This is a summary of links recently featured on Quantocracy as of Sunday, 04/06/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Turning on-chain data into a profitable, systematic strategy (with code) [Unravel Markets]The usual things people first look at when designing new trading systems is trend following / mean reversion while in practice there are a wide range of other: liquidity, macroeconomic & sentiment factors that also heavily influence an assets returns (sometimes even cross-asset lead-lag relationships!). You may hear sometimes talking heads on CNBC reciting their favorite macro metric
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Forecasting Current Market Turbulence with the GJR-GARCH Model [Sitmo Machine Learning]Last week, global stock markets faced a sharp and sudden correction. The S&P 500 dropped 10% in just two trading days, its worst weekly since the Covid crash 5 years ago. Big drops like this remind us that market volatility isnt random, it tends to stick around once it starts. When markets fall sharply, that volatility often continues for days or even weeks. And importantly, negative
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Weekly Research Insights [Quant Seeker]In this weeks Research Insights, I cover three interesting papers. The first is a timely study on how tariffs impact exchange rates. The second explores how volatility scaling can improve Sharpe ratios in crypto strategies. The third studies whether simple pairs trading in U.S. stocks remains profitable. Thank you for your continued interest. If you enjoyed the post, consider liking it