This is a summary of links recently featured on Quantocracy as of Monday, 09/14/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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Tom Carlson s Adaptive 60/40 Portfolio: Momentum-based Selection of Stock Diversifiers [Portfolio Optimizer]Welcome to 2026, where bonds no longer diversify stocks, volatility remains elevated and inflation isnt going anywhere1. This is the dramatic, although factual, opening of Basis Pointss video Morgan Stanleys asset allocation playbook for the next 5 years. As a consequence, the 60/40 Portfolio – invested 60% in stocks and 40% in bonds – which for decades has stood as the institutional
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Do Analyst Upgrades Beat the Market? We Scored 22,000 Rating Changes [Talval]Every trading day brings a wave of upgrades and downgrades, each one moving a share price and none of them ever audited. The reason is mundane: to score a call you need the price on the day it was made, and that is the one thing almost nobody keeps. We keep it. Our records hold 149,587 analyst rating changes with the price at the moment of the call, going back to May 2016, with the firm named on
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Piecewise-Linear Regime Identification (Interpretable, No Black Box) [Aligrithm]Fit a connected piecewise-linear trend to the Swiss Leaders Index with fifteen breakpoints and you get an in-sample R-squared of 0.954. Fit the same model to a driftless random walk of the same length and you get 0.966. I ran 200 of them. The noise wins at every single value of K, from zero breakpoints to fifteen. Whatever the 0.954 is measuring, it is not evidence that the SLI has regimes. This
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Barrier Crossings to Terminal Distributions: Skellam-Based Options Pricing for 0-DTE Markets [Quantpedia]The explosive growth of hyper-liquid 0-DTE markets has pushed traditional options pricing infrastructure to its breaking point, as continuous Black-Scholes calculus can collapse into an unusable point mass at expiration. Rather than patching a broken formula with hand-fitted tweaks, a new paper suggests dismantling legacy math by replacing continuous geometric Brownian motion with a discrete,
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Reflexivity and the Dynamics of Option Markets [Relative Value Arbitrage]Reflexivity is the process through which market participants actions influence the very market variables on which their decisions are based, creating feedback effects. In this post, we discuss how reflexivity manifests itself in options hedging and how it can be explicitly incorporated into option pricing models. Feedback Effect in the Foreign Exchange Market The BlackScholes-Merton (BSM)