This is a summary of links recently featured on Quantocracy as of Thursday, 03/12/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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A Quant’s Guide to Cross-Section Maxxing, Code Included [Quant Galore]Quantitative trading is about many things; buying low and selling high, chasing momentum, capturing yield, arbitraging price imbalances the whole lot. But time and time again, it comes back to one idea: The cross-section, the cross-section, the cross-section. Now, if you dont spend the majority of your life in code terminals and academic papers, the word cross-sectional might not mean much.
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Machine Learning for Derivative Pricing and Crash Prediction [Relative Value Arbitrage]Applications of machine learning in finance continue to evolve rapidly. In previous posts, we discussed both the uses and the challenges of applying machine learning in financial markets. In this installment, we continue that discussion by highlighting new research on machine learning approaches for pricing complex derivatives and identifying signals that may precede major market downturns.
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The Best Defensive Strategies: Two Centuries of Evidence [Alpha Architect]Traditionally, balanced portfolios rely on the equity and bond risk premia to generate returns. The canonical 60% equity/40% bond allocation has produced strong long-run results, but its short- and medium-horizon experience includes large drawdowns. Those drawdowns matter not only behaviorally but mechanically, through volatility drag: large losses require disproportionately large gains to