This is a summary of links recently featured on Quantocracy as of Sunday, 11/02/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
-
R squared and Sharpe Ratio [Investment Idiocy]Here's some research I did whilst writing my new book (coming next year, and aimed at relatively inexperienced traders). Imagine the scene. You're a trader who products forecasts (a scaled number which predicts future risk adjusted returns, or at least you hope it does) who wants to evaluate how good you are. After all you've read Carver, and you know you should use your expected
-
Thanksgiving and Christmas Trading Strategies [Quantpedia]This article examines the impact of major consumer holidays, Thanksgiving and Christmas, on financial markets. Using historical price data from 2004 to 2024, we analyze daily performance trends in the 10 trading days before and after each holiday to determine whether seasonal spending influences asset prices. Our findings suggest that seasonal consumer spending influences financial markets, with
-
ChatGPT in Systematic Investing – Enhancing Risk-Adjusted Returns with LLMs [Concretum Group]This paper investigates whether large language models (LLMs) can improve cross-sectional momentum strategies by extracting predictive signals from firm-specific news. We combine daily U.S. equity returns for S&P 500 constituents with high-frequency news data and use prompt-engineered queries to ChatGPT that inform the model when a stock is about to enter a momentum portfolio. The LLM evaluates
-
Value at Risk: Univariate Estimation Methods [Portfolio Optimizer]Value-at-Risk (VaR) is one of the most commonly used risk measures in the financial industry1 in part thanks to its simplicity – because VaR reduces the market risk associated with any portfolio to just one number2 – and in part due to regulatory requirements (Basel market risk frameworks34, SEC Rule 18f-45). Nevertheless, when it comes to actual computations, the above definition is by no