This is a summary of links recently featured on Quantocracy as of Monday, 01/13/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Detecting Wash Trading in Major Crypto Exchanges [Quantpedia]The general acceptance of cryptocurrencies, especially Bitcoin, was a blessing from Wall Street, which institutionalized them as ETFs for comprehensive access by the general public and institutional investors. There is little to no denying now that this new asset class is becoming more traditional, often used as part of a diversified portfolio, and not taken as an alternative investment for
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PCA in Action: From Commodity Derivatives to Dispersion Trading [Relative Value Arbitrage]Principal Component Analysis (PCA) is a dimensionality reduction technique used to simplify complex datasets. It transforms the original variables into a smaller set of uncorrelated variables called principal components, ranked in order of their contribution to the datasets total variance. In this post, well discuss various applications of PCA. Pricing Commodity Derivatives Using Principal
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Training Machine Learning Models For Return Prediction [Alpha Architect]Machine learning models have proven effective in predicting stock returns using lagged stock characteristics, but their success is influenced by a wide range of modeling choices. One critical, yet often overlooked, choice is how stocks are weighted in the objective function during training, with equally weighted (EW) approaches being the norm. This paper investigates how such choices impact
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Refining ETF Asset Momentum Strategy [Quantpedia]Todays research introduces a refined ETF asset momentum strategy by combining a correlation filter with selective shorting. While traditional long-short momentum strategies usually yield suboptimal results, the long leg proves effective on its own, and the correlation filter demonstrates significant value for improving the timing and performance of the short leg. We propose a final strategy of