This is a summary of links recently featured on Quantocracy as of Thursday, 09/25/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Refining The 0DTE SPX Breakout Strategy with Evidence-Based Exclusions [Quantish]Every quant has been there. Youre backtesting a strategy, the overall results look good, but something feels off when you dig into the day-by-day breakdown. You keep digging while your gut says this feels like data mining, but the statistics keep pointing to the same uncomfortable truth some trading days are just bad for business. Thats where I found myself with the SPX opening
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Weekly Research Recap [Quant Seeker]The Term Structure of European Carbon Futures and the Predictive Power of Speculators and Hedgers (Lautner, Dudda, and Klein) Shifts in the carbon futures term structure are driven by hedgers, not speculators. Using ESMA Commitment of Traders data, the authors show that a 1% increase in commercial long hedging demand predicts a 0.21% rise in the curve level one month ahead. Speculator activities,
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Intelligent Concentration: A Synopsis of Warren Buffett and Diversification [Alpha Architect]Warren Buffetts diversification practices have been back in the spotlight over the past few years. Specifically, the level of concentration in his portfolio has come under scrutiny due to the size of the largest stock holding in Berkshire Hathaways marketable equities portfolio. A historical review of Buffetts implementation of diversification and concentration in practice, as well as his
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A Golden Opportunity to Upgrade a 60/40? [Alpha Architect]Our friends Corey Hoffstein and Rodrigo Gordillo over at Return Stacked have done some interesting research on the potential for gold to improve your run-of-the-mill 60/40. Youll need to hit them directly on their site to get their full report. However, I read their very detailed white paper, and I thought the concept was intriguing and worth a look for Alpha Architect readers seeking tactical