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Quantocracy’s Daily Wrap for 06/22/2024

This is a summary of links featured on Quantocracy on Saturday, 06/22/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Hidden Dangers of Writing an OMS [Mark Best]

    Writing an OMS for an HFT platform is a really difficult task that is often taken for granted. It is made more difficult in crypto because the exchange infrastructure is unreliable. It is not uncommon to simply be told go away and come back later when trying to call api functions. There is also often a hidden danger when writing an OMS which I have not seen discussed. This article is about
  • Investigation of Lead-Lag Effect in Easily-Mistyped Tickers [Quantpedia]

    Our new study aims to investigate the lead-lag effect between prominent, widely recognized stocks and smaller, less-known stocks with similar ticker symbols (for example, TSLA / TLSA), a phenomenon that has received limited attention in financial literature. The motivation behind this exploration stems from the hypothesis that investors, especially retail investors, may inadvertently trade on
  • Short Positions – do investors underreact due to illiquidity? [Alpha Architect]

    The important role played by short sellers, who, through their actions, keep prices efficient by preventing overpricing and the formation of price bubbles in financial markets, has received increasing academic attention in recent years. Research into the information contained in short-selling activity for example the 2023 study, Swim with Sharks: Are Short Sellers More Informed than their

Quantocracy’s Daily Wrap for 06/18/2024

This is a summary of links featured on Quantocracy on Tuesday, 06/18/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Return based quality factor on Warsaw Stock Exchange [Mateusz Dadej]

    Recently I ran across an interesting paper published by National Bureau of Economic Research entitled Return Based Measue of Firm Quality. I happen to have a suitable data and thought why not reproduce it on data from polish stock exchange in the free time. It turned out not so bad and thanks to being not filled with boring mathematical formulae I guess its also pretty accessible. At the
  • Downloading Dukascopy Tick Data with Node Library [Dekalog Blog]

    As part of my investigations into forex news trading I have found it necessary to obtain forex tick level data for back testing purposes and below I provide code to achieve this using Dukascopy's Node library, being called from Octave and using some system calls. A useful youtube video about the Dukascopy Node library will give readers some background information. function [ first_days ,
  • How to Track Retail Investor Activity in TAQ [Alpha Architect]

    This paper explores the effectiveness of the BJZZ algorithm, developed by Boehmer, Jones, Zhang, and Zhang (2021), in identifying and signing retail trades executed off exchanges with subpenny price improvements. A (Sub)penny For Your Thoughts: Tracking Retail Investor Activity in TAQ Barber, Huang, Jorion, Odean and Schwarz Journal of Finance ,2024 A version of this paper can be found here Want
  • Diversifying via Time Zones [Finominal]

    Funds providing the same exposures trade similarly, regardless of where they trade On paper, investors can achieve benefits by diversifying via time zones In reality, this represents a form of volatility laundering like private equity INTRODUCTION On the 24th of January 2023, Hindenburg Research, an activist investor, published a research report on the Adani Group that accused the Indian

Quantocracy’s Daily Wrap for 06/16/2024

This is a summary of links featured on Quantocracy on Sunday, 06/16/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

Quantocracy’s Daily Wrap for 06/13/2024

This is a summary of links featured on Quantocracy on Thursday, 06/13/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Quantpedia Composite Seasonality in MesoSim [Quantpedia]

    The Efficient Market Hypothesis (EMH), theory developed in the 1960s, states that stock prices reflect all available information, making it impossible to consistently earn above-average returns using this information. Nevertheless, numerous studies challenge this view by documenting anomalies that suggest markets may not be fully efficient. One group of such anomalies, known as calendar anomalies,
  • Sell in August and Go Away [Alvarez Quant Trading]

    I was going through some old issues of Technical Analysis of Stocks & Commodities looking for some ideas to test. In the November 2019 issue, I came across Stock Market Seasonality: A Global Phenomenon by Jay Kaeppel. The basic idea was that global markets share the same buy in November and sell in May phenomenon as the US market. This got me thinking about how markets have changed

Quantocracy’s Daily Wrap for 06/11/2024

This is a summary of links featured on Quantocracy on Tuesday, 06/11/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Complexity is a virtue in return prediction [Alpha Architect]

    Finance has seen unprecedented growth in the use of artificial intelligence, specifically in machine learning models. Applications have included portfolio construction, stock analysis and in this case, the prediction of stock market returns. This paper discusses the benefits of using complex models as found in AI, over simple models such as ordinary least squares for predicting market returns. The
  • Bonds versus CTAs for Diversification [Finominal]

    Although yields are higher, bonds have also become riskier Bonds and CTAs have generated similar diversification benefits since 1999 Applying a trend following overlay for equities was accretive in Europe and Japan INTRODUCTION In May 2021 we made the case that bonds have become less useful in asset allocation given low to negative expected returns based on low yields, and could be replaced with

Quantocracy’s Daily Wrap for 06/04/2024

This is a summary of links featured on Quantocracy on Tuesday, 06/04/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Combating Volatility Laundering: Unsmoothing Artificially Smoothed Returns [Portfolio Optimizer]

    It is common knowledge that returns to hedge funds and other alternative investments [like private equity or real estate] are often highly serially correlated1. This results in apparently smooth returns that have artificially lower volatilities and covariations with other asset classes2, which in turn bias [portfolio] allocations toward the smoothed asset classes2. In this blog post, I will detail
  • Active vs. Passive Life Cycle Savings Strategies [Quantpedia]

    The main goal of our new article is to explore the efficacy of passive versus active management strategies in the context of savings for long-term financial goals. By analyzing the performance of nine distinct asset classes, including Double Leveraged ETFs and an implementation of the Pragmatic Asset Allocation (PAA) strategy, over an almost-century-long horizon, we simulate and compare the
  • Measuring Performance Chasing [Finominal]

    Performance chasing can be measured via extreme excess returns Abnormal negative returns lead to subsequent outperformance While abnormal positive returns lead to subsequent underperformance INTRODUCTION Morningstar recently published a list highlighting the top 10 fund management companies that destroyed the most wealth in the decade ending in 2023, which includes boutique firms like Roundhill

Quantocracy’s Daily Wrap for 05/31/2024

This is a summary of links featured on Quantocracy on Friday, 05/31/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Is Month-End Still the Best Time to Trade Tactical Strategies? [Allocate Smartly]

    Most Tactical Asset Allocation (TAA) strategies trade just once per month. Strategy developers almost always assume trades are executed on the last trading day of the month. A unique feature of our platform is the ability to follow these strategies on any other day of the month as well. Were not simply executing the same signal on other dates; were recalculating the strategys entire
  • Revisiting Overnight vs Intraday Equity Returns [Robot Wealth]

    Back in May 2020, in the eye of the Covid storm, we looked at overnight vs intraday returns in US equities. Intuitively, wed probably expect to see higher average returns overnight when the market is closed because its much more difficult to hedge and manage our exposures when the cash market is closed, so we might expect to get paid a premium, on average, for taking that risk. And
  • Talking VIX Trading and my NAAIM whitepaper with @BetterSysTrade [Quantifiable Edges]

    I had the pleasure of joining Andrew Swanscott on the Better System Trader podcast on Wednesday afternoon. We had a detailed discussion about VIX trading and my recent whitepaper that won the NAAIM Founders Award. It had been a long time since I was last on Andrews podcast, but he is always a fun person to speak with! I hope you enjoy it.
  • Quality, Factor Momentum, and the Cross-Section of Returns [Alpha Architect]

    Of the hundreds of equity factors identified in the financial literature, there were only five that met the criteria Andrew Berkin and I established in our book Your Complete Guide to Factor-Based Investing. To be considered for investment, a factor must have provided a premium that was persistent across long periods and different economic regimes; pervasive across countries, regions, sectors, and

Quantocracy’s Daily Wrap for 05/30/2024

This is a summary of links featured on Quantocracy on Thursday, 05/30/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Hidden miners [OSM]

    We conclude our discussion of market regime detection by examining Hidden Markov Models (HMMs). Recall this series was inspired by a post from PyQuant News that highlighted a longer article from the London Stock Exchange Group (LSEG). Those who took the CFA exams probably forgot using HMMs in the quant section. Whatever the case, the intuition behind them is clever. HMMs use observable data to
  • New Volatility Based Trading Techniques with Rob Hanna (@QuantifiablEdgs) [Better System Trader]

    Could traders be using the VIX wrong? Is there an even better way to time the markets and reduce risk? In this episode, discover the new secrets of volatility-based trading with Rob Hanna. Rob shares his award-winning insights into using the VIX and SPX to time the market, challenging conventional wisdom and uncovering new strategies for volatility trading. Whether youre an advanced trader or
  • Crypto Perpetual Contract Pair Trading [Quant Insti]

    Statistical arbitrage is a classic quantitative trading strategy, and pairs trading is one of them. Digital currency perpetual contracts are non-delivery perpetual futures. This project describes using data from the Binance exchange to find perpetual contract pairs whose pairing spreads conform to the mean reversion trend. Based on this backtest, find the relatively optimal trading parameters.
  • Unlock the Secrets of Seasonal Trading [Milton FMR]

    Seasonal trading strategies are grounded in the belief that certain patterns repeat over specific periods due to predictable events and behaviors. These strategies can be a powerful tool for traders, helping them to capitalize on regular market trends. This article will delve deeper into the world of seasonal trading, providing 15 more examples of seasonal patterns, including the presidential

Quantocracy’s Daily Wrap for 05/28/2024

This is a summary of links featured on Quantocracy on Tuesday, 05/28/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Quantpedia Awards 2024 – Winners Announcement [Quantpedia]

    Hello all, Welcome to the Quantpedia Awards 2024 winners announcement. This is the moment we all have been waiting for, and today, we would like to acknowledge the accomplishments of the researchers behind innovative studies in quantitative trading. So, what do the top five look like, and what will the authors of the papers receive? 5th Place Soroush Ghazi, Mark Schneider, Jack Strauss:
  • Carry versus Trend Following [Finominal]

    The carry strategy has become more attractive given higher yields However, the strategy is highly correlated to equities in periods of market stress CTAs are better diversifiers INTRODUCTION Carry strategies were widely popular before the global financial crisis in 2009, but less thereafter given a substantial drawdown during the crisis when investors reversed their positions and fled to safe but

Quantocracy’s Daily Wrap for 05/25/2024

This is a summary of links featured on Quantocracy on Saturday, 05/25/2024. To see our most recent links, visit the Quant Mashup. Read on readers!

  • Using Oanda’s API to Place Entry Orders [Dekalog Blog]

    Since my last post about end of initial testing I have been working on Oanda API functions in Octave to programmatically place entry orders and associated take profit and stop orders for a future possible forex news trading system. The reason for this is simple – it would be next to impossible to manually place a series of entry orders in the last few moments before a news release, so this would
  • Momentum Top N with Docker, Jupyter and QSTrader [Quant Start]

    In the previous tutorial we set up a backtesting environment using the QSTrader backtesting framework inside a Jupyter Notebook. We isolated this research environment and its dependencies using Docker, with Docker Compose. In this article we will show you how to implement one of the example strategies for QSTrader, the Momentum Top N tactical asset allocation strategy. In order to follow along
  • Momentum Everywhere, Even Cross-Country Factor Momentum [Alpha Architect]

    Among the many factors cited in academic research, only a handful have been sufficiently reliable for use in asset pricing models. One of those is momentum. The evidence has been robust for not only cross-sectional (relative) and time-series (absolute or trend) momentum, but also for factor momentum, which has received much attention from researchers. The empirical research on factor momentum,