This is a summary of links recently featured on Quantocracy as of Wednesday, 04/02/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Walking Forward Optimal Strategy Combinations [Allocate Smartly]The key takeaway: The Portfolio Optimizer is effective at selecting optimal strategy combinations, even when walked-forward (i.e. when limited to data it would have had at that moment in time). First, a bit of background knowledge youll need to understand this analysis Background Knowledge: Model Portfolios and the Portfolio Optimizer We track 90+ asset allocation strategies. Members
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Front Running in Country ETFs, or How to Spot and Leverage Seasonality [Quantpedia]Understanding seasonality in financial markets requires recognizing how predictable return patterns can be influenced by investor behavior. One underexplored aspect of this is the impact of front-runningwhere traders anticipate seasonal trends and act early, shifting returns forward in time. We have already explored seasonality front-running in commodities, stock sectors, and crisis hedge
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Weekly Research Recap [Quant Seeker]It's time once again to explore some of the most compelling investing research from the past week. Below, you'll find a hand-picked selection of recent papers, each linked directly to the original source for further reading. Thanks for your ongoing support! If you enjoy this content, please consider hitting the like button and subscribing if you havent yet. Behavioral Finance The
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Breaking Down Volatility: Diffusive vs. Jump Components [Relative Value Arbitrage]Implied volatility is an important concept in finance and trading. In this post, I further discuss its breakdown into diffusive volatility and jump risk components. Decomposing Implied Volatility: Diffusive and Jump Risks Implied volatility is an estimation of the future volatility of a securitys price. It is calculated using an option-pricing model, such as the Black-Scholes-Merton model.