Recent Quant Links from Quantocracy as of 05/31/2025

Hello all, Welcome to the Quantpedia Awards 2025 winners announcement. This is the moment we all have been waiting for, and today, we would again like to acknowledge the accomplishments of the researchers behind innovative studies in quantitative trading. So, what do the top five look like, and what will the authors of the papers receive? 1st Place Harvey, Mazzoleni, Melone: The Unintended

As mentioned in my last post (here), I designed and developed a way to quickly produce trading systems with the help of generative AI. And while this sounds like a recipe for disaster, because I constrained the problem to a very specific subset and I focused on only a few factors, the results were actually quite amazing. From 875 candidate strategies, I manually filtered out 259 contenders. Using

In two of our previous articles, we explored the idea of using artificial intelligence to backtest trading strategies. Since then, AI has continued to develop, with tools like ChatGPT evolving from simple Q&A assistants into more complex tools that may aid in developing and testing investment strategiesat least, according to some of the more optimistic voices in the field. Over a year has

Time for another batch of top-tier investing research. Below is a carefully curated list of great papers from last week, each linked to the original source for easy access. If youre enjoying these posts, a like or subscribe is always appreciated, thank you for your support! Bonds Book-to-Market, Mispricing, and the Cross Section of Corporate Bond Returns (Bartram, Grinblatt, and Nozawa) Many

Previously, we have discussed classical non-parametric approaches to making probabilistic inferences on attributes of trading strategies based on typical artefacts available. In this post, we discuss and implement in Python a finite-sample probabilistic bounding method, a unique approach coined Rademacher Anti-Serum by Paleologo, in this new book; The Elements of Quantitative Investing. We show

You start writing a trading strategy. The entry? Solid. Sharp. Thought-out. The exit? Let me guess Fixed dollar profit target? A stop based on some ATR multiple? Maybe a hard-coded dollar loss? Or the classic: "Just close it after 7 bars I guess?" Same old, same old. What if thats your weakest link? Stop exiting like everyone else does. We obsess over entries. We optimize

Christian Goulding and Campbell Harvey, authors of the study Investment Base Pairs, proposed a groundbreaking framework for portfolio construction that challenges traditional approaches in modern finance. Their research focused on leveraging cross-asset information to optimize investment strategies and improve returns across diverse asset classes. Heres an overview of their investigation,