Quantpedia in August 2020

Dear readers,

Once again, welcome to our summary of Quantpedia’s research. Ten 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 15 new backtests written in QuantConnect code. Our database currently contains over 340 strategies with out-of-sample backtests/codes.

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

Pre-Announcement Returns
Authors: Gao, Hu, Zhang
Title: Uncertainty Resolution Before Earnings Announcements

Multi-Asset Skewness Trading Strategy
Authors: Vojtko, Lievaj
Title: Multi-Asset Skewness Trading Strategy

Implied Equity Duration as a Measure of Pandemic Shutdown Risk
Authors: Dechow, Erhard, Sloan, Soliman
Title: Implied Equity Duration: A Measure of Pandemic Shutdown Risk

Reverse Flight to Liquidity in Fixed Income
Authors: Yiming, Kairongand, Yao
Title: Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity

Plus, we have a new short video related to the Pre-Election Drift Effect

Stay safe …

Radovan Vojtko
CEO & Head of Research

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