Blog - QuantPedia

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?

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.

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

Quantpedia Premium Update – 7th April

April 7, 2023

Thirteen new strategies have been added. Five new related research papers have been included into existing strategy reviews and three short free blog posts has been published during last few weeks. Plus, twelve trading strategies have been backtested in QuantConnect in the previous two weeks.

Can We Backtest Asset Allocation Trading Strategy in ChatGPT?

March 31, 2023

It’s always fun to push the boundaries of technology and see what it can do. The AI chatbots are the hot topic of current discussion in the quant blogosphere. So we have decided to test OpenAI’s ChatGPT abilities. Will we persuade it to become a data analyst for us? While we may not be there yet, it’s clear that AI language models like ChatGPT can soon revolutionize how we approach to finance and data analysis.

Is Gold a Safe Haven? It Depends on the Country

March 24, 2023

If you’re a regular reader of our blogs (and we hope you are!), you would not miss that we like to touch macro-economic subjects. One of that never-fading topics is the role of gold as a crisis hedge. The probably most known commodity is a popular choice for a portion of the total portfolio, from small investors to central banks, for various reasons (be it diversification or hedging). So let’s not further delay it, and today we ask: Is gold really a safe haven?

Overview of Different Short Volatility Strategies

March 22, 2023

The expected return on the “variance factor” known as variance risk premium (VRP) is nothing new to options markets. For any investor interested in benefitting from this phenomenon, we present the study of Dörries et al. (2021), which provides a clear overview of different VRP-earning strategies.

Quantpedia Premium Update – 21st March

March 21, 2023

Six new strategies have been added. Six new related research papers have been included into existing strategy reviews and four short free blog posts has been published during last few weeks. Plus, three trading strategies have been backtested in QuantConnect in the previous two weeks.

Avoid Equity Bear Markets with a Market Timing Strategy – Part 3

March 17, 2023

In the last third installment, we will finish exploring the world of market timing strategies (see parts 1 & 2). We will focus on yield curve predictors and incorporate all three ideas (price-based, macro-economic, and yield curve predictors) into one final trading strategy that yields an annual return above that of the stock market while doubling its Sharpe ratio and reducing maximal drawdown by two thirds.

Avoid Equity Bear Markets with a Market Timing Strategy – Part 2

March 15, 2023

In this second installment in a series of three articles, we will continue with our goal to construct a market timing strategy that would sidestep the equity market during bear markets. A few days ago, we started with price-based market timing strategies. Today, we will focus on macroeconomic indicators and predictors derived from the movements in the commodity markets.