Recent Quant Links from Quantocracy as of 04/18/2025

When you look at a chart of Bitcoins price from 2010 to today, it tells a story of volatility, resilience, and long-term gains. But what about the thousands of coins that launched, pumped, and then disappeared along the way? Most commonly used crypto datasets, especially those tied to current exchange listings or public dashboards, tend to highlight tokens that are still actively trading. This

In this weeks edition of Research Insights, I break down three recent papers. The first examines look-ahead bias in large language models. The second introduces a new approach to enhancing momentum strategies. The third explores how sensitive many cross-country return anomalies are to investors design choices. Thanks for reading! If you enjoyed the post, feel free to like it, and consider

Theres this Neumann quote: "With four parameters I can fit an elephant, and with five I can make him wiggle his trunk." Funny, but also true. Its very fitting (haha) to our job at Unravel where we scan tens of thousands of time series in order to identify the ones that can be used as predictive risk factors. Sooo, how do we avoid false positives, really? By definition, well

In recent months, financial markets have experienced heightened volatility as Donald Trump, in his second term as President of the United States, increasingly uses executive orders to steer economic policy. While he also made use of this presidential power during his first term (20172021), the volume and impact of executive actions have notably intensified. In this analysis, we explore how

I trust everyone is having a relaxing Passover week and is ready to devour some trading wisdom from Kevin Davey, an algorithmic trader with over 30 years of experience and a background in aerospace engineering and quality assurance, who exemplifies the importance of a disciplined process in trading. We spoke for 2 hours so Ive broken the show up into two parts. His expertise lies in trading

Momentum is a financial anomaly in which buying stocks with positive past returns and selling the negative yielding ones has delivered positive returns. After Jegadeesh and Titman (1993)s seminal paper Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency was released, empirical research has identified various forms of momentum profits over the years

With financial markets increasingly whipsawed by geopolitical tensions and unpredictable policy shifts from the Trump administrationinvestors are once again questioning how to understand risk, fear, and the true drivers of returns. A recent and compelling paper dives into this debate with a provocative thesis: in Fear, Not Risk, Explains Asset Pricing, authors Rob Arnott and Edward