This is a summary of links recently featured on Quantocracy as of Monday, 05/26/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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What are your bars hiding from you? [Trading the Breaking]The electronic marketplace generates vast amount of databillions of timestamped trades, quotes, and cancellationsthat demand processing to extract actionable insights. For quantitative traders, the central challenge lies not in designing strategies but in constructing a robust framework to interpret this data. Raw tick data, while granular, is computationally intensive and often contains
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Market Timing with Macro Surveys [Quant Seeker]Hi there. In recent months, there has been increased chatter about the possibility of a recession triggered by President Trumps tariff war. The recent pause in tariffs appears to have eased some of those concerns. For example, JP Morgan now sees the likelihood of a U.S. recession to be below 50%, and the recession odds on Polymarket currently hover around 40%. For investors, recessions are
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Simplicity or Complexity? Rethinking Trading Models in the Age of AI and ML [Relative Value Arbitrage]When it comes to trading system design, there are two schools of thought: one advocates for simpler rules, while the other favors more complex ones. Which approach is better? This newsletter explores both perspectives through the lens of machine learning. Use of Machine Learning in Pairs Trading Machine learning has become an essential tool in modern finance, transforming the way financial