This is a summary of links recently featured on Quantocracy as of Saturday, 07/25/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Network Momentum [Quantitativo]Networks are everywhere. All you need is an eye for them. Albert-Lszl Barabsi. Albert-Lszl Barabsi is a Romanian-born Hungarian-American physicist, renowned for his pioneering discoveries in network science. In his seminal 1999 paper with Rka Albert, Emergence of Scaling in Random Networks, he reshaped how we understand connected systems. His 2002 book Linked carried the
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Momentum Is a Ranking Problem: Learning-to-Rank vs Regress-then-Rank [Aligrithm]Cross-sectional momentum has one job: at each rebalance, order a universe of assets from worst to best, buy the top, sell the bottom. Everyone agrees on that. Where strategies quietly disagree is on how they produce the order. Classic momentum sorts on the past twelve-month return. A neural net predicts each asset's next return and sorts on the prediction. Both treat the ranking as a
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Part (3/3) – Refiner Trade: A Second Signal and the Case for Trading Less [Beyond Passive]The first part described the idea and put a gross Sharpe of about one and a half on it. The second part set it in front of a brokers fees and an integer number of shares, and watched most of the edge go to the cost of trading. This part adds a second signal, drawn from the same spread. It does not raise the return by much. What it does is trade far less, and on a small account that is worth
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Portfolio optimization with macro factors and neural networks [Macrosynergy]This article shows a practical method for optimizing equity portfolios with point-in-time macroeconomic information and sequential statistical learning. The learning process relies on neural networks, as they learn portfolio weights directly from a full historical panel of macroeconomic divergence factors and return data. They do not require stock-by-stock theoretical priors for model
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Research Review | 24 July 2026 | Strategy Analytics [Capital Spectator]The CAPE that Cried Wolf Dino Palazzo (Board of Governors of the Federal Reserve System) May 2026 The Capital Spectators Takeaway The paper reports that traditional CAPE ratios false warnings of market overvaluation since the 1990s are an accounting illusion caused by mandatory R&D expensing and volatile special-item write-downs. By stripping out these regulatory distortions, CAPE-H