Recent Quant Links from Quantocracy as of 05/24/2026

Pairs trading remains a feasible approach for the indie trader. But, as we saw last time, there are inherent limitations. Trading both legs eats a lot of buying power and limits the number of pairs you can trade. Trading only the mispriced leg helps, but introduces a ton of variance. Essentially, the trade-off is accepting a wilder ride in exchange for higher expected returns and better capital

Our study explores a weekly-rebalanced dual-momentum-based Global Tactical Asset Allocation (GTAA) strategy applied to a diversified set of ETFs. The strategy selects assets based on relative momentum and applies an absolute momentum filter to avoid declining investments. Ultimately, a single combined strategy was created by merging two sub-strategies, incorporating both shorter- and longer-term

Without a shade of doubt, Market Wizards books have been a staple in the upbringing of whole generations of traders and investors, and rightfully so we ourselves have been inspired by the exceptional stories within them. The series, authored by Jack Schwager, began in 1989: what has made it so enduring is not the trading insights alone, but the human stories behind them, of rigor, discipline,

Choi, Huh and Su have a very good paper entitled Tighter uniform bounds for BlackScholes implied volatility and the applications to root-finding. Whats particularly great is that it gives both a decent lower bound and a proof a monotone convergence using Newtons method starting from this lower bound. The industry standard for solving the Black-Scholes implied volatility is Peter Jckel

For decades, academic researchers have catalogued hundreds of patterns in the stock market statistical regularities linking firm characteristics to future returns. These persistent return patterns, unexplained by standard risk models, are known as anomalies. They now form the intellectual backbone of a multi-trillion-dollar industry called factor investing, implemented through mutual funds,