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.
2,013 documents
This document describes a benchmark-relative strategy that uses time-series momentum to time excess returns across related investable indices. It needs only benchmark and related-index return series, avoiding regression-based parameter estimation. The…
The document frames large-order execution as a trade-off between liquidity costs and price risk. Trading quickly can increase market impact when liquidity is limited, while trading slowly leaves the order exposed to adverse price moves during the execution…
The document proposes a probabilistic way to classify market behavior from price velocity and acceleration. It describes departures from a random walk using two dimensionless quantities: a Froude number comparing acceleration with velocity, and a forecast…
This study applies fractal geometry and statistical analysis to Bitcoin returns to examine persistence, predictability, and market structure. It compares nine cryptocurrencies, together representing almost three quarters of market capitalization, with…
The paper considers the prospects and challenges of creating a cryptocurrency for transactions in Rwanda, which it calls Rwandacoin. It places the idea in the context of growing cryptocurrency use for online transactions and blockchain adoption in Africa. A…
The document introduces TrendFolios, a portfolio construction framework that combines momentum and trend-following signals across several asset classes and asset-class risk factors. It describes an active investment strategy and says the framework is…
This document studies how to manage positions across several mean-reverting assets, including whether an asset with no mean reversion can still belong in the portfolio. It formulates position management as an optimal control problem for an investor with…
This paper extends the Almgren–Chriss optimal execution framework to account for shared capital limits when rebalancing several assets. It constrains expected cumulative cash spending at every trading period, so a schedule must remain feasible throughout…
The document examines whether models that map market conditions directly to portfolio weights can outperform conventional cross-asset futures strategies. It describes training these policies on sixteen liquid CME futures with a differentiable Sharpe-ratio…
This framework links a target-date fund’s investment objective to pension design inputs, such as contribution rates, working years, retirement age, and replacement-rate goals. Instead of prescribing age-based asset limits alone, a sponsor specifies a…
This strategy ranks five ETFs representing US stocks, foreign stocks, bonds, real estate, and commodities by their trailing 12-month returns. It selects the three strongest, weights them equally, holds them for one month, then repeats the ranking and…
This document describes a tactical allocation rule that uses a ten-month simple moving average to time exposure across asset classes. Its example holds five equally weighted ETFs covering US and foreign equities, bonds, real estate, and commodities when each…
Paired switching rotates investment between two negatively correlated assets instead of holding a static mix. A simple example ranks an equity fund and a government bond fund by their returns over the prior quarter, invests in the stronger performer for the…
The document outlines a global tactical allocation strategy that combines value and momentum signals across asset classes. It ranks investable markets using 12-month momentum, 1-month momentum, and an asset-specific valuation measure: earnings yield for…
The document describes a process for turning academic finance research into systematic strategy summaries. Strategies are grouped by market and theme, with trading rules, rebalancing schedules, performance and risk characteristics, and references to…
The document describes a process for turning academic finance research into systematic strategy summaries. Strategies are grouped by market and theme, with trading rules, rebalancing schedules, performance and risk characteristics, and references to…
The document describes a process for turning academic finance research into systematic strategy summaries. Strategies are grouped by market and theme, with trading rules, rebalancing schedules, performance and risk characteristics, and references to…
The document describes a process for turning academic finance research into systematic strategy summaries. Strategies are grouped by market and theme, with trading rules, rebalancing schedules, performance and risk characteristics, and references to…
The article introduces macroeconomics through national output, unemployment, inflation, interest rates, and government policy. It explains three approaches to calculating GDP, distinguishes nominal from inflation-adjusted GDP, and describes per-capita and…
The document asks why credit spreads on bonds from the same borrower can differ between currencies, with USD and CHF as examples. One response attributes the difference partly to currency-specific default probabilities and recovery rates. This frames credit…
The document asks whether legacy MetaStock end-of-day files can be loaded directly into pandas. It describes the format as binary and notes that it is associated with several file types, but gives no decoding procedure or implementation details. The accepted…