This is a summary of links recently featured on Quantocracy as of Monday, 01/19/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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What Investors Should Know About Common Sentiment Models: Tone Isn t Attribution [Tommi Johnsen]Sentiment analysis has become a foundational tool in modern investing. From academic papers to hedge fund dashboards, models like FinBERT and RoBERTa variants are routinely used to classify news as positive or negative for stocks. However, there is a critical assumption hiding in plain sight. Thanks for reading! Subscribe for free to receive new posts and support my work. That assumption is that
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The Fallacy of Concentration Risk [Quantpedia]Market concentration has become one of the most discussed structural risks in todays equity markets. A small group of mega-cap stocksoften the largest five to ten namesnow accounts for an unusually large share of major market indices. This has led to widespread concerns that such concentration makes markets more fragile and that elevated index weights at the top may foreshadow weaker
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Can AI Read the News Better Than You? How ChatGPT Could Transform Momentum Investing [Alpha Architect]Momentum investing has been a cornerstone of quantitative finance for decades. Researchers Nikolas Anic, Andrea Barbon, Ralf Seiz, and Carlo Zarattini hypothesized that the ability of large language models (LLMs) to interpret and synthesize textual information in real time can be used to identify news that is likely to trigger price momentums. Their study, ChatGPT in Systematic Investing,
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New Feature: The Underperformer Watchlist [Allocate Smartly]Weve added a new feature for members, the Underperformer Watchlist. All investment strategies go through rough patches. Its the nature of taking risks in inherently unpredictable financial markets. One of the difficulties of investing is knowing when a rough patch is just a normal period of poor performance, and when its significant enough to warrant further concern. The Underperformer
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Implied vs. Realized Volatility in Delta Hedging Strategies [Relative Value Arbitrage]Delta hedging is a fundamental topic in portfolio and risk management. In this post, we discuss which volatility measure should be used in the delta hedging process, while a future edition will examine the appropriate hedging frequency and time horizon. Which Free Lunch Would You Like Today Sir? Reference [1] is a classic article on delta hedging that addresses the following question: if an