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.
4,194 documents
This study examines whether investor questions and company replies on an online disclosure platform can supplement the infrequent shareholder-count data in periodic reports. It compares a factor based on the absolute number of shareholders with one based on…
This article outlines a China A-share screen for metaverse-sector stocks. Its initial conditions are prior-day turnover above 8% and trading value above 60 million yuan. The refined selection logic also requires a price-to-earnings ratio below 20 and a…
This report studies the return-forecasting stage of a multi-factor investment process. Starting with daily factor returns estimated by regression, it compares three approaches: a rolling mean of factor returns, a recency-weighted rolling mean, and a…
This note proposes a Chinese stock screen combining three conditions: a prior-session high-low range greater than 1% of the prior close, free float no larger than 5.5 billion shares, and a 2019 dividend ratio above 25%. The code examples intersect the…
This summary of a Chinese A-share research report explains small-cap and value premiums through stocks’ differing sensitivities to cash-flow expectations and discount rates. It frames equity returns with a two-beta model that separates those influences,…
This article describes a strategy that changes exposure to equity factors according to a four-state business-cycle classification: recovery, expansion, slowdown, and contraction. It combines the US Leading Economic Indicator with a Global Risk Appetite Cycle…
This document summarizes an article on applying quantitative methods to environmental, social, and governance investing. It argues that quantitative portfolio tools can translate investor preferences into portfolio construction and extend sustainability…
This code documents a factor evaluation workflow. It computes Spearman rank information coefficients between factor values and forward returns, with options to demean returns by group and summarize results over time or across groups. It also translates…
This report studies whether the stability of intraday trading patterns can help rank Chinese stocks. It calculates seven measures from five-minute returns and volume, including volatility, skewness, kurtosis, and a volume concentration index. To account for…
This article reviews an empirical study of whether skilled active equity fund managers perform differently when investor sentiment and noise trading are elevated. Using US domestic active equity mutual funds from 2002 to 2014, the study estimates rolling…
This report explains why common equity factors may need adjustment for banks. Large cash and financial asset balances complicate comparisons of liquidity, while provisions and reserve practices can distort earnings multiples. Some operating measures used for…
This Chinese equity screening rule selects stocks whose price amplitude exceeds 1, that were not limit-up on the prior day, and whose year-over-year net profit growth attributable to parent-company shareholders is above 20% and no more than 100%. The article…
This A-share stock screen combines activity, order-book, and dividend filters. It selects shares with turnover between 3% and 12%, first-level bid volume greater than first-level ask volume, and a 2019 dividend ratio above 25%, then proposes taking the first…
This research note proposes a stock-selection factor based on the trend in quarterly gross profitability. It estimates the trend as the time coefficient in a linear regression, using either sequential-quarter or year-over-year observations. The study…
The document outlines a stock screen combining a metaverse industry classification, an arc-shaped chart pattern, and a 2019 dividend ratio above 25%. Its final stated logic also includes PEG below 1, while the accompanying sample code sorts qualifying names…
This brief learning response outlines a basic way to formalize an existing stock-picking approach: screen companies using measures such as price-to-sales, price-to-earnings, year-over-year profitability, and market capitalization, then apply a timing process…
This BigQuant workflow illustrates a daily Chinese equity ranking process. It prepares stock features from price and prefactor data, including lagged returns and volume ranking, then creates a supervised label from a clipped forward return. Training data is…
This Chinese-language summary introduces a research paper on factor timing, which combines ideas from market timing and factor investing. It frames the theoretical argument around the stochastic discount factor (SDF), assuming a conditional factor model can…
The screen selects stocks with amplitude above 1, MACD above the zero axis, and a volume ratio greater than 1.5 but less than 6. The document interprets these filters as seeking price movement, a positive MACD condition, and trading volume elevated relative…
This stock-selection approach combines price range, afternoon large-order net inflow, and an institutional accumulation signal. It then selects the qualifying stock with the highest price gain. The article frames range as a measure of volatility, afternoon…
The article proposes a buy-side strength factor from minute-level order-book data. It combines price and displayed quantity at each of the first five bid levels, does the same for the first five ask levels, and forms a ratio of the bid-side total to the…
The article explains how a long short-term memory network can use sequential market data for short-horizon stock selection. It outlines LSTM’s forget, input, and output gates, then describes a model with an LSTM layer, dropout, and a dense layer. The model…
This research summary organizes equity factor allocation around two macro conditions: economic growth or recession, and tighter or looser liquidity. Their combinations define four regimes in a factor investment clock. The proposed framework treats corporate…
The document presents a SQL example for constructing a turnover-related stock factor and neutralizing it for industry membership and company size. It calculates the logarithm of total market capitalization, a 20-day average of turnover, and a neutralized…