Lottery Effect in ETFs Across Several Asset Classes

17.January 2022

Indisputably, we are witnesses of an ETF mega boom. From passive to active ETFs, their numbers seem to be ever-increasing. Since these exchange-traded funds can be excellent (accessible, transparent, liquid) instruments, it is a great necessity to examine their possible usage in active and systematic trading or investing. Therefore, the short research critically assesses the possibility of using ETFs in the Skewness Trading Strategy.

Continue reading

Quality Factor in Sector Investing

14.January 2022

The critical question of this research is to examine whether the quality factor could be found in the aggregated groups of similar stocks such as industries or sectors. Additionally, instead of constructing a comprehensive quality metric like other papers, we examine the individual ratios aggregated to the whole sector. The aim is to investigate the fundamental ratios on which quality is based rather than the composite quality score of sectors.

Continue reading

Periodicity in Cryptocurrencies – Recurrent Patterns in Volatility and Volume

11.January 2022

The high-frequency data in cryptocurrency markets is available at any time of the day, which facilitates the studies of periodicity measures beyond what’s possible in other markets. The research paper by Hansen, Kim, and Kimbrough (2021) investigates the periodicity in volatility and liquidity in two major cryptocurrencies, Bitcoin and Ether, using data from three exchanges, Binance, Coinbase Pro, and Uniswap V2. In particular, the authors measure relative volatility and relative volume across days, hours, and minutes. Their results have confirmed the presence of recurrent patterns in volatility and volume in studied cryptocurrencies for the periods day-of-the-week, hour-of-the-day, and within the hour.

Continue reading

Quantpedia’s Research in 2021

9.January 2022

Dear readers & clients,

I would like to use this space to thank you all for your kind support in the year 2021. I am really proud of my whole team for their work. We are fulfilling our primary mission to process academic research related to quant&algo trading to a more user-friendly form. And we will do it even better in 2022, so stay tuned 🙂

Continue reading

Top Ten Blog Posts on Quantpedia in 2021

30.December 2021

As usual, at this time of the year, let us do a short recapitulation of posts on our blog in the previous 12 months. We have published nearly 70 short analyses of academic papers and our own research articles on this blog in 2021. We want to use this opportunity to summarize 10 of them, which were the most popular (based on the Google Analytics tool). Maybe you will be able to find something you have not read yet …

Continue reading

A Primer on Grid Trading Strategy

27.December 2021

Grid trading is an automated currency trading strategy where an investor creates a so-called “price grid”. The basic idea of the strategy is to repeatedly buy at the pre-specified price and then wait for the price to rise above that level and then sell the position (and vice versa with shorting and covering). We will explore the basics and show favorable and unfavorable scenarios in the first article about this trading style. Later articles will dig deeper and investigate how Grid trading is related to other systematic trading strategies.

Continue reading

Subscribe for Newsletter

Be first to know, when we publish new content


    logo
    The Encyclopedia of Quantitative Trading Strategies

    Log in