This is a summary of links recently featured on Quantocracy as of Sunday, 03/15/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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The Calendar Ensemble: Building an Event-Driven Alpha Overlay [Beyond Passive]In the previous article, we established that the Sharpe ratio is the single most important number in portfolio construction. Variance drag scales with the square of volatility, which means a high-Sharpe portfolio can tolerate leverage, survive decumulation, and compound wealth far more efficiently than a low-Sharpe one. We also hinted at something more subtle: strategies with positively skewed
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Transformer Models for Alpha Generation: A Practical Guide [Jonathan Kinlay]Quantitative researchers have always sought new methods to extract meaningful signals from noisy financial data. Over the past decade, the field has progressed from linear factor models through gradient-boosting ensembles to recurrent architectures such as LSTMs and GRUs. This article explores the next step in that evolution: the Transformerand asks whether it deserves a place in the
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Infra: Financial APIs [Trading the Breaking]Before moving on to the next series, theres an important point that any algorithmic trader needs to know: the point about APIs. A quant can state the issue in simple terms. Let st denote latent market state and let xt denote observed state at decision time. The strategy trades on xt rather than st. The transformation from st to xt includes vendor capture, transport, buffering,