Quantocracy

Quant Blog Mashup

Recent Quant Links from Quantocracy as of 12/02/2025

This is a summary of links recently featured on Quantocracy as of Tuesday, 12/02/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Using the OECD Composite Leading Indicator + Momentum to Time the Market [Allocate Smartly]

    This is a test of Grzegorz Links Enhanced Global Growth Cycle (GGC) strategy. Like the original GGC, this enhanced version uses the OECD Composite Leading Indicator to determine risk exposure, but unlike the original, it also considers momentum to determine the specific risk on/off assets to hold. Backtested results from 1961 follow. Results are net of transaction costs see backtest
  • Using the OECD Composite Leading Indicator + Momentum to Time the Market [Allocate Smartly

    This is a test of Grzegorz Links Enhanced Global Growth Cycle (GGC) strategy. Like the original GGC, this enhanced version uses the OECD Composite Leading Indicator to determine risk exposure, but unlike the original, it also considers momentum to determine the specific risk on/off assets to hold. Backtested results from 1961 follow. Results are net of transaction costs see backtest
  • Academic Anti-Science [Anton Vorobets]

    This is a longer edition of the Portfolio Construction newsletter, presenting the many ways that I have witnessed anti-scientific tendencies in finance and economics academia. If you are fully aware of these, and just want to skip to the popular posts recap, this is available at the bottom of the post. The TL;DR version is that the current academic system seems to foster a nepotistic environment

Recent Quant Links from Quantocracy as of 12/01/2025

This is a summary of links recently featured on Quantocracy as of Monday, 12/01/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Switch-off: Robust changepoint protocol [Trading the Breaking]

    Introduction. The drift in algorithm performance. Taxonomy of performance drift. Model risks and limitations. Robust estimation and the biweight loss. M-estimators and the geometry of influence. Tukeys Biweight (bisquare) loss. Iteratively Reweighted Least Squares (IRLS). Regime segmentation via penalized dynamic programming. The PELT Algorithm (Pruned Exact Linear Time). The pruning
  • New Site: Traders Are Watching the Wrong Metric: Why Rate Cuts Alone Don’t Move GBP/USD [FX Macro Data]

    Every Fed or BoE rate cut is accompanied by headlines predicting a market reaction. Traders refresh charts, expecting a sharp move in GBP/USD, but decades of data tell a different story. Analysis shows that, on the day of the announcement, the currency barely budges. In fact, most of the action happens before the policymakers even speak. 1. Fetching the Data To understand whether rate cuts are
  • EMNLP 2025 in Suzhou [Gautier Marti]

    This year at EMNLP 2025 in Suzhou, my colleague Khaled Al Nuaimi and I attended the conference so that Khaled could present his paper on Evasive Answers in Financial Q&A, and also to explore current R&D trends in empirical NLP. While walking through the poster sessions, we saw a dozen of papers closely related with our recent contributions and joint research program with Khalifa
  • The Effectiveness of Collar Structures in Equity and Commodity Markets [Relative Value Arbitrage]

    There are several popular options strategies frequently discussed in the trading and investing literature, as well as on social media. In a previous post, we examined the effectiveness of the covered call strategy, which has gained wide adoption among retail investors. In this edition, we extend our critical evaluation to another widely used approachthe options collar, a strategy employed by

Recent Quant Links from Quantocracy as of 11/30/2025

This is a summary of links recently featured on Quantocracy as of Sunday, 11/30/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Systematic Edges in Prediction Markets [Quantpedia]

    Prediction markets are financial platforms where participants trade contracts linked to future events, with prices reflecting collective probabilities. While these markets efficiently aggregate information, systematic inefficiencies create trading opportunities. Notable strategies include inter- and intra-market arbitrage, exploiting price differences across platforms or mispricing within a single
  • Deep Latent Variable Models [Gatambook]

    In our previous blog post, we introduced latent variable models, where the latent variable can be thought of as a feature vector that has been encoded efficiently. This encoding turns the feature vector X into a context vector z. Latent variable models sound very GenAI-zy, but they descend from models that quant traders have long been familiar with. No doubt you have heard of PCA or SVD (see
  • Systematic stock selection with macro factors [Macrosynergy]

    Macroeconomic conditions drive divergences in business profitability, making timely economic data a meaningful foundation for stock-selection factors. This post introduces basic methods for constructing such factors, focusing on statistical learning techniques that estimate how individual stock returns (relative to the market) respond to various economic trends. We use five model types to estimate

Recent Quant Links from Quantocracy as of 11/25/2025

This is a summary of links recently featured on Quantocracy as of Tuesday, 11/25/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Weekly Research Recap [Quant Seeker]

    Crypto The Impact of Spoofing on Bitcoin Market Microstructure (John, Li, Liu, and Yang) Spoofing on Coinbase is widespread, with large orders quickly placed and canceled to move Bitcoin prices. It is highly profitable: Each one-unit rise in spoofing volume generates about +27 bps (bid) and +55 bps (ask) in short-term profit with limited risk. At the same time, spoofing widens bidask spreads
  • An updated look at Thanksgiving Week Stats [Quantifiable Edges]

    The time around Thanksgiving has shown some strong tendencies both bullish and bearish. I have discussed them a number of times over the years. In the updated table below I show SPX performance results based on the day of the week around Thanksgiving. The bottom row is the Monday after Thanksgiving week. The top row is the Monday before Thanksgiving. Monday and Tuesday of Thanksgiving week do
  • Momentum factor investing: Evidence and evolution [Alpha Architect]

    Momentum, the tendency for recent winners to keep outperforming and losers to keep lagging, has been one of the most persistent puzzles in finance. This new paper revisits the factor with the largest and most comprehensive dataset ever assembled, spanning more than 150 years and 40 countries. The verdict is clear. Momentum works, across markets, time periods, and portfolio designs. But it also has

Recent Quant Links from Quantocracy as of 11/23/2025

This is a summary of links recently featured on Quantocracy as of Sunday, 11/23/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Macroeconomics with Gaussian Mixture Models [OS Quant]

    Returns can be viewed as a product of an underlying market regime. This article models those regimes and shows how to extend the model with macroeconomic variables to link regimes to observable economic indicators. Some time ago I read a Two Sigma article on using Gaussian mixture models for regime detection 1. I wanted to understand the math behind these methods and extend them by tying the
  • QuantMinds London 2025 [Turnleaf Analytics]

    Are you on mute? is perhaps the most succinct catchphrase which most comprehensively describes the post-covid landscape of work. Yet, despite the plethora of video conferencing tools out there, there is still something to be said for being there in person. If anything, the sheer volume of virtual interactions means that a real interaction becomes more valuable. If you really want
  • Rethinking Growth Investing: Why Traditional Growth Indices Miss the Mark [Alpha Architect]

    Historically, the finance community (both academics and investment firms) has divided stocks into two categories: cheap and expensive. Initially, the book-to-price ratio was used to allocate stocks into growth (expensive) or value (cheap) indices. Other metrics, such as price-to-earnings, price-to-sales, and price-to-cash flow, are now also commonly used. What was not value was growth and vice

Recent Quant Links from Quantocracy as of 11/20/2025

This is a summary of links recently featured on Quantocracy as of Thursday, 11/20/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Rhino Strategy Family: From Broken-Wing Butterfly to Genetic Optimization [Deltaray]

    The Rhino Options Strategy is a conservative, brokenwing butterfly income trade with an upside hedge. Rhino is not just a simple trade; its a whole family of related strategies that have evolved over nearly a decade in response to changing market conditions. Monthly, Giant, and Baby Rhino variants coexist alongside variants from other developers like the White Rhino by Randy Schwartzenburg.
  • Dual Momentum & Global Growth Cycle Enhanced [Grzegorz Link]

    The Dual Momentum approach, formalized in Gary Antonacci's 2012 paper[1] and later popularized in his book,[2] is a surprisingly simple yet potent tactical asset allocation strategy. It builds on the fact that assets experience both absolute [time series] momentum, as well as relative [cross-section] momentum, and utilizes both of these effects in its goal of returning better-than-passive
  • Weekly Research Recap [Quant Seeker]

    Asset Allocation Tactical Asset Allocations of Large Asset Managers (Ibert) Large asset managers tactical views closely follow their assessments of global growth and recession risk. When growth prospects deteriorate, they cut equity exposure and increase bond allocations. A move from overweight to underweight equities reduces equity weights by roughly 1.83.2 percentage points. Key takeaway:
  • Switch-Off: Bayesian online changepoint detection [Trading the Breaking]

    Every quantitative trading operation, from a single retail algorithmist to a multi-billion dollar systematic fund, faces an identical, recurring, and fundamental dilemma: When to deactivate a failing strategy. This problem is, in many ways, the only problem that matters for long-term survival. Alpha is finite. All strategies eventually decay. The persistence of a quant fund is not determined by
  • Fractal Market Hypothesis: From Theory to Practice [Relative Value Arbitrage]

    Fractal Market Hypothesis is an alternative framework that models financial markets through long-memory and multi-scale dynamics. There is a growing trend in the industry to incorporate itfirst in analyzing the behavior of underlying assets, and more recently in the pricing of financial derivatives such as futures. In this post, we will examine these developments. Fractal Market Hypothesis:

Recent Quant Links from Quantocracy as of 11/16/2025

This is a summary of links recently featured on Quantocracy as of Sunday, 11/16/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Leveraged ETFs in Asset Allocation: Opportunity or Trap? [Quantpedia]

    In this article, we explore whether it makes sense to incorporate leveraged ETFs into static and dynamic long-only asset allocation strategies. Leveraged ETFs promise amplified exposure to the underlying asset, offering the potential for significantly higher returns during favorable market conditions. However, this comes at the cost of much higher volatility, path-dependency, and the well-known
  • Wordle (TM) and the one simple hack you need to pass funded trader challenges [Investment Idiocy]

    An unusual (but quick) mid month post, as this is a live issue I thought I'd publish this whilst it's relevant. There has been some controversy on X/Twitter about 'pay to play' prop shops (see this thread and this one) and in particular Raen Trading. It's fair to say the industry has a bad name, and perhaps this is unfairly tarnishing what may pass for good actors in this
  • Research Review | 14 November 2025 | Bubble Risk [Capital Spectator]

    Bubble Beliefs Christian Stolborg (Copenhagen Bus. School) and Robin Greenwood (Harvard) October 2025 We study expert beliefs during boom-bust episodes in which highly valued individual US stocks experience a price run-up followed by a crash. As prices surge, analysts forecast exceptional earnings growth and high near-term returns. Short interest stays low. Media coverage rarely mentions the word
  • How to Design a Simple Multi-Timeframe Trend Strategy on Bitcoin [Quantpedia]

    Bitcoin is one of the most widely discussed financial assets of the modern era. Since its inception, it has evolved from a niche digital experiment into a globally recognized investment instrument with institutional adoption and billions in daily trading volume. Despite its inherent volatility, Bitcoin has demonstrated a strong long-term growth trajectory, making it an attractive candidate for

Recent Quant Links from Quantocracy as of 11/11/2025

This is a summary of links recently featured on Quantocracy as of Tuesday, 11/11/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Is predicting vol better worth the effort and does the VIX help? [Investment Idiocy]

    I'm a vol scaler. There I've said it. Yes I adjust my position size inversely to vol. And so should you. But to this well we need to be able to predict future vol; where the 'future' here is roughly how long we expect to hold our positions for. Some people spend a lot of effort on this. They use implied vol from options, high(er) frequency data, GARCH or stochastic vol models.
  • Weekly Research Recap [Quant Seeker]

    What 200 Years of Data Tell Us About the Predictive Variance of Long-Term Bonds (Della Corte, Gao, Preve, and Valente) Over two centuries of data show that the risk of holding long-term foreign bonds without currency hedging increases with the investment horizon rather than mean-reverting. The dominant sources of uncertainty are exchange rate fluctuations and shifts in monetary and interest-rate
  • Denoising Correlation Matrices for More Stable Portfolio Optimization [Sitmo]

    Portfolio optimization lies at the heart of asset management, guiding investment strategies from risk minimization to return maximization. Many of the most widely used allocation methods such as minimum variance, maximum Sharpe ratio, and risk parity rely on the inverse of the correlation matrix to compute optimal portfolio weights. However, if the correlation matrix is poorly conditioned (i.e.,

Recent Quant Links from Quantocracy as of 11/04/2025

This is a summary of links recently featured on Quantocracy as of Tuesday, 11/04/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • How to Value Overvalued MicroStrategy? [Quantpedia]

    MicroStrategy has become one of the most polarizing companies in public markets. Once a conventional business intelligence firm, it has transformed into the worlds largest publicly traded Bitcoin proxy, holding over a million BTC on its balance sheet and continuously raising capital to buy more. Supporters praise it as a visionary Bitcoin ETF with leverage, while critics argue it is an
  • Expressing an Indicator in Neural Net Form, Part 3 [Dekalog Blog]

    The results of the first set of tests of optimising an indicator via the framework of training a neural net are in, and this post is a presentation of these results and a reflection on this in more general terms. I would encourage readers to look at my previous 2 posts to put this one in context. The following chart plot shows 8 weeks of 10 minute price action in the EURUSD forex pair, with the
  • The Factor Mirage: How Quant Models Go Wrong [CFA Institute]

    Factor investing promised to bring scientific precision to markets by explaining why some stocks outperform. Yet after years of underwhelming results, researchers are finding that the problem may not be the data at all; its the way models are built. A new study suggests that many factor models mistake correlation for causation, creating a factor mirage. Factor investing was born from an
  • Weekly Research Recap [Quant Seeker]

    Hello! This weeks research recap brings you the most important investing insights from the past seven days, spanning academic papers, industry reports, social media, and blogs, with direct links to every source. Asset Allocation Dynamic Dragon: Integrating Regime Detection into Strategic Asset Allocation (Ni) This paper refines the Dragon Portfolio proposed by Artemis Capital Management by
  • Volatility vs. Volatility of Volatility: Conceptual and Practical Differences [Relative Value Arbitrage]

    Volatility and volatility of volatility are highly correlated and share many similar characteristics. However, there are subtle but important differences between them. In this post, we will examine some of these differences and explore an application of volatility of volatility in portfolio management. Improving Portfolio Management with Volatility of Volatility Managing portfolios using

Recent Quant Links from Quantocracy as of 11/02/2025

This is a summary of links recently featured on Quantocracy as of Sunday, 11/02/2025. To see our most recent links, visit the Quant Mashup. Read on readers!

  • R squared and Sharpe Ratio [Investment Idiocy]

    Here's some research I did whilst writing my new book (coming next year, and aimed at relatively inexperienced traders). Imagine the scene. You're a trader who products forecasts (a scaled number which predicts future risk adjusted returns, or at least you hope it does) who wants to evaluate how good you are. After all you've read Carver, and you know you should use your expected
  • Thanksgiving and Christmas Trading Strategies [Quantpedia]

    This article examines the impact of major consumer holidays, Thanksgiving and Christmas, on financial markets. Using historical price data from 2004 to 2024, we analyze daily performance trends in the 10 trading days before and after each holiday to determine whether seasonal spending influences asset prices. Our findings suggest that seasonal consumer spending influences financial markets, with
  • ChatGPT in Systematic Investing – Enhancing Risk-Adjusted Returns with LLMs [Concretum Group]

    This paper investigates whether large language models (LLMs) can improve cross-sectional momentum strategies by extracting predictive signals from firm-specific news. We combine daily U.S. equity returns for S&P 500 constituents with high-frequency news data and use prompt-engineered queries to ChatGPT that inform the model when a stock is about to enter a momentum portfolio. The LLM evaluates
  • Value at Risk: Univariate Estimation Methods [Portfolio Optimizer]

    Value-at-Risk (VaR) is one of the most commonly used risk measures in the financial industry1 in part thanks to its simplicity – because VaR reduces the market risk associated with any portfolio to just one number2 – and in part due to regulatory requirements (Basel market risk frameworks34, SEC Rule 18f-45). Nevertheless, when it comes to actual computations, the above definition is by no