This is a summary of links recently featured on Quantocracy as of Monday, 12/01/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Switch-off: Robust changepoint protocol [Trading the Breaking]Introduction. The drift in algorithm performance. Taxonomy of performance drift. Model risks and limitations. Robust estimation and the biweight loss. M-estimators and the geometry of influence. Tukeys Biweight (bisquare) loss. Iteratively Reweighted Least Squares (IRLS). Regime segmentation via penalized dynamic programming. The PELT Algorithm (Pruned Exact Linear Time). The pruning
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New Site: Traders Are Watching the Wrong Metric: Why Rate Cuts Alone Don’t Move GBP/USD [FX Macro Data]Every Fed or BoE rate cut is accompanied by headlines predicting a market reaction. Traders refresh charts, expecting a sharp move in GBP/USD, but decades of data tell a different story. Analysis shows that, on the day of the announcement, the currency barely budges. In fact, most of the action happens before the policymakers even speak. 1. Fetching the Data To understand whether rate cuts are
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EMNLP 2025 in Suzhou [Gautier Marti]This year at EMNLP 2025 in Suzhou, my colleague Khaled Al Nuaimi and I attended the conference so that Khaled could present his paper on Evasive Answers in Financial Q&A, and also to explore current R&D trends in empirical NLP. While walking through the poster sessions, we saw a dozen of papers closely related with our recent contributions and joint research program with Khalifa
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The Effectiveness of Collar Structures in Equity and Commodity Markets [Relative Value Arbitrage]There are several popular options strategies frequently discussed in the trading and investing literature, as well as on social media. In a previous post, we examined the effectiveness of the covered call strategy, which has gained wide adoption among retail investors. In this edition, we extend our critical evaluation to another widely used approachthe options collar, a strategy employed by