This is a summary of links recently featured on Quantocracy as of Monday, 03/10/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Volatility Forecasting: HExp Model [Portfolio Optimizer]In this series on volatility forecasting, I previously detailed the Heterogeneous AutoRegressive (HAR) volatility forecasting model that has become the workhorse of the volatility forecasting literature1 since its introduction by Corsi2. I will now describe an extension of that model due to Bollerslev et al.3, called the Heterogeneous Exponential (HExp) volatility forecasting model, in which the
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Efficient Rolling Median with the Two-Heaps Algorithm. O(log n) [Sitmo Machine Learning]Calculating the median of data points within a moving window is a common task in fields like finance, real-time analytics and signal processing. The main applications are anomal- and outlier-detection / removal. Fig 1. A slow-moving signal with outlier-spikes (blue) and the rolling median filter (orange). A naive implementation based on sorting is costlyespecially for large window sizes. An
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Fast Rolling Regression: An O(1) Sliding Window Implementation [Sitmo Machine Learning]In finance and signal processing, detecting trends or smoothing noisy data streams efficiently is crucial. A popular tool for this task is a linear regression applied to a sliding (rolling) window of data points. This approach can serve as a low-pass filter or a trend detector, removing short-term fluctuations while preserving longer-term trends. However, naive methods for sliding-window
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Does gold belong in a risk premia portfolio? [Robot Wealth]With GLD up 40-something percent since early 2024, Ive been thinking about golds place in a risk premia harvesting portfolio. Its a fascinating rabbit hole and theres plenty of disagreement. Lets break this down from two perspectives the academic one (yawn) and the practical one (which is what actually matters if you want to make money). Academically speaking, gold shouldnt
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How Bond ETFs Make Trading Easier and Cheaper [Alpha Architect]Bond Exchange-Traded Funds (ETFs) help people invest in bonds without having to buy them one by one. Instead, they let investors buy a mix of bonds all at once, making it easier and cheaper to trade. This is especially helpful for bonds that are usually harder to buy or sell. Because of bond ETFs, more people can invest in bonds, and they can do it faster and at lower costs. Market Accessibility,
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Can Margin Debt Help Predict SPY s Growth & Bear Markets? [Quantpedia]Navigating the financial markets requires a keen understanding of risk sentiment, and one often-overlooked dataset that provides valuable insights is FINRAs margin debt statistics. Reported monthly, these figures track the total debit balances in customers securities margin accountsa key proxy for speculative activity in the market. Since margin accounts are heavily used for leveraged