Investing and Trading. For information and education only, not investment advice.
Joined July 2022
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309 Photos and videos
QuantSeeker retweeted
Jun 16
Should you build portfolios only from strongly statistically significant signals?
This recent paper suggests no.
"Out-of-sample information ratios are highest at p-value thresholds between 5% and 10%, well above levels typically advocated for false-discovery-controlled inference."
Paper by Goto and Yamada on the tension between strict significance-based selection and portfolio diversification (open access): sciencedirect.com/science/ar…
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Jun 15
Does the Nikkei quanto spread contain a monetizable risk premium?
New paper by M. L. Tan: papers.ssrn.com/sol3/papers.…
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Jun 14
"Factors with the highest maximum daily returns in the past month outperform those with the lowest maximum returns by 0.32% per month..."
Paper by Wang and Zeng: papers.ssrn.com/sol3/papers.…
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Jun 9
"Using S&P 500 index constituents, we construct a value-weighted Component CAPE ratio and find that it delivers economically and statistically significant improvements in long-horizon return forecasts."
Paper by Ma et al. papers.ssrn.com/sol3/papers.…
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QuantSeeker retweeted
Mar 20
Previously, I shared Chuan Shi’s excellent lecture notes on factor investing.
Here are 4 more from the same series, covering ML, factor timing, and alternative data.
Great reading if you’re building factor strategies.
- Machine learning in factor investing
papers.ssrn.com/sol3/papers.…
- Factor timing and factor allocation
papers.ssrn.com/sol3/papers.…
- Alternative data
papers.ssrn.com/sol3/papers.…
- Behavioral finance and factor investing
papers.ssrn.com/sol3/papers.…
21 May 2025
Great lecture notes on Factor Investing by Chuan Shi:
- Intro to Factor Investing
papers.ssrn.com/sol3/papers.…
- Portfolio Sort Analysis
papers.ssrn.com/sol3/papers.…
- Regression-Based Tests
papers.ssrn.com/sol3/papers.…
- Multiple Hypothesis Testing
papers.ssrn.com/sol3/papers.…
- A Forward Looking View of Factor Investing
papers.ssrn.com/sol3/papers.…
- Factor Failure
papers.ssrn.com/sol3/papers.…
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QuantSeeker retweeted
qoppac.blogspot.com/2026/06/… two blog posts today, going a bit hyper clearly...
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Jun 5
"We introduce the Polymarket-v1 Database: the complete on-chain trade archive of Polymarket’s first-generation CTF Exchange on Polygon, spanning 2022-11-21 to 2026-04-28...The dataset comprises 1.20 billion trade records across 1.30 million markets..."
Paper: arxiv.org/abs/2606.04217
Dataset: huggingface.co/datasets/Time…
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May 27
A new Research Recap is out. This week's topics include:
➢ Technical signals in crypto
➢ Selling vol around earnings
➢ Timing growth vs defensives
➢ Great blogs, industry research & podcasts
➢ ...and much more.
quantseeker.com/p/weekly-res…
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May 22
Is there commodity alpha in public climate data?
Perhaps some.
Combining El Niño/La Niña signals with price-based features improves Sharpe in soft commodity futures, with the strongest predictability during major El Niño regimes.
New paper by Apte: papers.ssrn.com/sol3/papers.…
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QuantSeeker retweeted
May 19
A new Research Recap is out. Topics include:
➢ Crypto options
➢ LEAPS
➢ Risk parity
➢ Predicting vol
➢ Great blogs, industry research & podcasts
➢ ...and much more.
quantseeker.com/p/weekly-res…
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May 12
A new Research Recap is out. Topics include:
➢ Commodity momentum
➢ Market timing
➢ Predicting ETF returns with ML
➢ Vol scaling portfolios
➢ Great blogs, industry research & podcasts
➢ ...and much more.
quantseeker.com/p/weekly-res…
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May 5
A new Research Recap is out. Topics include:
➢ Alpha in commodity markets
➢ Crypto arbitrage
➢ Do hedge-fund awards matter?
➢ LLMs for alpha discovery
➢ Great blogs, industry research & podcasts
➢ ...and much more.
quantseeker.com/p/weekly-res…
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Apr 28
A new Research Recap is out. Topics include:
➢ Diversifying across commodity factors
➢ Size and momentum in crypto
➢ Short-term mean reversion
➢ Event-driven alpha
➢ Great blogs, industry research & podcasts
➢ ...and much more.
quantseeker.com/p/weekly-res…
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Apr 21
A new Research Recap is out. Topics include:
➢ An improved commodity carry signal
➢ Long-short equity strategies
➢ Trading the EIA report with LLMs
➢ Predicting option returns with LLMs
➢ Trading on inflation betas
➢ Great blogs, industry research & podcasts
➢ ...and much more.
quantseeker.com/p/weekly-res…
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Mar 24
Having a spouse in a C-suite or executive role can create a real information edge. In spouse-linked industries, these fund managers’ buys outperform peers by 4% per quarter, and their trades anticipate earnings surprises and corporate events. Alpha isn’t just skill, it’s who you’re connected to.
Paper: papers.ssrn.com/sol3/papers.…
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