This is a summary of links recently featured on Quantocracy as of Wednesday, 09/30/2026. To see our most recent links, visit the Quant Mashup. Read on readers!
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A New Stage, a New Deadline: Quantpedia Awards 2027 Are Here Again! [Quantpedia]Hello everyone, The Quantpedia Awards are backand this time, were taking the winners announcement to the stage! For the 2027 edition, were bringing together an attractive prize pool, a panel of investment professionals and academics, and a new opportunity to put outstanding quantitative research in front of the industry. If you have been developing a systematic trading strategy,
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Replication: Intraday Momentum, Eight Years Later [Dead Signals Lab]The previous note inaugurated the replication arc with an anomaly that died by decay. The present replication examines a more recent published case of finer mechanics: the market intraday momentum documented by Gao, Han, Li and Zhou in 2018, according to which the sign of the first half hour of the session predicts the return of the last half hour. The outcome, stated upfront in one line, is less
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ML in the Cross Section: Avramov’s Companion to the DDA3600 Spine [Aligrithm]On the non-microcap book, 0.50% times the Gu-Kelly-Xiu neural net's turnover of 0.869 costs 0.4345% a month. Its Fama-French six-factor alpha on that book is 0.312%. The ticket is larger than the alpha. Instrumented principal components, the linear model that lets betas move with firm characteristics, posts a six-factor alpha of 0.613% against a cost of 0.565% and clears by 0.048 percentage
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Analysing 335 Quant Trading Podcasts: How Systematic Managers Trade [Delphic Alpha]What do systematic managers actually do with their money? This post distils 335 podcast episodes, about 3.7 million words of interviews with CTAs, quants and allocators, into practical lessons. Every claim links to the episode it came from. It is organised around the questions people ask most: which strategies they run, which signals and models they use, how they build portfolios and execute,
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Correlation, Volatility-of-Volatility, and Sector Implied Volatility [Relative Value Arbitrage]Correlation is an important component of portfolio and risk management. However, unlike volatility, which has received significant attention and for which numerous models have been developed, correlations have received considerably less attention from a modeling perspective. In this post, we give correlations the attention they deserve and examine their role in volatility dynamics, portfolio