Quantpedia in February 2024
Hello all, What have we accomplished in the last month? – A new Annuity Simulation report – A reminder for Quantpedia Awards 2024 competition with a $15.000 prize pool – 10 new Quantpedia Premium...
View ArticleSystematic Hedging of the Cryptocurrency Portfolio
Cryptocurrencies are already one of the major asset classes. They fill the top pages of magazines and are a topic of a day to day conversation. There are a lot of ways to buy them through a lot of...
View ArticlePortfolio Diversification Including Art as an Alternative Asset
Alternative investment assets (also such as rare vintage and collectible items, expensive old high-quality alcohol, discontinued fashion, etc.) are a hit among wealthy investors, even though it is not...
View ArticleWhich Stock Return Predictors Reflect Mispricing and Which Risk-Premia?
The degree of stock market efficiency is a fundamental question of finance with considerable implications for the efficiency of capital allocation and, hence, the real economy. Return predictability is...
View ArticleCryptocurrency Market Dynamics Around Bitcoin Futures Expiration Events
In the rapidly evolving landscape of cryptocurrency markets, understanding the underlying dynamics that drive price movements and investor sentiment can be a matter of survival. However, there are...
View ArticleMusic Sentiment and Stock Returns around the World
There was a time in history when researchers believed that we, as a human species, act ultimately reasonably and rationally (for example, when dealing with financial matters). What arrived with the...
View ArticleQuantpedia in March 2024
Hello all, What have we accomplished in the last month? – A new Pragmatic Asset Allocation report – A reminder for Quantpedia Awards 2024 competition with a $15.000 prize pool - MesoSim discount...
View ArticleFX Carry + Value + Momentum Strategies over Their 200+ Year History
We mentioned multiple times that we at Quantpedia love historical analysis that spans over a long period of time as it offers a unique glimpse into the different macro environments and periods of...
View ArticleImpact of Business Cycles on Machine Learning Predictions
As an old investing adage goes, “Everybody’s a genius in a bull market.” It is easy to fall victim to the Dunning-Kruger effect, where attribution bias makes us mistake our luck for abilities. When the...
View ArticleCan Google Trends Sentiment Be Useful as a Predictor for Cryptocurrency Returns?
In the fast-paced world of cryptocurrencies, understanding market sentiment can provide a crucial edge. As investors and traders seek to anticipate the volatile movements of Bitcoin, innovative...
View ArticleESG Investing during Calm and Crisis Periods
Over the last decade, investing responsibly and deploying capital for "ethically" correct and sustainable growth has been quite a theme. We dedicated a few blogs to this theme and have a separate ESG...
View ArticlePrivate vs. Public Investment Strategies
Choosing the right investment strategy plays a crucial in portfolio allocation decisions, particularly when considering both private and public asset classes. While the reported performance of public...
View ArticleQuantpedia in April 2024
Hello all, What have we accomplished in the last month? – A Quantpedia Awards 2024 competition update - Grading Phase – A new Risk Monitor report – 11 new Quantpedia Premium strategies have been added...
View ArticleCorporate Bond Factors: Replication Failures and a New Framework
The replication crisis in social sciences (and, of course, finance) is an often covered topic (see also our articles How do Investment Strategies Perform After Publication and In-Sample vs....
View Article800 Years on the Financial Markets
Have we mentioned, that we love history? Probably more than just once. What we like on the academic studies which use longterm data is that they offer a bird-like view on the financial markets. The...
View ArticleWhat’s the Size of the Risk Premia (from the Analysts’ Perspective)
The topic of today's short blog post concerns a subject that's connected to everybody participating in financial markets worldwide: different subjective return expectations. It is reasonable to have...
View ArticleQuantpedia Days 2024 Bring 1+1 Special Offer
Quantpedia Days 2024 - Celebrate with us a crossing of the threshold of 1000 strategies - You can now subscribe to any of our services, be it 3-, 12- or 36-months Quantpedia Prime, Premium, or Pro...
View ArticleQuantpedia Awards 2024 – Winners Announcement
This is the moment we all have been waiting for, and today, we would like to acknowledge the accomplishments of the researchers behind innovative studies in quantitative trading. So, what do the top...
View ArticleTrading Arbitrage Portfolios Based on Image Representations
Convolutional neural networks (CNNs), inspired by the human brain's ability to recognize visual patterns, excel in tasks like object detection, facial recognition, and image classification, making them...
View ArticleActive vs. Passive Life Cycle Savings Strategies
The main goal of our new article is to explore the efficacy of passive versus active management strategies in the context of savings for long-term financial goals. By analyzing the performance of nine...
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