academic and practitioner research on SPX options. Several recent studies on 0DTE

Recent Quant Links from Quantocracy as of 09/06/2026

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!

  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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
  • 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

Recent Quant Links from Quantocracy as of 09/03/2026

This is a summary of links recently featured on Quantocracy as of Thursday, 09/03/2026. To see our most recent links, visit the Quant Mashup. Read on readers!

  • CAPM after Markowitz: Portfolio Choice Meets the Market [Spatium Novum]

    Beta began as a way to compress a covariance matrix. The CAPM turned it into the equilibrium measure of exposure to aggregate market risk, priced by the market premium. Markowitz maps beliefs to portfolios. With common beliefs, a risk-free asset and market clearing, the CAPM adds one decisive identity: the common tangency portfolio must be the value-weighted market portfolio. The Capital Market
  • I built paper-spec crypto strategy on 5.8 years of data. It’s lost money every year since 2024 [Strat Proof]

    The literature on crypto quant trading keeps citing cross-sectional momentum as a durable edge with Sharpe around 1.1 to 1.5. I built exactly the paper spec, ran it against 303 weekly rebalances across 10 majors, no parameter tuning, no regime filters, no cheating. Annualized Sharpe came out at 0.37. It has been negative for the last 86 weeks straight. Here's what the run actually looked like
  • EigenScore is Live: The First Rated Contest Platform for Quants [Vertox Quant]

    For the past months, almost every free hour I had went into one thing. Today its live. eigenscore.com In quant, everyone claims to be good, and there's no arena to settle it. Competitive programming solved that twenty years ago with rated contests. I built the same thing for us. What it is EigenScore is a competitive platform for quants: a problem archive and rated contests with a
  • Dalio Holy Grail walked 2008-2025 [Quanter Lab]

    The most liquid fund shelf a person can buy holds 3.3 independent bets. Dalio's chart needs fifteen. The Holy Grail of investing, in his words: find fifteen good, uncorrelated return streams and risk falls by roughly eighty percent while return stands still. At correlation zero, fifteen equal streams carry a quarter of one stream's volatility. Whether the shelf a person can actually buy