This is a summary of links featured on Quantocracy on Tuesday, 11/14/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
Small Trader Alpha: An Arbitrage Strategy in SPY Options [Return Sources]In this post, I'll discuss in detail an arbitrage trade in SPY options that I'd been running for about a year. (Some of you may have read a short version of this in this twitter post). I'm no longer using it, but it's still a viable strategy to earn some extra money. To be clear, this is a very low capacity trade; I made about 5 thousand dollars with it over a year, and I
Inflation surges – how long to return to normal? [Alpha Architect]How long will it take for the current level of inflation to subside? If history is any guide, it could take quite a while. Across 198 policy interest rate hikes of at least 1%, a decrease of 1% in inflation took 2 to 4 years (Havranke and Rusnak, 2013). The authors of this research article conduct an empirical analysis of the behavior representative of inflation to provide a realistic context for