This is a summary of links recently featured on Quantocracy as of Sunday, 01/04/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Cross-Asset Price-Based Regimes for Gold [Quantpedia]This article develops a price-based macrofinancial model of gold that formally links its medium-horizon return dynamics to cross-asset risk-premium configurations. Although gold has traditionally been conceptualized as a non-yielding inflation hedge or safe-haven asset, contemporary empirical evidence reveals a substantially more intricate structure: golds forward returns are systematically
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Top Ten Blog Posts on Quantpedia in 2025 [Quantpedia]One year is again behind us (in this case, it was 2025), and we are all a little older (and hopefully richer and/or wiser). Turn-of-the-year period is usually an excellent time for a short recap. Over the past 12 months, we have kept our pace and published nearly 70 short analyses of academic papers and our own research articles. So lets summarize 10 of them, which were the most popular (based
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The Hidden Risks of Leveraged Single-Stock ETFs [Alpha Architect]Levered ETFs may appeal to those who wish to hedge other positions, those with strong directional views, or those with so-called lottery preferences. Hendrik Bessembinder The Explosive Growth of a Risky Product Leveraged single-stock Exchange-Traded Funds (LSS-ETFs) have captured investors attention with a seductive promise: amplified exposure to popular stocks without the complexity
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Data: Low-latency data structures [Trading the Breaking]You can have the right signal, the right risk limits, and the right order type, and still lose money because your system expresses that decision at the wrong moment. That failure mode is especially cruel because it doesnt look like bad alpha in a backtest; it looks like slippage, adverse selection, and fills that degrade exactly when you most need precision. The strategy survives on paper while
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The Volatility You Can t See [Concretum Group]Volatility is one of the most important numbers in finance, yet it has a strange feature: it cannot be directly observed. Volatility is a latent variable, meaning it is a real property of markets, but it can only be inferred from the footprints it leaves on prices. As a useful analogy, consider intelligence. We all agree intelligence is real in the sense that it influences outcomes, but