This is a summary of links recently featured on Quantocracy as of Tuesday, 11/25/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Weekly Research Recap [Quant Seeker]Crypto The Impact of Spoofing on Bitcoin Market Microstructure (John, Li, Liu, and Yang) Spoofing on Coinbase is widespread, with large orders quickly placed and canceled to move Bitcoin prices. It is highly profitable: Each one-unit rise in spoofing volume generates about +27 bps (bid) and +55 bps (ask) in short-term profit with limited risk. At the same time, spoofing widens bidask spreads
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An updated look at Thanksgiving Week Stats [Quantifiable Edges]The time around Thanksgiving has shown some strong tendencies both bullish and bearish. I have discussed them a number of times over the years. In the updated table below I show SPX performance results based on the day of the week around Thanksgiving. The bottom row is the Monday after Thanksgiving week. The top row is the Monday before Thanksgiving. Monday and Tuesday of Thanksgiving week do
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Momentum factor investing: Evidence and evolution [Alpha Architect]Momentum, the tendency for recent winners to keep outperforming and losers to keep lagging, has been one of the most persistent puzzles in finance. This new paper revisits the factor with the largest and most comprehensive dataset ever assembled, spanning more than 150 years and 40 countries. The verdict is clear. Momentum works, across markets, time periods, and portfolio designs. But it also has