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.
4,510 documents
The document asks how options volume, dollar volume, and open interest across strikes and expirations might inform implied sentiment, volatility surfaces, option premiums, or Greeks. It contrasts modeling each contract on its own with measuring activity…
The document addresses how to obtain timely economic and corporate news for news-based trading systems. It mentions a financial news API that can filter incoming articles using user-defined rules and deliver new items through a real-time socket connection.…
The document explains that the VIX Flip indicator can be approximated with Williams VIX Fix, a synthetic volatility measure calculated from the highest close over a recent window and the current period's low. The reported formula expresses the gap between…
The note proposes a behavioral explanation for differences in stock momentum: investors may underreact to firm-specific news, causing prices to adjust gradually. It asks whether this effect should be stronger or persist longer among stocks held more by…
The document discusses whether quarterly institutional holdings disclosures can inform trading strategies. Replies say that investors and researchers do use Form 13F information, including strategies that follow reported holdings of prominent funds. One…
The document considers whether consensus analyst recommendations and revisions can contribute to trading signals, particularly for holding periods of hours to a few days. It notes the author’s impression from academic research that recommendations may…
The discussion considers how to obtain timestamped news for research linking Forex price series to news releases, especially when professional machine-readable feeds are costly. Suggestions include collecting headlines from websites, parsing RSS or Atom…
The document addresses why a put-call ratio may convey sentiment even though every options trade has both a buyer and a seller. Its answer focuses on which side is more motivated to initiate a position: it cites a claim that put buyers may be especially…
The question considers whether cross-correlation is informative when comparing security price changes with social media discussion counts. The price series have fat tails, while the discussion measure is strongly right-skewed, with many smaller values and…
The document addresses where to obtain historical consensus forecasts for the US Nonfarm Payrolls release. The answer points to an economic calendar that provides consensus estimates alongside actual Non-Farm Employment Change results, with a history…
The document collects candidate indicators for assessing recession or crisis risk. It describes labor market measures, including nonfarm payroll changes and weekly unemployment claims, alongside quarterly GDP growth and the Purchasing Managers’ Index. The…
The document responds to a request for news archives extending beyond a short recent window. It names three possible sources: AYLIEN’s historical news API, Bloomberg news and sentiment data used in historical backtesting, and Webhose.io, which an answer says…
The document considers whether option open interest and trading volume can help predict next-day stock direction. It identifies candidate features such as call-put imbalances, changes in open interest, volume relative to open interest, activity by moneyness,…
The document asks why exchange option chains can show different implied volatilities for European puts and calls with the same underlying and expiry, even though put-call parity links their prices. Its answer points to market supply and demand: stronger…
The document asks whether option open interest and trading-volume changes can be incorporated into pricing models or used to forecast asset prices. It connects the question to supply and demand, implied volatility, option Greeks, and trader commitment,…
The discussion explains how to make intraday trading volume more comparable across stocks and time periods in studies relating sentiment to prices and activity. Raw share counts vary with company size and with predictable patterns during the trading day, so…
The discussion considers whether options-market activity can provide signals for intraday equity trading. It describes a possible information-flow mechanism: informed traders may act in options before trading the underlying, particularly when short selling…
The document examines a local relationship between daily stock returns and trading volume. The author ranks each day’s return and volume within a rolling 30-day window, then compares the resulting distributions for same-day observations and for next-day…
The document considers whether timestamped company news can be scored by comparing subsequent stock prices with a forecast based on recent momentum. The author also tries combining price deviations across several horizons with discounting, but reports that…
The document surveys several ways to group systematic trading strategies. Strategy families include trend and reversal approaches, price or technical methods, fundamental, yield, growth, and quality signals, as well as arbitrage, market making, sentiment…
The document asks whether the claim that the investing crowd is usually wrong can be made precise and tested. It sketches a simple definition of the crowd as the larger of two groups betting on whether an index will rise or fall over the next period. The…
The document asks whether Benford’s law has useful applications in quantitative finance beyond its better-known role in fraud detection. The response points readers toward a general bibliography and notes that finance-related work exists but is relatively…
The document considers how to relate sentiment derived from text analysis to a firm's credit default swap spreads. The question is whether to use par spreads or conventional spreads in a regression, and it notes that both may be quoted in basis points or…
The document raises the possibility that annual report commentary and disclosures contain latent information that could be converted into quantitative signals. It asks how much time analysts spend reading company reports and which parts of that work might…