This is a summary of links recently featured on Quantocracy as of Monday, 05/05/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Can I build a scalping bot? A blogpost with numerous double digit SR [Investment Idiocy]Two minute to 30 minute horizon: Mean reversion works, and is most effective at the 4-8 minute horizon from a predictive perspective; although from a Sharpe Ratio angle it's likely the benefits of speeding up to a two minute trade window would overcome the slight loss in predictability. There is no possibility that you would be able to overcome trading costs unless you were passively filled,
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The Aggregated Equity Risk Premium [Alpha Architect]This article explores how researchers forecast market returns by aggregating expected returns from individual stocks. Using machine learning, they improve accuracy over traditional methods. The approach helps identify when to increase or reduce market exposure. This can lead to better-informed investment decisions and improved performance. To explore how aggregate signals can aid in market timing,
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Stock-Bond Correlation: What Drives It and How to Predict It [Relative Value Arbitrage]The correlation between stocks and bonds plays a crucial role in portfolio allocation and diversification strategies. In this issue, I discuss stock-bond relationships, the factors that influence their correlation, and techniques for forecasting it. What Influences Stock-Bond Correlation? Correlation between stocks and bonds is crucial for portfolio allocation and diversification, but this