This is a summary of links recently featured on Quantocracy as of Friday, 02/20/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Moneyball: Finding Undervalued Pairs Using Unconventional Metrics [Robot Wealth]Last time we established that stat arb is really about betting on divergence/convergence behaviour continuing. Two things that have historically moved together come apart, and you bet on them coming back together. Remember the forced flows example, some fund or whatever having to sell regardless of price? That sort of temporary dislocation creates opportunities. Conceptually simple. But the
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Can LLMs Beat FinBERT for Stock Sentiment Trading? [Tommi Johnsen]Part 2 of a series. Part 1 covered building the hybrid classifier and validating it against Claude as ground truth on 991 headlines. This post reports whether the sentiment signals actually predict stock returns. The Question The academic evidence is clear: investor sentiment predicts short-term stock returns. Two decades of peer-reviewed research, anchored by Baker & Wurgler (2006) and
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A Tale of Two Prices [Robot Wealth]It was the age of wisdom, it was the age of foolishness Ive seen heaps of stuff published online about stat arb lately. Some genuinely good takes. And some other material that, while academically interesting, isnt particularly useful for people like me and the people I write for: independent systematic traders looking for real edges we can realistically manage without a team. A lot of the