This is a summary of links recently featured on Quantocracy as of Saturday, 01/04/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Hundreds Of Quant Papers From #QuantLinkADay In 2024 [Turnleaf Analytics]I tweet a lot (from @saeedamenfx and at BlueSky at @saeedamenfx.bsky.social)! In amongst, the tweets about burgers, I tweet out a quant paper or link every day under the hashtag of #QuantLinkDay, mostly around FX, rates, economics, machine learning etc. Some are directly relevant to what were doing at Turnleaf Analytics forecasting inflation and other economic variables (and if youre
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Investigating Simple Formulaic Investing [Alpha Architect]Investing formulas are simple, easy-to-implement, systematic, stock screeners that provide instructions on how to outperform the total stock market. Marcel Schwartz and Matthias Hanauer, authors of the December 2024 study, Formula Investing, evaluated the effectiveness of four such popular investing formulas over the period 1963-2022: The Piotroski F-Score: The sum of nine binary (+ or 0)
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What the last day of the year can teach us about research and trading [Quantifiable Edges]Overall, the last day of the year used to be consistently bullish for the market. But that has changed since the turn of the century. This is true across a number of indices. The most dramatic example is the NASDAQ, which I highlighted a few years ago. I have updated the chart below. NASDAQ last day of year historical returns Closing up 29 years in a row is fairly astounding. Just as astounding is
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What the Index Effect s Disappearance means for Market Efficiency [Alpha Architect]This paper investigates the puzzling decline in the price impact of S&P 500 index additions and deletions over the past four decades, despite the rapid growth of passive investing. It explores potential explanations, including changes in market liquidity and efficiency, shifts in the composition of index changes, the role of migrations from related indices, and the predictability of index