Quantpedia in September 2020

2.October 2020

We have prepared several new announcements, but first, let us recapitulate last month of Quantpedia’s research. Nine new Quantpedia Premium strategies have been added into our database, and eleven new related research papers have been included in existing Premium strategies during last month.

Additionally, we have produced 12 new backtests written in QuantConnect code. Our database currently contains over 350 strategies with out-of-sample backtests/codes.

Also, five new blog posts, that you may find interesting, have been published on our Quantpedia blog:

Continue reading

Benford’s Law Suggests Bitcoin’s Price Manipulation

29.September 2020

The Bitcoin is a quite controversial topic among the public. Many are interested in the blockchain technology or trade the cryptocurrencies , but the Bitcoin also has many opponents. Most frequently, Bitcoin is criticized for its volatility or a lack of supervision; some even call the Bitcoin a fraud. Yet many argue that blockchain is transparent. Novel research by Peterson examines the price manipulation using Benford’s law and a linkage to the anecdotal evidence of known manipulation. In theory, the distribution of leading digits in numerical data should follow the Benford´s law and any significant deviations usually signal a fraud. According to the results, in the history of bitcoin prices, several frauds were detected. The results have important implication for the Bitcoin; therefore, this research is probably a must-read for anyone interested in cryptocurrencies .

Authors: Timothy Peterson

Title: To the Moon: A History of Bitcoin Price Manipulation

Continue reading

First-Half Month Cash-Flow News and Momentum in Stocks

24.September 2020

Stock prices react to the new information that investors continually receive from many sources. There are some major events, which are commonly connected with a new piece of information and subsequent reactions of investors. For example, quarterly earnings-announcements are the cause of the post-earnings announcement drift or PEAD. According to the PEAD, prices tend to continue to drift up (down) after positive (negative) news. But news related to quarterly announcements is not the only important information. A novel research paper written by the Hong and Yu explores implications of the month-end reporting, analyst revisions and management guidance that are coming to market usually in the first half of each month and are also connected with drifts that offer practitioners profitable opportunities.

Authors: Claire Yurong Hong and Jialin Yu

Title: Month-End Reporting, Cash-Flow News, and Asset Pricing

Continue reading

Settling the Size Matter

17.September 2020

Equity factors are not as straightforward as they may seem to be. There is an ongoing debate about their usability or expected return since they have a cyclical nature. Moreover, the modern trend of smart beta only fuels this debate. Novel research by Blitz and Hanauer examines the size factor and sheds some light on this elusive anomaly. The size seems to be weak as a stand-alone factor, but it’s far from useless. The academic paper suggests that the size factor can be an important addition to the other equity factors as it helps to unlock the full potential of the quality, value or momentum factors.

Authors: Blitz, David and Hanauer, Matthias Xaver

Title: Settling the Size Matter

Continue reading

ETF Liquidity

3.September 2020

Exchange-traded funds (ETFs) have become popular and important investment vehicles in the financial markets. However, that is not a shock given the numerous benefits connected with ETFs. Naturally, they have caught the interest of academics, and there is plenty of literature about ETFs. While the profits and trading strategies are probably the most important research topics for practitioners, liquidity in the financial markets is almost equally important. Concerning liquidity in the ETFs, novel research by Pham et al. shows when exactly are ETFs the most liquid. Looking on the spreads, they are the lowest at market close. Such a finding can be an essential part of an optimal trading position making, where the aim is to minimize the trading costs.

Authors: Pham, Son Duy and Marshall, Ben R. and Nguyen, Nhut (Nick) Hoang and Visaltanachoti, Nuttawat 

Title: Predicting ETF Liquidity

Continue reading

Subscribe for Newsletter

Be first to know, when we publish new content


    logo
    The Encyclopedia of Quantitative Trading Strategies

    Log in