Own-research

The Russian invasion of Ukraine and its repercussions continue to occupy front pages all around the world. While using nuclear forces in war is probably a red line for all of the mature world, there is still possible to use nuclear weapons for blackmailing. What will be the impact of such an event on financial markets? It’s not easy to determine, but we tried to identify multiple events in the past which were also slightly unexpected and carried an indication of nuclear threat and then analyzed their impact on financial markets.

Indisputably, trend-following and mean-reversion are two key concepts in quantitative investing or technical analysis. What about the Bitcoin? Are there trend-following or mean-reversion patterns? Or are both effects present and co-exist? In this short research, we examine how Bitcoin’s price is affected by its maximal or minimal price over the previous 10 to 50 days. Our finding shows that when the BTC is at the local maxima, it tends to continue trending upwards. Furthermore, the local minima are also connected with abnormal price action.

The Russia-Ukraine war is a conflict that has not been in Europe since WW2. And it has great implications not only on human lives but also on security prices. It bears numerous characteristics of the cold war crises, where two nuclear powers (Soviet Union and USA/NATO) were often very close to hot war or were waging a proxy war in 3rd countries. We thought it might be wise to look at similar periods from the past to understand what happens in such situations. We selected five events and analyzed the performance of main equity factors (market, HML, SMB, momentum & 2x reversal) and energy and fixed income proxy portfolios.

Indisputably, we are witnesses of an ETF mega boom. From passive to active ETFs, their numbers seem to be ever-increasing. Since these exchange-traded funds can be excellent (accessible, transparent, liquid) instruments, it is a great necessity to examine their possible usage in active and systematic trading or investing. Therefore, the short research critically assesses the possibility of using ETFs in the Skewness Trading Strategy.