Quantpedia in August 2019
The biggest story in August was our successful migration to a new core back-end system. But we have accomplished much more – four new Quantpedia Premium strategies have been added into our database and two new related research papers have been included into existing Premium strategies.
Additionally, we have produced over 30 new backtests written in QuantConnect code. Therefore our database currently contains over 120 strategies with out-of-sample backtests/codes.
Also, four new blog posts you may find interesting have been published on our Quantpedia blog:
What Affects the Correlation Between Stocks and Bonds
Title: Macroeconomics Determinants of the Correlation Between Stocks and Bonds
Media Attention and the Low Volatility Effect
Authors: Blitz, Huisman, Swinkels, van Vliet
Title: Media Attention and the Volatility Effect
Metcalfe’s Law in Bitcoin
Title: Bitcoin Spreads Like a Virus
Three New Insights from Academic Research Related to Equity Momentum Strategy
Title: Decomposing Momentum Spread
Authors: Hammed, Wu
Title: Decomposing Momentum
Title: Are Momentum Strategies Profitable? Recent Evidence from European Markets
CEO & Head of Research
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