This is a summary of links featured on Quantocracy on Saturday, 09/14/2024. To see our most recent links, visit the Quant Mashup. Read on readers!
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Revisiting Trend-following and Mean-reversion Strategies in Bitcoin [Quantpedia]Over the past few years, significant shifts in the financial landscape have reshaped the dynamics of global markets, including the cryptocurrency sector. Events such as the ongoing war in Ukraine, rising inflation rates, the soft landing scenario in the US economy, and the recent Bitcoin halving have all profoundly impacted market sentiment and price movements. Given these developments, we decided
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The devil is in the details [Quantitativo]The group coined a name for the difference between the prices they were getting and the theoretical trades their model made without the pesky costs. They called it The Devil. Gregory Zuckerman. The quote above is from the great book The Man Who Solved the Market. In it, Gregory Zuckerman tells the story of Jim Simons, a brilliant mathematician who revolutionized the world of finance with his
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Investors trade Cryptos and Trad-Fi Differently [Alpha Architect]The paper examines several key questions related to how retail investors trading behaviors in cryptocurrencies differ from their behaviors in traditional asset classes like stocks and commodities. Are cryptos different? Evidence from retail trading Shimon Kogan, Igor Makarov, Marina Niessner, Antoinette Schoar Journal of Financial Economics, 2024 A version of this paper can be found here Want