Recent Quant Links from Quantocracy as of 09/20/2026

Vance Harwood passed away in September 2026 after a brief and very unexpected illness. Any clients who have posted orders can get their payments refunded via the platform chosen for payment. May his best live on in others. Should you have any important questions or concerns, contact Heidi Nordberg: hlnordberg at gmail

Holidays put people in motion. In the days surrounding major U.S. holidays, airports become busier as travelers visit their families or take advantage of extended weekends. Financial markets themselves are known to display a holiday-related seasonality. In our previous research on the Pre-Holiday Effect in Commodities, we identified a short-term price drift in crude oil and gasoline before major

Every quant hits the same wall. You have hundreds of features that look predictive in isolation. Now you need to combine them into a single portfolio. This is a worked example of that problem: 576 features, 25 instruments, 5 asset classes, daily bars. What to select, how to combine, and where it quietly breaks. 1. The Problem The investment universe is 25 instruments across 5 asset classes: equity

A regime tilt is bought as insurance: lean into momentum while the market is calm, into quality when it is stressed, and keep your head in a crash at little cost in between. The premium is rarely priced with the rule held fixed, because most tests choose the thresholds after seeing the crashes. This one fixed them before the walk and printed the bill year by year. Two portfolios hold thirty

There is 150 years of data on stocks, on bonds, on gold, and on property. On the asset most people actually hold, there is almost nothing. Cash has no volatility, so there seems to be nothing to measure. That turns out to be the wrong conclusion. What is actually guaranteed A Treasury bill promises a number. You put in a hundred, and in three months you get back a hundred plus a little, and the

Trend following is one of the oldest and most persistent anomalies in finance. The evidence that recent winners continue to outperform recent losers has been documented across virtually every liquid asset class, stretching back at least two centuries. It stands in direct opposition to the Efficient Market Hypothesis, yet it has survived out-of-sample testing, multiple market regimes, and decades

The overnight gain is real. Since 1993 nearly everything the S&P 500 paid came between the close and the next morning's open, and a dollar held in SPY only overnight ended more than ten times above a dollar held only through the trading day. Every year someone puts this back into circulation as a discovery, with a table of small stocks whose night returns run to thousands of times and a

A 70.8% continuation rate looks like a trade. Greene sorts 4,061 Kalshi contracts by the quality of their price trend over the window from 30 to 12 minutes before close, and the top decile keeps moving in the trend's direction 70.8% of the time against 51.2% in the bottom decile. Ex-post forecast error falls from 14.75 cents to 6.07 cents across the same sort. Both gaps carry contract-level

When we published that piece we said a re-test was scheduled and that we would report it whichever way it came out. It has now run, on data through 18 September. Here is what it found, and what it changes. The short version. On all the data together the result is stronger and cleaner than what we published. On the five weeks of genuinely new data considered alone, the size of the effect held up

We wanted to see whether a long-only, rules based algorithm applied to US industries could remain profitable over a full century. Our paper written with Gary Antonacci, A Century of Profitable Industry Trends, answers exactly that. Using Kenneth Frenchs industry data from 1926 to 2024, the strategy delivers 18.2% compounded per year, with 12.6% volatility and a Sharpe ratio of 1.39. For

Macroeconomic theory suggests that aggregate demand for goods and services is a key determinant of interest rates. Interest rates regulate demand strength or weakness through market-based financing conditions and central-bank reaction functions. If financial markets do not immediately incorporate all information contained in macroeconomic trends, excess-demand pressures should help predict