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Quantpedia in April 2023

May 8, 2023

Hello all,

What have we accomplished in the last month?

– An extension of the Strategy Grading Quantpedia Pro report
– 10 new Quantpedia Premium strategies have been added to our database
– 12 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 8 new backtests written in QuantConnect code
– And finally, 4+1 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

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Price Momentum or Factor Momentum: What Leads What?

April 27, 2023

Continuing our research of different factor allocations and models, we will look at the evergreen momentum effect closer. Cakici, Fieberg, Metko, and Zaremba’s (January 2023) paper contributes to the never-ending debate of the chicken-or-egg problem of what comes first: Does the stock price momentum originate from the factor momentum? The study reexamined the relationship between the factor and price momentum on an extensive sample of 95 years of data from 51 countries. And what are the main takeaways? Let’s find out …

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Evaluating Factor Models in China

April 21, 2023

Today, we will evaluate some specifics that are akin to the now second-largest market in the world – China. The abundance of “shell companies” creates a problem when researchers try to uncover sources of alpha in the Chinese market. We present recent research by Zhiyong Li and Xiao Rao (2022) that proposes a new alternative filter, which excludes the stocks with a high estimated shell probability when constructing equity factor models.

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Are Funds Flows Influenced by Mortality?

April 14, 2023

Countries from the majority of the developed world face one challenge: Their population is steadily aging; the average age of individuals has been rising over recent periods. The United States is not different in this sense. Whenever there’s a never-inevitable reaching of higher ages, people reconsider their choices and often cut on riskier ones. So, is there a potential link between demographic changes associated with aging and aggregate financial market outcomes?

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BERT Model – Bidirectional Encoder Representations from Transformers

April 12, 2023

At the end of 2018, researchers at Google AI Language made a significant breakthrough in the Deep Learning community. The new technique for Natural Language Processing (NLP) called BERT (Bidirectional Encoder Representations from Transformers) was open-sourced. An incredible performance of the BERT algorithm is very impressive. BERT is probably going to be around for a long time. Therefore, it is useful to go through the basics of this remarkable part of the Deep Learning algorithm family.

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Quantpedia in March 2023

April 7, 2023

Hello all,

What have we accomplished in the last month?

– 19 new Quantpedia Premium strategies have been added to our database
– 11 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 15 new backtests written in QuantConnect code
– And finally, 4+3 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

Continue reading »