The “Quantpedia Explains” is a new series of short videos and case study articles in which we will show and explain some of the themes out of quantitative finance that we think are worth mentioning. We will start with a very quick intro to individual Quantpedia Pro reports, their logic and benefits. Later we will move to the other topics of interest …
Overnight Trading in Bitcoin
This video demonstrates Seasonal Intraday or Overnight Anomalies in Bitcoin based on the Overnight Anomaly trading strategy.
Trend-following and Mean-reversion in Bitcoin
Video speaks about Trend-following and Mean-reversion in association with Bitcoin. We based this idea on two other strategies: the Short Term Reversal Effect and the Trend-following Effect in Stocks.
Asset Class Trend Following
The video explains one of the most popular strategies – Asset Class Trend-Following, the basis of which is A Quantitative Approach to Tactical Asset Allocation research paper.
Momentum Strategies
Momentum is one of the most widely discussed and researched investment strategies. Look at this video and learn more about the Momentum Asset Allocation Strategy and Sector Momentum or Rotational System Strategy.
Improving Cross Sectional Commodity Momentum
Combining the momentum effect with another effect can create fascinating results. This video shows you some good ideas for another step in creating a better momentum portfolio, for example, by trend-following or using exotic assets.
Skewness/Lottery Trading Strategies
The skewness effect is in all assets by investors are willing to pay a higher price and to earn a lower expected return on investments with lottery-like payoffs. If you like to know how to use this effect in your commodity, cryptocurrency, or multi-asset portfolio, look at our video.
Crisis Hedge Trading Strategies
Every experienced investor must have some hedging strategies in a portfolio that can perform in a crisis. Quantpedia research shows The Effectivity of Selected Crisis Hedge Strategies, which you can also find in our screener.
Seasonal/Calendar Trading Strategies
Using seasonality/calendar trading to analyze stocks and economic trends can usually offer a favorable risk and reward ratio. Our video discuss Seasonal Anomalies in Bitcoin, the notorious “Sell in May and go away” strategy, or our own Composite Seasonal / Calendar Strategy.
How to Choose The Best Indicator Period
Academic literature recognizes a large set of indicators or factors that are connected with the various assets. This video includes two approaches to picking an indicator’s period clarified in our research.
Market Sentiment and an Overnight Anomaly
Market sentiment or investor sentiment plays a role in market returns and refers to the general mood on the financial markets and investors’ overall tendency to trade. For example, our video shows an Overnight Anomaly and why the night session in US stocks has significantly higher returns than the daily session.
Warren Buffett’s Wisdom for Factor Investors
This video reveals the key to the investment wisdom of the most successful American businessman Warren Buffett. We highlight two specific factors from Quantpedia’s database: Betting Against Beta and Quality Factor. Also, we explained the Buffett Indicator.
How to Trade Publicly Listed European Football Clubs
An important reason for the stock market’s apparent inefficient response to soccer game results is the systematic bias in investors’ beliefs about the probability distribution of match outcomes. And that creates the opportunity for Soccer Clubs’ Stocks Arbitrage.
A New Return Asymmetry Trading Strategy for Commodities
The resultant return new asymmetry investment factor in commodities is an interesting trading strategy unrelated to other common factors and has a slightly negative correlation to the equity market and can be therefore used as an excellent diversifier in multi-asset multi-strategy portfolios.
Rebalancing and Diversification Return in Crypto
A simple buy-and-hold portfolio does not earn a diversification return, though it generally has a lower variance than the weighted-average variance of its constituents. On the other hand, the diversification return of the periodically rebalanced portfolio reduces variance. The underlying source of the diversification return is periodic rebalancing.
Pairs Trading and Statistical Arbitrage Strategies
The concept of pairs trading is simple. Find two stocks whose prices have moved together historically. When the spread between them widens, short the winner and buy the loser. If history repeats itself, prices will converge, and the arbitrageur will profit.
Market Timing and Swing Trading Strategies
The seasonal indicator appears to be a potent stock market timing tool that has been known for decades, and still, it has not been widely covered in academic literature. Our video shows market timing in swing trading strategy with trading edge ideas.
Trading Strategies Using Alternative Data
Alternative data has been booming in recent years, and the potential for their usage in the design of systematic trading and investment strategies is enormous. Whether we talk about satellite and logistics data, various surveys and sentiment data, or data related to earnings calls – all of these can be categorized as alternative data.
Socially Responsible ESG Investing and Trading Strategies
In the current world, investors have a crucial motivation in considering environmental, social, and governance (ESG) matters as part of their financial analysis to gain a fuller understanding of the companies in which they invest.
A Primer on Grid Trading Strategy
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 buy at the pre-specified price repeatedly, wait for the price to rise above that level, and then sell the position.
Cross Sectional Mean Reversion Trading Strategies
Mean reversion as a timing strategy involves identifying the trading range for an asset and the computation of the average price using quantitative methods. Mean reversion is demonstrated, for example, by price data, earnings data, and book value.
Pre Election Drift Trading Strategy for 2022 and 2024 US Elections
With the election behind the door, public discussion is getting more heated. As a result, we expect a more volatile market moving closer to the presidential or the United States Congress election. However, this period before an election could be advantageous for traders.
