Quantpedia Highlights in October 2021

Hello all,

As every month, the new report for Quantpedia Pro was also built in October and is now available to our clients. With our Value at Risk analysis, Quantpedia Pro contains 22 reports with hundreds of charts and tables that allow you to increase the speed of exploration of academic research to find a good new idea for trading strategy or complement to your portfolio.

The Value at Risk report uses multiple methodologies outlined in our VaR article and gives you the opportunity to review the evolution of your risk exposure over time.

Additionally, you can review VaR distribution and breaches on different horizons.

Let’s also quickly recapitulate Quantpedia Premium development:

10 new Quantpedia Premium strategies have been added to our database
10 new related research papers have been included in existing Premium strategies during the last month
11 new backtests were written in QuantConnect code. Our database currently contains nearly 500 strategies with out-of-sample backtests/codes.

Additionally, 8 new articles were published on the Quantpedia blog in the previous month, 3x analysis of academic research papers and 5x Quantpedia studies:

Analysis of research papers:

How to Use Deep Order Flow Imbalance
Authors: Kolm, Turiel and Westray
Title: Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book

Insider Trading: What Happens Behind Closed Doors
Authors: S. Burcu Avci, Cindy A. Schipani, H. Nejat Seyhun, and Andrew Verstein
Title: Insider Giving
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Author: Joshua Mitts
Title: Insider Trading and Strategic Disclosure
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Authors: Harvey Cheong, Joon Ho Kim, Florian Münkel, and Harold Spilker
Title: Do Social Networks Facilitate Informed Option Trading? Evidence from Alumni Reunion Networks

What is the Optimal Gold Allocation in a Portfolio?
Authors: Dirk G. Baur, Lai T. Hoang, and Lorenzo Casavecchia
Title: The Gold Exposure of Institutional Investors

Happy trading …

Radovan Vojtko
CEO & Head of Research

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We’ve already analysed tens of thousands of financial research papers and identified more than 700 attractive trading systems together with hundreds of related academic papers.

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