Quantpedia in May 2025

10.June 2025

Hello all,

As usual at this time, we have a few new updates for you. So let’s get to them…

Firstly, a new update to the Quantpedia Pro service that reflects the changing needs of global investors – in response to the shifting geopolitical landscape and growing demand for alternatives to USD-denominated investments, we’ve added support for EUR-listed exchange-traded funds (ETFs). This means users can now access a broader range of historical data and build model portfolios or benchmarks using EUR-based ETFs. This update is especially valuable for EUR-based and international investors who are looking for more localized exposure or currency alignment in their portfolio construction. By expanding our ETF universe, we aim to make Quantpedia Pro more flexible and relevant in today’s evolving investment environment.

Secondly, we would like to recapitulate the announcement of the winners of the Quantpedia Awards 2025 competition. Starting from the first place, the top 5 are the following:

1st Place – Harvey, Mazzoleni, Melone: The Unintended Consequences of Rebalancing

2nd Place – Baltussen, Da, Soebhag: End-of-Day Reversal

3rd Place – Beckmeyer, Filippou, Zhou, Zhou: Intraday Option Reversals: Return Predictability and Market Efficiency

4th Place – Zarattini, Aziz, Barbon: Beat the Market, An Effective Intraday Momentum Strategy for S&P500 ETF (SPY)

5th Place – Azevedo, Riedersberger, Velikov: The Aggregated Equity Risk Premium

Congratulations to all our winners! And for all that contemplate joining our competition in the future, we can promise that Quantpedia Awards will return back in the year 2026! So follow our social media channels for updates…

Thirdly, we would like to announce a new cooperation between Quantpedia and Lightspeed Financial Services Group – a New Jersey-based broker-dealer, provider of low-latency securities trading technology, API access directly through the Lightspeed Connect API, or the Lightspeed Connect API @ Interactive Brokers, and risk management services for professional traders and institutions. They offer trading in equities, futures, and options on multiple venues. What have we prepared for you?

If you open an account with at least $10,000 in equity using promo code QUANT25, you will be entitled to the exclusive 12 FREE MONTHS of Quantpedia Premium subscription service (which normally costs $599). Take this opportunity to combine the power of the Lightspeed Trading execution and Quantpedia’s research!

At last, let’s also quickly recapitulate Quantpedia Premium development:

11 new Quantpedia Premium strategies have been added to our database
11 new related research papers have been included in existing Premium strategies during the last month
7 new backtests were written in QuantConnect code. Our database currently now contains over 840 strategies with out-of-sample backtests/codes.

Additionally, 5 new research articles were published on the Quantpedia blog in the previous month:

Are Sector-Specific Machine Learning Models Better Than Generalists?
Authors: Hanauer, Matthias Xaver and Soebhag, Amar and Stam, Marc and Hoogteijling, Tobias,
Title: Do Machine Learning Models Need to Be Sector Experts?

What Can We Expect from Long-Run Asset Returns?
Authors: David Chambers, Elroy Dimson, Antti Ilmanen, Paul Rintamäki
Title: Long-Run Asset Returns

Is Machine Learning Better in Prediction of Direction or Value?
Authors: Albert Bo Zhao, Tingting Cheng, Yitong Shang
Title: Direction is More Important than Speed: A Comparison of Direction and Value Prediction of Stock Excess Returns

Can We Finally Use ChatGPT as a Quantitative Analyst?
Authors: David Belobrad, Radovan Vojtko
Title: Can We Finally Use ChatGPT as a Quantitative Analyst?

Pre-Announcement Drift for BoE, BoJ, SNB: Do Markets Move Before the Word Is Out?
Authors: Cyril Dujava
Title: Pre-Announcement Drift for BoE, BoJ, SNB: Do Markets Move Before the Word Is Out?

Yours …

Radovan Vojtko
CEO & Head of Research

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