This is a summary of links recently featured on Quantocracy as of Wednesday, 05/20/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to Manage an Intraday Trend Trade [Concretum Group]In managing our book, we run trend strategies across multiple asset classes and at different speeds, with exposure ranging from slower multi-day systems to faster intraday signals. Regardless of model specifications, we keep observing the same pattern: small implementation details can produce surprisingly large differences in realized performance. As we like to say dispersion is in the details.
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A Century Without Data: Reconstructing Emerging Markets Equity History [Quantpedia]For U.S. equities, fixed income, and commodities, reconstructing long-term historical datasets is relatively straightforward, and we have already explored these challenges in several previous studies, including 100 Years of Multi-Asset Trend Following, Extending Historical Daily Bond Data to 100 Years, and Extending Historical Daily Commodities Data to 100 Years. Moreover, the broader methodology
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Market Effect Research: Turn of the Month Effect [TradeQuantiX]Welcome to the Systematic Trading with TradeQuantiX newsletter, your go-to resource for all things systematic trading. This publication will equip you with a complete toolkit to support your systematic trading journey, sent straight to your inbox. Remember, its more than just another newsletter; its everything you need to be a successful systematic trader. Introduction: This is the
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Nine Pounds of Ore for an Ounce of Gold [Tommi Johnsen]Last night the pipeline pulled 1,199 financial news articles tagged across nine GICS sectors. It started at 9 PM Mountain Time and finished around 1 AM. By morning we had sorted the catch. One hundred and six articles carried direction. The other one thousand ninety-three were ore. Thanks for reading! Subscribe for free to receive new posts and support my work. If you mine gold in the western
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Who Profits from Prediction Markets? [Quantpedia]In the high-stakes arena of prediction markets, a counterintuitive pattern emerges: retail traders who correctly pick winners more than half the time still lose money, while automated traders with coin-flip accuracy pocket nine-figure profits. Using 222 million prediction market trades with directly observable terminal payoffs, the paper Who Profits from Prediction? Execution, Not
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Volatility Derivatives and VIX Market Dynamics [Relative Value Arbitrage]Hedging is a fundamental risk management tool. The most common hedging instruments are futures and options associated with a given underlying asset, when available. For equity exposure, index options are also widely used for hedging. However, hedging can be done not only through equity index options, but also through volatility derivatives, although the latter are considerably more complex and