This is a summary of links recently featured on Quantocracy as of Wednesday, 09/03/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Bitcoin ETFs in Conventional Multi-Asset Portfolios [Quantpedia]Understanding how Bitcoin-related instruments can fit into traditional portfolios is increasingly relevant for investors. Some risk-averse investors do not like to hold cryptocurrencies in their portfolios strategically; however, they may be open to investing in crypto-linked assets on a tactical level. In this context, our goal is to explore how we can provide short-term Bitcoin exposure while
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Weekly Research Recap [Quant Seeker]Global News Networks and Return Predictability (Freire, Moin, Quaini, and Soebhag) News sentiment, extracted from a massive global article dataset, predicts daily equity index returns across 14 developed markets. Local sentiment strategies nearly double buy-and-hold Sharpe ratios (e.g., U.S. 1.34 vs. 0.62), with net alphas of about 16% after trading costs and one-third smaller drawdowns. Adding
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Stochastic Volatility Models for Capturing ETF Dynamics and Option Term Structures [Relative Value Arbitrage]The standard Black-Scholes-Merton model is valuable in both theory and practice. However, in certain situations, more advanced models are preferable. In this post, I explore stochastic volatility models. Stock and Volatility Simulation: A Comparative Study of Stochastic Models Stochastic volatility models, unlike constant volatility models, which assume a fixed level of volatility, allow