This is a summary of links recently featured on Quantocracy as of Tuesday, 05/20/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Is your strategy built on distributional lies? [Trading the Breaking]During the previous optimization cycle, I was tasked with enhancing inventory management protocols for a legacy trading system operating under low-latency constraintsorder cycle times 500ms. While the academic corpus fixates on high-frequency trading paradigmsmicrosecond latency optimization, toxic flow mitigation, and continuous limit order book dynamicsthese constructs proved
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Weekly Research Recap [Quant Seeker]Asset Allocation How Much Should You Pay for Alpha? Measuring the Value of Active Management with Utility Calculations (Ang and Basu) Many investors chase high-performing funds expecting them to beat the market, but rarely ask how much that outperformance is actually worth to them. Even when a fund delivers strong returns, the benefit to investors shrinks once risk, fees, and overlap with a
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The Cybernetic Oscillator [Financial Hacker]Oscillator-type indicators swing around the zero line. They are often used for opening positions when oscillator exceeds a positive or negative threshold. In his article series about no-lag indicators, John Ehlers presents in the TASC June issue the Cybernetic Oscillator. It is built by applying a highpass and afterwards a lowpass filter to the price curve, then normalizing the result. We already
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Low-Volatility Stocks: Reducing Risk Without Sacrificing Returns [Relative Value Arbitrage]The recent market turbulence highlights the need for improved risk management and strategies to reduce portfolio volatility. In this post, Ill explore how to enhance portfolio diversification using low-volatility stocks. Gold and Low-Volatility Stocks as Diversifiers Gold has long been regarded as a valuable diversification tool in investment portfolios due to its unique characteristics. As an