This is a summary of links recently featured on Quantocracy as of Tuesday, 01/27/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Data: Data structures as lifecycle engineering [Trading the Breaking]Most performance failures in trading systems dont look like failures. You know, impressive microbenchmarks, clean profiles, and average latency that inspire confidence. Then the market compresses time. A volatility microburst lands, the arrival process stops behaving like expected and the engine doesnt slow down uniformly. One thread stays current, another drifts into backlog, and a third
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Who Is the Counterparty to the Pro-Cyclical Investors [Quantpedia]An interesting transaction-level study we take a closer look at today asks who takes the other side of trades when the most pro-cyclical players in markets primarily asset managers buy in booms and sell in busts. The paper uses comprehensive transaction data across major European equity and interest-rate cash and derivatives markets to classify counterparties by sector and to measure, at
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Modern Pairs Trading: What Still Works and Why [Relative Value Arbitrage]Pairs trading, or statistical arbitrage (stat arb), is a classic, well-established quantitative trading strategy, and it is still in use today. I discussed its profitability in a previous post, and in this installment, we continue that discussion. Pairs Selection Methods Reference [1] provides a thorough review of the pairs trading literature between 2016 and 2023. Pair selection is a critical