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Exploiting Mean-Reversion in Decentralized Prediction Markets: Evidence from Polymarket Binary Contracts

April 17, 2026

This study examines the profitability of mean-reversion trading strategies applied to binary outcome contracts on Polymarket, the world’s largest decentralized prediction market platform. We analyze three distinct contracts representing varying risk profiles: a quasi-risk-free instrument (No to “Will Jesus Christ return in 2025?”) and two high-yield speculative contracts (No to “Will China invade Taiwan in 2025?” and “Will the US confirm that aliens exist in 2025?”). Using high-frequency price data sampled at 10-minute intervals over approximately one year, we implement a parameterized mean-reversion framework across twelve strategy variants, testing robustness under varying liquidity constraints and transaction cost assumptions. Our findings reveal that while mean-reversion signals generate substantial alpha under passive limit-order execution (zero-spread scenario), strategy performance degrades significantly when more aggressive market orders are accounted for.

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Quantpedia in March 2026

April 9, 2026

Hello all,

What have we accomplished in the last month?

– Launch of Quantpedia’s API
– Invitation to Uncorrelated Puerto Rico conference
– Quantpedia Awards 2026 reminder
– 11 new Quantpedia Premium strategies
– 7 new related research papers
– 7 new backtests
– and finally, 7 new posts on our Quantpedia blog

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Systematic Tactical Allocation in Emerging Markets vs. U.S.: A Momentum-Based Approach

April 7, 2026

The global investment environment is going through a period of meaningful structural change. The dominance of the U.S. dollar is increasingly being questioned, geopolitical tensions are rising, and macroeconomic uncertainty remains elevated. Together, these forces challenge the post-Global Financial Crisis environment in which U.S. equities consistently outperformed most international markets. As a result, investors may be approaching a turning point where relative returns between U.S. equities and international markets—especially Emerging Markets (EM)—begin to shift.

This research focuses on a practical portfolio allocation question: when should investors increase or reduce exposure to Emerging Market equities relative to U.S. equities? Building on our earlier work analyzing the EAFE-USA spread, we extend the framework to Emerging Markets. Our hypothesis is that the relative performance between U.S. and EM equities is not random. Instead, it shows patterns driven by momentum and broader market trends. These patterns likely reflect persistent capital flows and the gradual way macroeconomic information spreads across global markets.

Rather than relying on static asset allocation approaches, we develop a dynamic allocation model that uses momentum and trend signals to generate practical timing signals between U.S. and EM equities. Emerging Markets are particularly interesting in this context because they tend to experience stronger regime shifts and larger performance cycles than developed international markets.

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When Crypto Stopped Diversifying: The ETF Regime Shift

March 27, 2026

Can crypto still help diversify an equity portfolio—or has that edge disappeared? That’s the practical question behind Crypto Contagion. The paper looks at how shocks move between crypto and U.S. equities, and more importantly, how that relationship changed after the launch of crypto ETFs. Instead of relying on simple correlations, the authors use a combination of jump detection (to isolate real stress events) and machine learning techniques to identify actual spillovers. By comparing periods before and after ETFs, they effectively show how the market structure—and with it, the behavior of crypto—has shifted .

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The Illusion of the Carbon Premium

March 25, 2026

Carbon that has not yet been emitted should not be used to predict stock returns. While this sounds obvious, prior research papers have done exactly that. This critical observation forms the basis for the Robeco Institutional Asset Management research team’s re-examination of the relationship between climate risk and asset pricing. Investors and academics alike have sought to understand how environmental factors influence stock returns, often assuming that higher emitters command a risk premium. However, the timing of data availability is crucial in quantitative strategy formation, and misalignments here can lead to spurious conclusions about the pricing of carbon emissions.

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Quantpedia in February 2026

March 12, 2026

Hello all,

What have we accomplished in the last month?

– Revisited and significantly expanded the Trend/Reversal Analysis Report
– 8th episode of our YouTube video series QuantBeats, this time with Jiri Mrkva
– Invitation to Future Alpha conference
– Quantpedia Awards 2026 reminder
– 11 new Quantpedia Premium strategies
– 5 new related research papers
– 7 new backtests written in QuantConnect code
– and finally, 5 new blog posts on our Quantpedia blog

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