This is a summary of links recently featured on Quantocracy as of Monday, 06/09/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Supervised Portfolios: A Supervised Machine Learning Approach to Portfolio Optimization [Portfolio Optimizer]Standard portfolio allocation algorithms like Markowitz mean-variance optimization or Choueffati diversification ratio optimization usually take in input asset information (expected returns, estimated covariance matrix) as well investor constraints and preferences (maximum asset weights, risk aversion) to produce in output portfolio weights satisfying a selected mathematical objective like
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Reduce Trading Costs and Boost Profits with the “No-Trade Region” Strategy [Robot Wealth]An easy, practical way to harness an edge in the face of trading costs is the no trade region technique. It nearly always improves after-cost performance. Heres a real example: And it does so with only one-tenth of the trading of the baseline strategy! Uncertain edge vs certain costs A good thing to remember is that your edge is uncertain not only do you usually not know how big it
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Cross-Attention for Cross-Asset Applications [Gatambook]In the previous blog post, we saw how we can apply self-attention transformers to a matrix of time series features of a single stock. The output of that transformer is a transformed feature vector r of dimension 768 1. 768 is the result of 12 64: all the lagged features are concatenated / flattened into one vector. 12 is the number of lagged months, and 64 is the dimension of the embedding
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Gold Ratios as Stock Market Predictors [Relative Value Arbitrage]The ratio of gold prices to other asset classes has been shown to be a useful predictor of stock market returns. In this post, we discussed several gold-based ratios and how they can be used to forecast equity market performance. Gold Oil Price Ratio As a Predictor of Stock Market Returns Analyzing intermarket relationships between assets can help identify trends and predict returns.
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Pre-Announcement Drift for BoE, BoJ, SNB: Do Markets Move Before the Word Is Out? [Quantpedia]Weve previously examined how central bank policy decisionsparticularly those by the Federal Reserve and the European Central Bank (ECB)impact stock market behavior. The price drift in U.S. equities around the Federal Open Market Committee (FOMC) meetings is a well-documented phenomenon. Likewise, our research study of the ECB revealed a pre-announcement drift, underscoring the