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This research reviews technology-focused equity indices in China, comparing their historical performance, construction rules, and constituent distributions. It then examines whether patent information can improve index selection. The proposed patent measures…
This analysis examines how Hong Kong stocks behaved around additions to and removals from the Stock Connect eligible list, as southbound trading grew in importance. It reports that additions were associated with gains and higher trading volume, while removed…
This report adapts hidden Markov models (HMMs), a technique associated with speech recognition, to rank stocks by the likelihood of an upward move. It assumes that rising and falling stocks follow distinct patterns and models those patterns separately. Six…
This report outlines a method for analyzing open-ended bond fund returns and deriving a residual alpha measure for fund screening. It groups risk exposures into eight factors spanning interest-rate curve movements, credit risk, equity markets, and money…
This reading note summarizes the KKT business-cycle index, a data-driven measure proposed in a referenced academic paper. The index uses Mahalanobis distance and statistical likelihood to compare current economic conditions with a robust-growth state,…
The discussion clarifies the meaning of a factor-crowding value shown in BigQuant’s factor analysis module. The reply says the value is the recent average turnover rate of stocks after they have been grouped by a factor. It is therefore a group-level average…
This research summary describes using an imitation portfolio to infer the holdings of three Chinese mutual funds. The motivation is that public disclosures arrive with a delay and represent holdings at reporting dates, making them an imperfect guide to a…
This research summary presents a framework for timing equity factors whose returns have become less reliable. It reviews indicators such as valuation spreads and pairwise correlations, and examines their relationship with future factor returns. A random…
This study analyzes information transmission among 28 first-level Chinese equity sectors using daily closing prices from 2000 through 2017. It uses transfer entropy to estimate the strength and direction of information flows between sector time series, then…
This market outlook examines whether a narrowing or inverted spread between long and short US Treasury yields reliably signals an approaching recession. It argues that historical examples of a true ten-year versus one-year inversion are limited, and that…
This document outlines a long-horizon commodity futures strategy that uses machine learning to forecast the following week’s direction. It calculates signals at the end of each week and adjusts positions on the first trading day of the next week using TWAP…
This survey introduces regression methods used in financial modeling, from ordinary linear models to polynomial and logistic regression. It also explains quantile regression for examining different parts of a conditional outcome distribution, including its…
This practitioner note compares very high-return, moderate-return, and lower-return backtests for short-horizon equity models, focusing on whether their apparent performance persists out of sample. The author reports that aggressive timing filters and models…
This research summary presents factor timing as a risk-control problem rather than solely as a forecast of factor returns. In a multi-factor portfolio, the approach adjusts upper and lower bounds on factor exposures. Those bounds are tied to factor risk,…
This discussion contrasts quantitative trading with manual trading, emphasizing that the main difference lies in execution. It characterizes quantitative trading as using mathematical or statistical models and historical data to identify strategies that may…
The document explains how NumPy and pandas serve different but complementary roles in Python data work. NumPy provides multidimensional arrays and efficient numerical operations, making it suited to mathematical calculations. pandas builds on NumPy with…
This brief note lists four candidate low-frequency factors based on daily price behavior over a rolling window: the close’s relative position or spread within the period, the relative index of the period high, the relative index of the period low, and the…
The article argues that company and industry research helps investors understand potential investment candidates, while market sentiment influences whether and when those candidates gain attention. It distinguishes sell-side research, which provides…
This document introduces the goal of deriving gradients for Word2Vec’s cost function with respect to a target vector’s weights. It says the derivation uses a set of expressions and formulas, then works through the gradient calculation step by step. The…
This short forum exchange discusses how to construct market risk-control indicators, particularly for broad-market timing. It says such approaches commonly use an index together with custom technical indicators, such as MACD, to guide decisions. It also…
This brief troubleshooting exchange concerns an incorrect regression evaluation result in a BigQuant workflow. The user reports that the input data is correct, and the response identifies the final output step of a custom Python module as the issue: because…
The article describes a risk-model framework for evaluating fund managers beyond headline returns, Sharpe ratio, or drawdown. It decomposes active returns into factor and stock-specific contributions, and examines risk contributions from a fund’s style…
The document describes an intraday strategy that combines classification and regression models built with XGBoost to rank stocks by predicted daily price change. Its features include overnight returns and opening-auction behavior, such as staged price moves,…
This brief forum post asks how to express a condition in Python for a security’s low price to cross below its 60-day moving average. The visible example begins to describe a method that compares the prior period’s low and moving average with their current…