This is a summary of links recently featured on Quantocracy as of Sunday, 05/11/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Beta hedging [Quantitativo]"If you're not thinking about risk, then you're not thinking." William Sharpe. William Sharpe is a Nobel Prize-winning economist renowned for his work on the Capital Asset Pricing Model (CAPM) and the Sharpe Ratio, both of which highlight the central role of risk in pricing and evaluating assets. While the quote If you're not thinking about risk, then you're not
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Equity trend-following with market and macro data [Macrosynergy]The popularity of trend-following bears the risk of market excesses. Medium-term market price trends often fuel economic trends that eventually oppose them (macro headwinds). Fortunately, relevant point-in-time economic indicators can provide critical information on the sustainability of medium-term market movements and are a natural complement to standard trend signals. This post
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The Calendar Effects in Volatility Risk Premium [Relative Value Arbitrage]I recently covered calendar anomalies in the stock markets. Interestingly, patterns over time also appear in the volatility space. In this post, Ill discuss the seasonality of volatility risk premium (VRP) in more detail. Breaking Down the Volatility Risk Premium: Overnight vs. Intraday Returns The decomposition of the volatility risk premium (VRP) into overnight and intraday components is an
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Weekly Research Recap [Quant Seeker]Bitcoin Arbitrage: The Role of a Single Exchange (Flowerday, Gandal, Halaburda, Olson, and Ardel) Cross-exchange arbitrage has historically been common in crypto markets. This paper analyzes Bitcoin price differences across major exchanges from 2017 to 2020 and finds that Bitfinex was responsible for most discrepancies, driven by withdrawal restrictions, reliance on Tether, and regulatory
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Andrea Unger – 672% Returns? Sure! Would You Like Some Risk with That? [Algorithmic Advantage]Finishing our little mini-series on shorter-term futures trading we talk to Andrea Unger and happily inject some click-bait in the form of gloating about his 672% return in a single year when he won the World Trading Competition. Naturally, we know that this kind of return is generated by specifically trying to win the comp, and taking on the associated risks! If you've been asleep the first