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!
Crypto
Some Stylized Facts About Bitcoin Halving (Lashkaripour)
This paper explores how Bitcoin halvings impact prices, transaction fees, and miners’ revenues.
Optimal market-neutral currency trading on the cryptocurrency platform (Yang and Malik)
This paper considers pairs trading of fiat currencies quoted against ETH and suggests a technique called “Optimal Trading Technique”.
Currencies
Short-Horizon Currency Expectations (Filippou et al.)
This paper sorts currencies according to the systematic component of analysts’ FX forecasts and finds predictability across forecast horizons, generating meaningful Sharpe ratios.
Empirical Asset Pricing
The Big League Effect (Smith)
The paper critiques implausible stock return effects, demonstrating that these are statistical artifacts rather than true causal relationships.
Machine Learning and Large Language Models
Financial Statement Analysis with Large Language Models (Kim et al.)
This authors feed financial statements to GPT-4 and find that it outperforms financial analysts in predicting the sign of earnings changes.
FinRobot: An Open-Source AI Agent Platform for Financial Applications using Large Language Models (Yang et al.)
This paper presents FinRobot, an open-source platform that introduces specialized AI agents for finance.
Trading
Doubling: Nick Leeson's Trading Strategy (Brown and Steenbeek)
This is an older article I came across that nicely describes how Nick Leeson brought down Barings Bank in 1995.
Volatility
Modeling and Forecasting Intraday Spot Volatility (Clements and Preve)
This paper uses the Optimal candlesticK (OK) volatility estimator developed by Li et al. (2022) to predict intraday volatility, outperforming competing approaches.
Podcasts
Nicolas Mirjolet - Multivariate Trend Following (Flirting with Models - podcast)
Trend Following as a Return Enhancement Overlay (Top Traders Unplugged - podcast)
The Trading Strategies of Jim Simons' Medallion Fund with Greg Zuckerman (The algorithmic advantage - podcast)
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