Quantpedia

Every year, Quantpedia’s team investigates thousands of academic research papers to bring you the most promising ideas from the academic world. We read papers, identify ideas and backtest them to build our unique database. As a result, we have already identified hundreds of factors and built tools to help you…

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The summer is slowly approaching; therefore, our new article will be on a little lighter tone. We will examine a research paper on a periodic event with sentiment implications. The authors (Abudy, Mugerman, Shust) focused on a specific song competition — the Eurovision Song Contest, an international song competition organized…

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A recent spring 2022 crisis in the cryptocurrency market emphasized the importance of market-neutral crypto trading strategies. It’s not enough just to HODL crypto market and hope for the everlasting bull market. Therefore, we continue our series of research articles about the cryptocurrency market and offer an analysis of the…

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Phenomenal innovation, new technologies, growth of social media, and e-commerce have been characteristics of the last decades. BigTech companies such as Google, Facebook (Meta), Amazon, Apple, and Microsoft are becoming so increasingly popular. So now, in connection to the actual carnage on the financial markets, the question arises: are BigTech…

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When someone mentions a financial crisis, most people immediately think of the global financial crisis of 2007–2008. Even though this is the most significant economic crisis in recent years, there have been many more significant crisis periods in the past 100 years. This article examines the biggest crises in three…

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We focused the first part of this article more on tendencies and trends among these US Equity Value strategies. Today we will talk solely about specific top-performing equity value strategies. More specifically, about numbers #7 to #1 from Quantpedia’s ranking. We will also take a look at combining all the…

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The Monte Carlo method (Monte Carlo simulations) is a class of algorithms that rely on a repeated random sampling to obtain various scenario results. Monte Carlo simulations are used to predict the probability of different outcomes when it would be difficult to use other approaches such as optimization. The main…

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Trend-following strategies have gained extreme popularity in the recent decade. Almost every asset manager utilizes trend following, or momentum, in some form — whether consciously or subconsciously. We at Quantpedia are convinced that each and every strategy has to be scrutinized thoroughly before it’s put into use. This is one…

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Following the theme of our previous article (how to extend historical daily bond data to 100 years), we decided to extend historical data of another asset class, commodities. This article explains our commodity data methodology and introduces data sources, which helped us extend historical daily commodities data to 100 years.

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Quantpedia

Quantpedia

Quantpedia.com — The Encyclopedia of Quantitative and Algorithmic Trading Strategies