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A Study on How Algorithmic Traders Earn Money

September 13, 2022

Our mission here at Quantpedia is to provide both retail and institutional investors with ideas for trading strategies that are easily understandable while based on and backed by quantitative academic research. Today, we present you with the results from a study that we came across. Although it’s not quantitative, but qualitative, it has really held our interest. The paper does not provide any images or figures; it is a study made from various types of surveys with answers from professionals concluded with an attention-grabbing summary table. 

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Quantpedia in August 2022

September 7, 2022

Hello all,

What have we accomplished in the last month?

– A new Automatic Trading Edge Analysis report
– 9 new Quantpedia Premium strategies have been added to our database
– 10 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 9 new backtests written in QuantConnect code
– And finally, 2+4 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

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Automated Trading Edge Analysis

September 2, 2022

Have you ever wondered if your trading asset trends or mean-reverts? Everyone involved in trading or investments daily solves the task of – What trading strategy should I apply to my assets to generate profits? As always, we at Quantpedia will try to help you a bit with this never-ending task with our new tool/report, which will be unveiled next week for all Quantpedia Pro subscribers. The following article serves as an introduction to the methodology we will use to find new trading edges for you automatically.

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Are There Intraday and Overnight Seasonality Effects in China?

August 26, 2022

At the moment, there is a lot of attention surrounding overnight anomalies in various types of financial markets. While such effects have been well documented in research, especially in US equities and derivatives, there are other asset classes that are not as well addressed. A recent (2022) paper from Jiang, Luo, and Ye contributed appealing evidence in favor of validating these phenomena in the Chinese market. We highlight the finding that the market MKT factor beta premium is earned exclusively overnight and tend to reverse intraday (and in smaller potency also value HML and profitability RMW), which is the same finding as for the US equities. In contrast, the size SMB factor exhibit significantly opposite pattern: positive intraday premium and negative overnight premium (and the same for investment CMA factor).

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Quantpedia in July 2022

August 6, 2022

Hello all,

What have we accomplished in the last month?

– A new ETF Replication report
– 9 new Quantpedia Premium strategies have been added to our database
– 10 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 10 new backtests written in QuantConnect code
– And finally, 1+3 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

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