Alternative data

Community Alpha of QuantConnect – Part 3: Adjusted Social Trading Factor Strategies

20.September 2021

This blog post is the continuation of series about Quantconnect’s Alpha market strategies. Part 1 is here and Part 2 can be found here. This part is related to the factor strategies notoriously known from the majority of asset classes. We continue in the examination of factor strategies built on top of social trading strategies, but in this part, the investment universe is reduced based on the insights of the last part. So, without further ado, we continue where we have left last time.

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How to Use Lexical Density of Company Filings

10.September 2021

The application of alternative data is currently a strong trend in the investment industry. We, too, analyzed few datasets in the past, be it ESG datasentiment, or company fillings. This article continues the exploration of the alt-data space. This time, we use the research paper by Joenväärä et al., which shows that lexically diverse hedge funds outperform lexically homogeneous as an inspiration for us to analyze various lexical metrics in 10-K & 10-Q reports. Once again, we show that it makes sense to transmit ideas from one research paper to completely different asset class.

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The Best Systematic Trading Strategies in 2021: Part 3

30.August 2021

In part 1 of our article, we analyzed tendencies and trends among the Top 10 quantitative strategies of 2021. Thanks to Quantpedia Pro’s screener, we published several interesting insights about them.

In part 2 of our article, we got deeper into the first five specific strategies, which are significantly outperforming the rest in 2021. 

Today, without any further thoughts, let’s proceed to the five single best performing strategies of 2021 as of August 2021.

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Community Alpha of QuantConnect – Part 2: Social Trading Factor Strategies

13.August 2021

This blog post is the continuation of series about Quantconnect’s Alpha market strategies. Part 1 can be found here. This part is related to the factor strategies notoriously known from the majority of asset classes.

Overall, the factors on alpha strategies provide insightful results that could be utilized. The results particularly point to excluding the most extreme strategies based on various past distribution’s characteristics.

Stay tuned for the 3rd and 4th part of this series, where we will explore factor meta-strategies built on top of the QuantConnect’s Alpha Market.

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New Machine Learning Model for CEOs Facial Expressions

9.August 2021

Nowadays, it is a standard that fillings such as 10-Ks and 10-Qs are analyzed with machine learning models. ML models can extract sentiment, similarity metrics and many more. However, words are not everything, and we humans also communicate in other forms. For example, we show our emotions through facial expressions, but the research on this topic in finance is scarce. Novel research by Banker et al. (2021) fills the gap and examines the CEOs facial expressions during CNBC’s video interviews about corporate earnings.

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How Olympic Games Impact Stocks?

5.August 2021

Summer Olympics are a major event that attracts attention from the moment the host country is announced. However, that’s not shocking. The Olympics require a lot of planning, infrastructure building and investments. Still, countries battle for the opportunity to host these events. Undoubtedly, hosting the Olympics is prestigious, helps tourism, and many even argue that it also helps the domestic economy despite the costs of hosting. Therefore, it is natural to expect that the Tokyo Olympics should impact the domestic stock market.

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