Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
2 documents
This document explains how to measure returns around events such as signal triggers, earnings announcements, or macro releases. Its worked example uses momentum breakouts in liquid ETFs. For each event, a market model fitted to a pre-event estimation window…
This notebook explains how to test whether events such as trading signals or announcements predict returns beyond a market benchmark. It demonstrates the workflow using momentum breakouts in liquid ETFs: estimate a market model from pre-event returns,…