Weekly Recap
Research on quant investing and trading
Welcome to this week’s collection of links to the latest research and insights on quant investing. Below, you’ll find a curated list where each title links to the source for more information. Thank you for reading!
Commodities
Factor Momentum in Commodity Futures Markets (Qian et al.)
This paper finds evidence of short-term factor momentum in commodity markets, suggesting that it might be possible to time commodity factors.
Currencies
Commodity Prices and Currencies (Jeanneret and Sokolovski)
Currencies with positive exposure to commodity prices are predictable using past changes in commodity export prices, particularly among EM currencies.
Exotic Currencies and the Frontier Premium in Foreign Exchange Markets (Török)
FX carry returns are shown to be strong among exotic currencies, despite having weakened among G10 currencies.
Equity Factors
Non-Linear Factor Returns in the U.S. Equity Market (Clarke et al.)
The paper examines non-linearities between characteristics and equity factor returns, where allowing for non-linear effects increase risk-adjusted returns.
Machine Learning
Machine Learning Methods in Finance: Recent Applications and Prospects (Hoang and Wiegratz)
This is a survey paper of recent research in machine learning and finance, reviewing various machine learning applications across asset pricing and corporate finance.
The Expected Returns on Machine-Learning Strategies (Azevedo et al.)
This paper uses >300 published equity anomalies as features and finds significant predictability, net of costs, across a range of ML techniques.
Optimal Portfolios
Universal Portfolio Shrinkage (Kelly et al.)
The paper introduces a new method for optimizing portfolios by efficiently reweighting low-variance components to improve out-of-sample performance.
Options
0DTEs: Trading, Gamma Risk and Volatility Propagation (Dim et al.)
The paper investigates the impact of trading in zero-dated options on market stability, finding market makers' hedging reduces volatility.
0DTE Trading Rules (Vilkov)
The author analyzes trading strategies using zero-days-to-expiry (0DTE) options, highlighting significant variance risk premiums and high volatility.
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