This is a summary of links recently featured on Quantocracy as of Tuesday, 11/11/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Is predicting vol better worth the effort and does the VIX help? [Investment Idiocy]I'm a vol scaler. There I've said it. Yes I adjust my position size inversely to vol. And so should you. But to this well we need to be able to predict future vol; where the 'future' here is roughly how long we expect to hold our positions for. Some people spend a lot of effort on this. They use implied vol from options, high(er) frequency data, GARCH or stochastic vol models.
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Weekly Research Recap [Quant Seeker]What 200 Years of Data Tell Us About the Predictive Variance of Long-Term Bonds (Della Corte, Gao, Preve, and Valente) Over two centuries of data show that the risk of holding long-term foreign bonds without currency hedging increases with the investment horizon rather than mean-reverting. The dominant sources of uncertainty are exchange rate fluctuations and shifts in monetary and interest-rate
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Denoising Correlation Matrices for More Stable Portfolio Optimization [Sitmo]Portfolio optimization lies at the heart of asset management, guiding investment strategies from risk minimization to return maximization. Many of the most widely used allocation methods such as minimum variance, maximum Sharpe ratio, and risk parity rely on the inverse of the correlation matrix to compute optimal portfolio weights. However, if the correlation matrix is poorly conditioned (i.e.,