This is a summary of links recently featured on Quantocracy as of Sunday, 01/25/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Is The Optimal Long-term Portfolio Share of Bitcoin Negative? [Quantpedia]The crypto-enthusiasts mantrajust add Bitcoin and watch the efficient frontier flyruns into a hard empirical wall when you extend the sample, tighten the econometrics, and force the asset to compete on identical risk-adjusted footing with equities. Alistair Milnes new SSRN paper applies a textbook Markowitz meanvariance framework to a two-asset universe (S&P 500 vs.
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The Age of AI Attractor Markets: One Possible Trajectory [Tommi Johnsen]This essay explores one curious, if speculative, scenario for how markets might evolve. Its not a forecast, just a framework worth examining. The core question: could modern markets be drifting from an exploratory regime with messy human disagreement, diverse models, and largely uncorrelated mistakes, toward a convergent regime where machines (and humans using machine-like tools) increasingly
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Stock selection with macro factors: the case for simple neural networks [Macrosynergy]Point-in-time macroeconomic information provides a valid basis for stock selection, as economic developments affect firms differently and with a time lag. The principal challenge lies in identifying which stocks benefit from which economic trends, a task for which theoretical priors are limited. Machine learning with neural networks, therefore, offers a compelling approach, as such models can
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Is Value Investing Dead? [Alpha Architect]Value investing is dead. Value investing remains dead. And we have killed it. After years in what can be now called one of the worst (if not the worst) period for value investing, many investors have packed their bags and called it quits. Their claim? This time is different. HML factor returns since 2015 The results are hypothetical results and are NOT an indicator of future results and do NOT