Own-research

Are Alternative Social Data Predictors Useful for Effective Allocation to Country ETFs?

29.November 2023

The part of the attention of our own research from the last few months was a little skewed on the side of countries’ indices and their corresponding ETFs representing them, and we finally conclude our “trilogy” of investigation on the efficiency of these markets. Firstly, we analyzed price-based valuation measures, and then, in November, we investigated the impact of military expenditures on the performance of international stock markets. We will wrap up this mini-series by analyzing a few additional alternative datasets containing variables we thought might be of interest in meaningfully describing each country’s societal standing – the climate change awareness index, the happiness score, the corruption perception index, and the income inequality score.

Continue reading

Military Expenditures and Performance of the Stock Markets

15.November 2023

“Si vis pacem, para bellum”, is an old Roman proverb translated to English as “If you want peace, prepare for war”, and it is the main idea behind the military policy of a lot of modern national states. In the current globally interconnected world, waging a real “hot war” has very often really negative trade and business repercussions (as the Russian Federation realized in 2022). Still, even though wars among developed nations are luckily not as popular as they used to be, modern states heavily invest in their own defense. Nobody wants to be caught military unprepared in case of a local or global geopolitical crisis. A strong military should bring a safe environment to do business, and trade should flourish uninterrupted. But are all those national military expenditures financially rewarded? Do stock markets of countries with a strong military outperform their peers? That’s the question we have decided to answer in the following analysis.

Continue reading

Is It Good to Be Bad? – The Quest for Understanding Sin vs. ESG Investing

2.November 2023

What are our expectations from the ESG theme on the portfolio management level? The question is whether ESG investing also offers some kind of “alternative alpha”, or outperformance against the traditional benchmarks. There are managers and academics who are enthusiastic and hope for the outperformance of the good ESG stocks. However, the academic research community is really split. Some academic papers show positive alpha for “Saints” (good ESG stocks); others show significantly positive alpha for “Sinners” (bad ESG stocks). So, how it’s in reality? Is it “Good to be Bad”? Or the other way around?

Continue reading

Hello ChatGPT, Can You Backtest Strategy for Me?

18.October 2023

You may remember our blog post from the end of March, where we tested the current state-of-the-art LLM chatbot. Time flies fast. More than six months have passed since our last article, and half a year in a fast-developing field like Artificial intelligence feels like ten times more. So, we are here to revisit our article and try some new hacks! Has the OpenAI chatbot made any significant improvement? Can ChatGPT be used as a backtesting engine? We retake our risk parity asset allocation and test the limits of current AI development again!

Continue reading

An Introduction to Machine Learning Research Related to Quantitative Trading

26.September 2023

Following the recent release of the popular large language model ChatGPT, the topic of machine learning and AI seems to have skyrocketed in popularity. The concept of machine learning is, however, a much older one and has been the topic of various research and technology projects over the last decade and even longer. In this article, we would like to discuss what machine learning is, how it can be used in quantitative trading, and how has the popularity of ML strategies increased over the years.

Continue reading

The Seasonality of Bitcoin

13.September 2023

Seasonality effects, one of the most fascinating phenomena in the world of finance, have captured the attention of investors and researchers worldwide. Since these anomalies are often driven by factors other than general market trends, they usually don’t correlate strongly with market movements, which can help reduce the portfolio’s overall risk. Following the theme of our previous article Are There Seasonal Intraday or Overnight Anomalies in Bitcoin?, we decided to extend the data and conduct a more in-depth analysis of our earlier findings. This article explores potential seasonal patterns related to Bitcoin, focusing on whether these patterns are influenced by factors such as current market trends or the level of volatility in the market.

Continue reading

Subscribe for Newsletter

Be first to know, when we publish new content


    logo
    The Encyclopedia of Quantitative Trading Strategies

    Log in