Weekly Recap
Research on investing, macro, 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!
Empirical Asset Pricing
Return Predictability: Accounting versus Market Information (Geertsema and Lu)
Accounting-based information becomes more effective than price information for predicting returns as the forecast horizon lengthens
Market-neutral Carry Strategies: Harvesting Carry Without Market Risk (Tzotchev)
This paper describes how to construct market-neutral carry strategies across asset classes.
Decoding Anomalies Through Alpha Dynamics (Ren)
The paper explores how anomaly alphas evolve over time, revealing that many anomalies are real and persist due to mispricing, not rational models
Intraday Residual Reversal in the U.S. Stock Market (Brogaard)
The paper explores a trading strategy in the U.S. stock market that leverages intraday price movements to achieve significant returns by exploiting predictable reversals in stock prices.
Understanding Factor Value (Zhang)
The valuation of equity factors, measured by book-to-market ratios, is shown to predict future factor returns.
Machine Learning and Large Language Models
Lookahead Bias in Pretrained Language Models (Sarkar and Vafa)
Pretrained language models may inadvertently use future information in predictions, causing look-ahead biases.
Deep Limit Order Book Forecasting (Briola et al.)
The paper develops a deep learning framework to predict stock price movements using limit order book data, highlighting model limitations and practical challenges.
Macro
ECB Macroeconometric Models for Forecasting and Policy Analysis (Ciccarelli et al.)
The paper reviews the European Central Bank's macroeconomic modeling strategy over 25 years, highlighting model applications, challenges, and future directions.
Options
Expected 1DTE Option Returns (Johannes et al.)
The paper analyzes the returns of short-term options expiring in one day, highlighting significant impacts from macroeconomic announcements.
Quant Blogs
The Misunderstood Art of Market Timing (Jonathan Kinlay)
A Two-Factor Model for Capturing Momentum and Mean Reversion in Stock Returns (Jonathan Kinlay)
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