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
Cryptocurrency Volume-Weighted Time Series Momentum (Huang et al.)
The paper demonstrates that incorporating trading volume into momentum strategies in cryptocurrency markets significantly enhances profitability beyond traditional methods.
Empirical Asset Pricing
Stock-Bond Correlation: Theory & Empirical Results (Portelli and Rancalli)
The paper analyzes the changing correlation between stock and bond returns, highlighting its impact on portfolio risk management and asset allocation strategies over time.
Forecasting: theory and practice (Petropoulos et al.)
This is an extensive review of theory and practical applications when it comes to forecasting.
Machine Learning
Foreign Signal Radar (Jiao)
The paper investigates how foreign market information can predict U.S. stock returns using machine learning, revealing significant predictive power across various stocks and industries.
Macroeconomic Announcement and Machine Learning for Asset Pricing (Liao et al.)
The paper explores how machine learning models improve stock return predictions by distinguishing between macroeconomic announcement and non-announcement trading days.
Macro
Inflation and Trading (Schnorpfeil et al.)
The paper examines how investors' beliefs about inflation affect their trading behavior, revealing widespread optimism and a lack of awareness about inflation-hedging strategies.
Statistical Arbitrage
Quantitative methods of statistical arbitrage (Ning)
Recent dissertation by Boming Ning at Purdue on statistical arbitrage.
Trading
A Tactical Strategy using ETFs: Harvesting Volatility Risk Premia & Crisis Alpha (Sadik)
The author describes a strategy of timing long/short VIX ETFs, combined with trend following on commodity and bond ETFs.
Podcasts
Cliff Asness - Simple Investing is Hard (Capital Allocators)
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