This is a summary of links recently featured on Quantocracy as of Tuesday, 02/04/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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US Stock Momentum Trading System for Retail Traders: Deep research [Cracking Markets]I recently tested ChatGPT Pros Deep Research functionality (released on Monday, February 3, 2025)currently priced at $200/monthusing the latest o3-mini-high model. My objective? To evaluate how effectively it can assist in developing a US Stock Momentum Trading System for retail traders. After about 10 minutes of AI-driven analysis, the results were quite impressive. The model pulled
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Join the Race Once Again: Quantpedia Awards Competition Is Back! [Quantpedia]Hello everyone, Over the last few months, we have received numerous messages asking us if we plan to continue with our successful quant research competition in 2025. Last year, we promised our readers that the Quantpedia Awards would be back! And now its again time to unveil what we have prepared for you. For a quick recapitulation (for those who were not around in 2024, when we started this
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ARTFIMA Model for Trading [Quant Insti]The ARFIMA model is well suited for capturing long-range memory in financial time series. However, its not always the case the time series exhibits long memory in their autocorrelation. The ARTFIMA model comes to the rescue to capture not only the long memory but also its short one and the relationships between them. Needless to say, this model cannot only help capture those effects but also
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Momentum Strategies: Profitability, Predictability, and Risk Management [Relative Value Arbitrage]Momentum strategies have long been a cornerstone of investing, relying on the premise that past winners continue to outperform in the near future. This post explores the effectiveness of momentum strategies, analyzing their ability to generate abnormal returns and assessing their viability in different markets. While previous research has demonstrated the profitability of momentum strategies,
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The Book is Out [Anton Vorobets]The PDF version of the Portfolio Construction and Risk Management book is now publicly available. You can find links to the book and its accompanying Python code at the bottom of this newsletter. It contains many new perspectives and results that are exclusive to the book, showing you that there are much better alternatives to Black-Litterman and mean-variance. I will continue editing the book in
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The Predictive Power of Dividend Yield in Equity Markets [Relative Value Arbitrage]Dividend yield has long been a cornerstone of equity valuation. In this post, we explore how dividend yield predicts stock returns, its impact on stock volatility, and why it holds unique significance for mature, dividend-paying firms. Relationship Between Implied Volatility and Dividend Yield Reference [1] explores the relationship between implied volatility (IV) and dividend yield. It