This is a summary of links recently featured on Quantocracy as of Thursday, 12/11/2025. To see our most recent links, visit the Quant Mashup. Read on readers!
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Covariance Matrix Forecasting: Average Oracle Method [Portfolio Optimizer]Continuing this series on covariance matrix forecasting (c.f. here and there for the previous posts), I will now describe a relatively recent1 data-driven, model-free, way to [forecast] covariance [and correlation] matrices of time-varying systems2 rooted in random matrix theory. This method – introduced in Bongiorno et al.2 and called Average Oracle – consists in replacing the eigenvalues of a
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Statistical Factor Modeling [OS Quant]This article explores using data to uncover latent streams of returns, otherwise known as factors. We jump into the world of rotations to make sense of the factors and show how to ensure stability when used for real-world trading. Author Adrian Letchford Published 26 November 2025 Length 29 minutes When you buy something and the price changes, what happened? Lets say, for example, you buy
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Murphy’s Law [Quantitativo]Anything that can go wrong, will go wrong. Major Edward A. Murphy Jr., aerospace engineer A few days ago in Abu Dhabi, I met an old friend I hadnt seen since our graduation. We were among the very few aerospace engineers trained in our home country that year. After a few years serving in the Air Force (I went straight into civilian life, he didnt), he eventually moved on: first