This is a summary of links recently featured on Quantocracy as of Tuesday, 02/11/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Can Miner Economics Predict Bitcoin Returns? [Unravel Markets]The Puell Multiple was invented by analyst David Puell, back in March 2019. He developed the metric as a way to quantify miner revenue in relation to historical averages: it compares the daily USD value of Bitcoin mined through block rewards to its 365-day moving average, directly meauring whether miners are earning above or below their annual average income. Unlike price-based technical
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What’s the chance that a market effect is real? Monte Carlo permutation tests in Excel [Robot Wealth]Lets say you observe some effect in the market and quantify it with simple data analysis. A good question is, What are the chances Id see this effect solely due to chance? And using simple Excel tools, we can answer this question without doing any formal statistics. Before we get into it, its worth noting that while answering this can give you some insight into the effect, it relies
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Data Visualization – the Momentum Map [Grzegorz Link]Dealing with multidimensional data in data visualization is tricky. You have to strike a balance between presenting a lot of useful information, but not cluttering charts too much. There are a lot of flashy and glimmery chart options. Yet it's easy to lose your audience by flooding them with too much information. In statistics, an analog is in multivariate variables. People come up with
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Weekly Recap [Quant Seeker]Commodities Tail Risk Premium in the Crude Oil Market (Li and Li) While the variance risk premium has been widely studied in financial markets, this paper finds that the option-implied tail risk premium is a stronger predictor of crude oil futures returns. Short-term tail risks signal lower returns in the next month but higher returns two months later. A trading strategy based on these insights
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Turn-of-the-Month Strategies: Do They Still Work? [Quant Seeker]Decades of research have uncovered numerous market anomalies, persistent patterns in asset returns that cannot be fully explained by traditional risk-based models. Among the most enduring and well-documented of these is the turn-of-the-month (TOM) effect, characterized by abnormally high stock returns during the days surrounding the turn of the calendar month. Unlike other seasonality effects that
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Coding Trend Factor [Quantitativo]"Every great developer you know got there by solving problems they were unqualified to solve until they actually did it." Patrick McKenzie. Patrick McKenzie is a well-known software developer, entrepreneur, and writer, widely recognized for his work in the software industry, particularly in bootstrapped startups and software-as-a-service (SaaS) businesses. He built his entire career