Quantpedia in March 2020

Dear readers,

A month ago, nobody could expect what March would bring to us. Every person and every company around the world had to turn around its existence completely. That change is still in progress, and we are no exception. The ordinary life of every member of our team has been affected by measures used against coronavirus threat. But we were able to adjust to a new situation flexibly, and we are bringing you your periodical stream of quant research.

We were able to double our rate of research as ten new Quantpedia Premium strategies have been added into our database, and six new related research papers have been included in existing Premium strategies during last month.

Additionally, we have produced 15 new and amended around 20 older backtests written in QuantConnect code. Our database currently contains 260 strategies with out-of-sample backtests/codes.

Also, five new blog posts you may find interesting have been published on our Quantpedia blog. One is about an interesting academic research paper:

A Comparison of Global Factor Models
Author: Hanauer
Title: A Comparison of Global Factor Models

And four blogs are related to the actual coronavirus crisis:

Rational Panic on Markets Because of Coronavirus?
Author: Vojtko
Title: Rational Panic on Markets Because of Coronavirus?

Bitcoin in a Time of Financial Crisis
Authors: Vojtko, Cisar
Title: Bitcoin in a Time of Financial Crisis

Modelling the Bottom of the Covid-19 Financial Crisis
Author: Vojtko
Title: Modelling the Bottom of the Covid-19 Financial Crisis

YTD Performance of Equity Factors
Authors: Vojtko, Kalus
Title: YTD Performance of Equity Factors

All articles related to coronavirus crisis are now concentrated on one place.

Stay safe …

Radovan Vojtko
CEO & Head of Research


Are you looking for strategies that are useful in bear markets? Don’t miss our “Crisis Hedge” filtering field you can use to find strategies that can be utilized as a hedge/diversification to equity market risk factor during bear markets. 

Are you looking for more strategies to read about? Check http://quantpedia.com/Screener

Do you want to see performance of trading systems we described? Check http://quantpedia.com/Chart/Performance

Do you want to know more about us? Check http://quantpedia.com/Home/About


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