This is a summary of links recently featured on Quantocracy as of Saturday, 06/14/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Absolute Valuation Models for the Stock Market: Are Indexes Fairly Priced? [Quantpedia]Valuation models for equity indexes are essential tools for investors seeking to assess long-term market conditions. Traditional models like the CAPE ratio, introduced by Robert J. Shiller, or the Buffett Indicator often rely on macroeconomic variables such as corporate earnings or GDP. While informative, these models can be complex and dependent on data that may be revised or vary across regions.
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Cesar Alvarez – A Novel Way to Combine Trend, Reversion, ETFs, Volatility & More [Algorithmic Advantage]When I sat down recently with Cesar Alvarez of Alvarez Quant Trading, I knew I'd be tapping into a deep reservoir of quantitative trading wisdom. Cesars journey into systematic trading began similarly to many of usstarting with discretionary trades, dabbling in mutual funds, and eventually stumbling into the quant world. From his early days at Connors Research to managing sophisticated
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Generating Synthetic Equity Data with Realistic Correlation Structure [Quant Start]Recently on QuantStart we have begun looking at generating synthetic asset price paths using Stochastic Differential Equation models such as the Brownian Motion, Geometric Brownian Motion (GBM), Ornstein-Uhlenbeck and Vasicek Models. Historically, we have also considered more sophisticated models such as the Heston Stochastic Volatility Model. What we have not considered to any great extent in
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Don’t Over-Engineer your Trading Business Make Money Instead [Robot Wealth]Someone sent me their trading technology blueprint. It was a thing of beauty: timeseries databases, Grafana dashboards, message queues, and all sorts of fancy architecture. My first question: What are you currently trading? Their answer: Nothing yet. But Im planning a medium frequency stat arb basket trade. I almost spat out my coffee. Look, I get it. If you come from a tech
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Enhancing Momentum Strategies [Alpha Architect]Paul Calluzzo, Fabio Moneta, and Selim Topaloglu, authors of the April 2025 study Momentum at Long Holding Periods investigated a key aspect of how academic momentum strategies are typically constructed when forming a portfolio. Specifically, at the end of each month t1, the standard 12-2 momentum strategy sorts stocks based on their cumulative returns from month t12 to month t2 and
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Short-Term Basis Reversal [Quantitativo]A single hair from the head of a woman is worth more than all the books of Galen and Avicenna. Paracelsus. Paracelsus (14931541) was one of the most radical and influential physicians and philosophers of the Renaissance. A restless traveler, alchemist, and fierce critic of medical orthodoxy, he believed that true knowledge came not from ancient books but from direct observation of nature
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Weekly Research Recap [Quant Seeker]The Reaction of Corn Futures Markets to US and Brazilian Crop Reports (Silveira, Silva, Mattos, Junior, and Capitani) Crop reports from the US and Brazil inform markets about expected corn production, but not all reports have the same impact. The authors find that US reports prompt sharp price movements and trading spikes in both US and Brazilian futures markets while Brazilian reports, on the