This is a summary of links recently featured on Quantocracy as of Tuesday, 08/05/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Quantamental Catch-Up [Anton Vorobets]Many of you have undoubtedly enjoyed the summer holidays, so you might have missed out on the first five lectures of the Applied Quantitative Investment Management course. So far, we have been through the first four chapters of the Portfolio Construction and Risk Management book, reaching a point where we understand stylized market facts, the investment simulation framework, and multi-asset
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Cultural Calendars and the Gold Drift: Are Holidays Moving GLD ETF? [Quantpedia]Financial markets exhibit persistent calendar anomalies, which often defy the efficientmarket hypothesis by generating predictable return patterns tied to institutional or cultural events. In this paper, we document a novel, globally pervasive drift in gold prices surrounding major wealth-oriented festivals across the four principal cultural and religious domains: Christianity, Islam, Hinduism,
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Weekly Research Recap [Quant Seeker]Commodities and Conundrums: Decoding Behavioural Finance in Market Dynamics (Till) Investors often underestimate the influence of psychological biases in trading, particularly in commodity markets. This paper examines real-world cases, such as the collapse of MF Global, where overconfidence, loss aversion, and confirmation bias led to significant failures. It also explores common commodity trading
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The Limits of Out-of-Sample Testing [Relative Value Arbitrage]In trading system design, out-of-sample (OOS) testing is a critical step to assess robustness. It is a necessary step, but not sufficient. In this post, Ill explore some issues with OOS testing. How Well Overfitted Trading Systems Perform Out-of-Sample? In-sample overfitting is a serious problem when designing trading strategies. This is because a strategy that worked well in the past may not