This is a summary of links recently featured on Quantocracy as of Sunday, 11/23/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Macroeconomics with Gaussian Mixture Models [OS Quant]Returns can be viewed as a product of an underlying market regime. This article models those regimes and shows how to extend the model with macroeconomic variables to link regimes to observable economic indicators. Some time ago I read a Two Sigma article on using Gaussian mixture models for regime detection 1. I wanted to understand the math behind these methods and extend them by tying the
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QuantMinds London 2025 [Turnleaf Analytics]Are you on mute? is perhaps the most succinct catchphrase which most comprehensively describes the post-covid landscape of work. Yet, despite the plethora of video conferencing tools out there, there is still something to be said for being there in person. If anything, the sheer volume of virtual interactions means that a real interaction becomes more valuable. If you really want
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Rethinking Growth Investing: Why Traditional Growth Indices Miss the Mark [Alpha Architect]Historically, the finance community (both academics and investment firms) has divided stocks into two categories: cheap and expensive. Initially, the book-to-price ratio was used to allocate stocks into growth (expensive) or value (cheap) indices. Other metrics, such as price-to-earnings, price-to-sales, and price-to-cash flow, are now also commonly used. What was not value was growth and vice