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Quantpedia’s Black Friday Deal Do you like Quantpedia’s Prime, Premium or Pro offerings, but you can’t make up your mind? Do not wait any longer. Only once a year, Quantpedia’s Black Friday Deal offers you 33% more of our services for the same price. Quantpedia offers more than just an extended subscription: •   Access our unique database of over 1,000 trading strategies—complete with descriptions, performance and risk metrics, Python code, and links to thousands of related academic research papers. •   Leverage our portfolio modeling tool to design, analyze, and visualize your model portfolio, helping you refine your asset allocation decisions. Understand your portfolio's factor exposures, correlations, market risks, and more. https://lnkd.in/eABhBiz #quantpedia #blackfriday #algo #quant #trading #research

Quantpedia’s Black Friday Promo Is Still On! Quick reminder - our special Black Friday offer is still available, but only until Tuesday, December 3rd, 2024. This is the only time of the year when you can enjoy our extended subscriptions at no extra cost! https://lnkd.in/eABhBiz

Quantpedia Explains (Trading Strategies) Episode 100 is live - How To Trade Bitcoin’s Overnight Sessions? - Join us as we explore the intraday and overnight trading dynamics of Bitcoin in the 24/7 cryptocurrency market. - video: https://lnkd.in/dccUYyEU - blog post: https://lnkd.in/d8crv2t8

How Does the Passive Investing Impact Market Risk? The rise of passive investing has been one of the most profound trends in the asset management industry in the past two decades. However, how does the popularity of passive funds impact market risk? We can rely on the data, and a recent research paper shows that the impact is significant, mainly through a substantial increase in stock correlations. As more investors flock to passive funds, which track indices, the prices of stocks within those indices tend to move more in tandem, increasing market-wide risk. https://lnkd.in/du5c_3Qf

Can Twitter Images Predict Price Action During FED Announcements? Do the quants possess a crystal ball? The recent research hints, that if we try to process the Twiter images, then we may get a small glimpse into the future. The Federal Open Market Committee (FOMC) meetings significantly influence financial markets, drawing global attention from traders and investors, especially regarding equity risk premia. Recent research indicates that combining sentiment analysis of Twitter images with text analysis can more accurately predict stock performance on FOMC days than text alone. https://lnkd.in/dVgVZ2g3

How To Profitably Trade Bitcoin’s Overnight Sessions? As interest in cryptocurrencies continues to surge, driven by each new price rally, crypto assets have solidified their position as one of the main asset classes in global markets. Unlike traditional assets, which primarily trade during standard working hours, cryptocurrencies trade 24/7, presenting a unique landscape of liquidity and volatility. This continuous trading environment has prompted us to investigate how Bitcoin, the flagship cryptocurrency, behaves across intraday and overnight periods. With Bitcoin’s growing availability to both retail and institutional investors through ETFs and other investment vehicles, we hypothesized that trading activity in these distinct timeframes could reveal patterns similar to those seen in traditional markets, where returns are often impacted by liquidity shifts during off-peak hours. https://lnkd.in/d8crv2t8

Quantpedia in October 2024 – An enhanced Basic Overview report – new calculations and reporting capabilities – 11 new Quantpedia Premium strategies have been added to our database – 9 new related research papers have been included in existing Premium strategies during the last month – Additionally, we have produced 7 new backtests written in QuantConnect code – 5 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month https://lnkd.in/dXmvigrV

The Impact of Methodological Choices on Machine Learning Portfolios Studies using machine learning techniques for return forecasting have shown considerable promise. However, as in empirical asset pricing, researchers face numerous decisions around sampling methods and model estimation. This raises an important question: how do these methodological choices impact the performance of ML-driven trading strategies? Recent research by Vaibhav, Vedprakash, and Varun demonstrates that even small decisions can significantly affect overall performance. It appears that in machine learning, the old adage also holds true: the devil is in the details. https://lnkd.in/dvt--MGE

Quantpedia Explains (Trading Strategies) Episode 99 is live - Impact of US Elections on Financial Markets - Uncover with us the patterns of market moves in the days leading up to presidential elections. - video: https://lnkd.in/dRvGqPKQ

How to Build Mean Reversion Strategies in Currencies Our article explores a simple mean reversion trading strategy applied to FX futures, focusing on identifying undervalued and overvalued currencies to generate returns. Using FX futures rather than spot rates allows for the inclusion of interest rate differentials, simplifying the analysis. The strategy employs two position-sizing methods—linear and exponential—both rebalanced monthly based on currency deviations from their mean. While the linear method offers stability, its returns are limited. In contrast, the exponential method, despite higher risk and deeper drawdowns, ultimately delivers stronger growth and better overall performance by leveraging the mean reversion tendencies of FX pairs. https://lnkd.in/d6E6AUHa