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.
21,023 documents
This article revisits volatility in option pricing, focusing on the constant-volatility assumption in Black–Scholes. It considers time-varying stochastic volatility, represents log volatility through a mean-reverting process, and motivates using a rougher…
This career note offers criteria for evaluating a quantitative trading team. It recommends examining the team’s track record and trading frequency to judge whether apparent performance may reflect skill or luck. It also values scientific judgment, honest…
This review summarizes research on how company news coverage relates to investment efficiency in US firms. The study measures inefficient investment as the difference between actual investment and an expected level based on sales growth, separating…
This brief introductory note defines a function as an organized, reusable block of code for carrying out one task or a related set of tasks. It highlights two basic benefits: functions make applications more modular and reduce repeated code. These ideas…
The article reviews a historical-data study comparing value averaging (VA), dollar-cost averaging (DCA), and a randomized contribution schedule across equity, gold, and commodity indexes. DCA invests a fixed amount at regular intervals. VA instead sets a…
This stock selection rule filters for turnover between 3% and 12%, requires the product of the day’s percentage price change and a large-order net-flow measure to be positive, and adds positive institutional net buying as a further condition. The…
The Effort-Result oscillator is described as a measure combining the speed of price change with the maximum volume observed over a chosen period. Its sole configurable input is the calculation period. The calculation first uses a simple moving average of…
The document describes a chart script that emulates successive ticks to preview how an indicator, expert advisor, or other script behaves across historical data. It supports manual movement of the test point and automatic iteration from a chosen bar toward…
The document outlines six assumptions used to simplify asset pricing theory, especially the Capital Asset Pricing Model: competitive and efficient markets, no taxes or transaction costs, risk-averse investors, shared expectations, normally distributed…
This document explains a method for selecting profit-taking and stop-loss boundaries for a mean-reversion strategy modeled with an Ornstein–Uhlenbeck process. A position is closed when it reaches either boundary or when its maximum holding horizon expires.…
The research note describes factor-mimicking portfolios (FMPs) as an alternative representation of alpha factors, with conversion between the two under a given stock covariance structure. It argues that linearly combining alpha signals corresponds to…
This stock-selection idea combines a 14-period RSI below 65 with three consecutive bearish sessions and membership in a beverage and alcohol import-export industry group. The post frames the method as a mix of technical and industry information and suggests…
This short note introduces data preprocessing as a step that can help machine-learning and deep-learning estimators work with raw feature vectors. It points readers to scikit-learn’s preprocessing module, which provides transformation classes and functions…
This research summary examines whether Chinese listed companies’ earnings previews can add information to conventional equity factor models. Because previews arrive before earnings announcements and periodic financial reports, the report treats them as an…
This short BigQuant support exchange answers how to obtain an algorithm’s daily returns from backtest performance data. Its method reads the raw performance table, takes the cumulative algorithm period return, converts it to a growth index by adding one, and…
The Balance of Power (BoP) indicator is presented as a way to compare buyers’ and sellers’ ability to move price. Its basic form divides the close-to-open change by the high-to-low range; the document also describes a variant that uses the prior close as the…
This document explains a fixed-range volume profile that maps traded volume across price levels over a configurable lookback window. It divides the high-to-low range into channels, estimates each candle’s volume allocation across its body and wicks, and…
This research summary examines two responses to a prolonged value-factor drawdown: changing how the factor is constructed and forecasting when its returns may be stronger. It compares conventional cross-sectional valuation with time-series measures of a…
This Chinese-language research roundup summarizes three studies from overseas literature. The first presents a numerical simulation approach for approximating American option values, with potential application to pricing domestic convertible bonds. The…
This research applies macroeconomic momentum signals to active bond trading, aiming to forecast government bond yield direction as well as changes in term and credit spreads. It contrasts active strategies focused on capital gains with passive approaches…
The document introduces microstructure segmentation: using high-frequency price and volume data to divide trading into intervals with different trading characteristics. It argues that activity levels can correspond to different price-trend behavior and…
This research summary introduces APM, a stock-selection factor built from differences between morning and afternoon price behavior in Chinese A-shares. Its premise is that informed traders are more active in the morning, making morning price moves a stronger…
This short forum exchange raises a practical concern about transparency in visual quantitative research tools. A user asks for fuller descriptions of how drag-and-drop modules calculate outputs, especially whether feature-generation steps first group data by…
This brief description introduces an Accumulation/Distribution indicator implementation with three selectable calculation variants: Classical, Classical Incremental, and Trade Station Incremental. The incremental approaches differ in how the indicator…