This is a summary of links recently featured on Quantocracy as of Monday, 09/29/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Hedging Tail Risk with Robust VIXY Models [Quantpedia]Extreme market events, once perceived as statistical outliers, have become a central concern for investors. The persistence of sharp drawdowns and volatility spikes demonstrates that the cost of ignoring tail risks is not tolerable for long-term portfolio resilience. While diversification can mitigate ordinary fluctuations, it often fails when markets move in unison under stress. This makes
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Parameter-free optimization [Trading the Breaking]Lets talk plainly. Quant finance has spent years chasing complexitylayering indicators, stacking models, scaling clustersanything that might tease out an edge. Weve built whole infrastructures around that chase: faster data, bigger grids, deeper nets. Yet under all that polish sits an awkward truth we rarely lead with: most strategies lean on hand-picked knobs. Call them
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Cross-Sectional and Dollar Components of Currency Risk Premia [Quantpedia]Currency strategies often appear simple on the surface go long high-yielding currencies, short low-yielding ones, or take a position on the U.S. dollar. But these trades actually mix two distinct components: a Dollar component, which bets on broad movements of the U.S. dollar against all others, and a Cross-Sectional (CS) component, which exploits relative differences across countries. The
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A scorecard for global equity allocation [Macrosynergy]Macro-quantamental scorecards are systematic enhancements of discretionary portfolio management. They offer (a) information efficiency by structuring and condensing key macroeconomic data series, and (b) empirical validation of predictive power and trading value using historic point-in-time information. Scorecards can be readily built in Python, with pandas and existing classes and methods.
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Volatility Risk Premium Across Different Asset Classes [Relative Value Arbitrage]The volatility risk premium has been studied extensively in the equity space, but less so in other asset classes. In this post, we are going to examine the VRP across different asset classes. Volatility Risk Premium Across Different Asset Classes The volatility risk premium (VRP) is the compensation investors receive for bearing the risk associated with fluctuations in market volatility, typically