This is a summary of links recently featured on Quantocracy as of Tuesday, 06/09/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Forecasting statistical estimates when data gets real [Investment Idiocy]This is my third post in a series about optimisation and fitting. In my previous post I used random data to calibrate and evaluate many portfolio optimisation techniques. It's worth quoting in full from that post: Random data is not real data: Well duh. But why is this important? Because random data is drawn from a fixed and well behaved distribution. This means the optimiser only has to
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Resourcing a Triangulated Stat Arb Operation as a Solo Trader [Robot Wealth]A Tale of Two Prices (the core idea of stat arb) Moneyball (finding undervalued pairs using unconventional metrics) The Winter of our Pairs Trading Discontent (problems, limitations, frustrations) The Metamorphosis (from pairs to portfolio) When is a Mispricing Not a Mispricing? (something looks mispriced why?) At its simplest, stat arb is a bet on convergence: two related stocks drift
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What Trend Following Actually Adds to a Risk-Premia Core [Beyond Passive]Combine a three-asset risk-premia portfolio with a trend-following program and the Sharpe ratio jumps from 1.1 to nearly 1.5. It looks like free diversification. But a trend program is long equities, bonds and metals and a risk-premia core is equities, bonds and metals. So before we accept the free lunch, we should ask what part of it we are paying for twice, and what part is genuinely new.
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UFC – Ultimate Fitting Championships [Investment Idiocy]As I said in my last post I'm currently in the process of a mega-sized research project on fitting. In the first post I examined the correct way to cluster combinations of trading rules and instruments. This next post is rather meatier, and is about evaluating and calibrating some portfolio optimisation techniques. We might call this 'meta optimisation', since we want to find the
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When the insiders and the news disagree: a first look at the cross-signal [Tommi Johnsen]Two different sources each tell you something about where a stock is going. The first is insider trading filings: SEC Form 4, which executives, directors, and large shareholders are required to submit within two business days of buying or selling shares in their own company. The second is the news cycle: analyst reports, earnings coverage, breaking stories. Each source has its own academic
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Reconstructing a Century of U.S. Corporate Bonds [Quantpedia]How much do we really know about corporate bond returns before the modern data era? Until recently, the answer was: not enough. Most empirical work in corporate bond pricing has relied on relatively short samples, especially the post-2002 TRACE period, leaving open the question of whether observed risk premia are robust over longer horizons. Ghaderi, Plante, Roussanov, and Seo (2026) Ghaderi,