Quantocracy@Quantocracy

Curated links from the quantitative trading blogosphere.

quantocracy.com
Joined June 2013
148 Photos and videos
FYI, X has begun charging for posting links via API, so we will no longer be able to post to X. That means less traffic for the sites we cover. That sucks. Until X reverses course, we recommend following us via our 6 other socials.
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We've added email summaries of the Quant Mashup, delivered every 1-3 days. Get the most recent quant links in your inbox. Never more than one email per day. No spam and no sharing your email address. quantocracy.us7.list-manage.…
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Recent Quant Links from Quantocracy as of 09/28/2026 quantocracy.com/recent-quant…

Recent Quant Links from Quantocracy as of 09/28/2026 - Quantocracy

This is a summary of links recently featured on Quantocracy as of Monday, 09/28/2026. To see our most recent links, visit the Quant Mashup. Read on readers! Do Stocks Fall When Bond Yields Rise? 63...

quantocracy.com
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Do Stocks Fall When Bond Yields Rise? 63 Years of Data [@Julienn_Dev] dlvr.it/TVhK32

Do stocks fall when bond yields rise? 20 yield spikes since 1963

Since 1963 the 10-year Treasury yield rose 1 point or more in a year 20 times. The S&P 500 fell over that year in 7, all with inflation at 3% or more; with inflation under 3%, it rose every time....

portfolio-terminal.com
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Information Theory for Traders: Entropy, Mutual Information, Channel Limits [@AliAskar92] dlvr.it/TVhD99

8.12 Information Theory for Traders: Entropy, Mutual Information, Channel Limits

Mutual information on an E-mini sign signal: an 80% hit rate carries 0.278 bits. Channel capacity is that ceiling, and 252 days give 0.117 bits back.

aligrithm.com
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Kalman filter vs the 200-day moving average: a stochastic model against a geometric rule [@QuanterLab] dlvr.it/TVhCpS

A Stochastic Model Against a Geometric Rule: the Kalman Filter and the 200-Day Line — QuanterLab...

A stochastic model against a geometric rule: a Kalman filter vs the 200-day line on SPY, 2000 to 2025, 5.8% a year against 4.1%.

quanterlab.com
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Lead-Lag Is Multidimensional: Trade Price and OBI Predict Others' Midpoints [@AliAskar92] dlvr.it/TVhCWd

5.54 Lead-Lag Is Multidimensional: Trade Price and OBI Predict Others' Midpoints

High-frequency lead-lag: Euro Stoxx 50 trades lead the DAX future midpoint on 99% of days, by 100 microseconds. Direction accuracy averages 51.8% and correlates 0.67 with lead-lag strength.

aligrithm.com
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Recent Quant Links from Quantocracy as of 09/26/2026 quantocracy.com/recent-quant…

Recent Quant Links from Quantocracy as of 09/26/2026 - Quantocracy

This is a summary of links recently featured on Quantocracy as of Saturday, 09/26/2026. To see our most recent links, visit the Quant Mashup. Read on readers! Can Weakening Morning Order Flow Predict...

quantocracy.com
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Can Weakening Morning Order Flow Predict SPY Reversals? [@Quantpedia] dlvr.it/TVfxkj
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The NAAIM Exposure Index: Contrarian or Continuation Indicator? [@PortfolioOptim] dlvr.it/TVfxK0

The NAAIM Exposure Index: Contrarian or Continuation Indicator?

In a previous blog post, I described the NAAIM Exposure Index, which represents the average exposure to U.S. equity markets as reported by members of the National Association of Active Investment...

portfoliooptimizer.io
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RSI(2) mean reversion on the S&P 500, 2006 to 2025: dips, trading costs and the VIX [@QuanterLab] dlvr.it/TVfxBH

Navigating Mean Reversion: Breaking Down the Base Mechanism — QuanterLab Research

Every dip in the S&P 500 for twenty years on one textbook rule: most of the bounce is the market's, costs take the lead, stressed dips hold up best.

quanterlab.com
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Stat-Arb Is a Clustering Problem: Multi-View Spectral > Any Signal [@AliAskar92] dlvr.it/TVfx19

3.43 Stat-Arb Is a Clustering Problem: Multi-View Spectral > Any Signal

S&P 500 pairs, 2000-2022: multi-view spectral clustering posts Sharpe 0.830 after 5bp. Price-distance pairs fall to 0.338, and the paper's 4.6% drawdown is missing from its table.

aligrithm.com
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Stop Using Pairwise Granger (causality upgrade) [@AliAskar92] dlvr.it/TVfwrN

8.11 Stop Using Pairwise Granger (causality upgrade)

Pairwise Granger on 64 futures at 5% and five lags expects 1,008 false links. Trade the PCMCI parent graph; the 1.51 Sharpe stays on the similarity graph.

aligrithm.com
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Recent Quant Links from Quantocracy as of 09/24/2026 quantocracy.com/recent-quant…

Recent Quant Links from Quantocracy as of 09/24/2026 - Quantocracy

This is a summary of links recently featured on Quantocracy as of Thursday, 09/24/2026. To see our most recent links, visit the Quant Mashup. Read on readers! Tech companies that spend more on capex...

quantocracy.com
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Tech companies that spend more on capex than their operating cash flow [@QuanterLab] dlvr.it/TVcrx5

Which tech companies spend more on building than their business brings in? Every S&P 500 tech...

Which tech companies spend more on buildings and equipment than their business brings in? Ten in 2001, three of 80 this April.

quanterlab.com
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Which Conformal Method Works for Which Alpha Signal? [Delphic Alpha] dlvr.it/TVcrPM
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Moving Average Distance: The Technical Indicator That Passed the Cross-Section [@AliAskar92] dlvr.it/TVcr4z

10.22 Moving Average Distance: The Technical Indicator That Passed the Cross-Section

US equity cross-section: the 21-day over 200-day moving average ratio earns 9.05% annual alpha and kills momentum's. All of it is the long leg, and the short leg pays nothing.

aligrithm.com
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The Part Time Trader Part 2: The Questions Before the Backtest [@Algo_Advantage] dlvr.it/TVcqpM
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Recent Quant Links from Quantocracy as of 09/22/2026 quantocracy.com/recent-quant…

Recent Quant Links from Quantocracy as of 09/22/2026 - Quantocracy

This is a summary of links recently featured on Quantocracy as of Tuesday, 09/22/2026. To see our most recent links, visit the Quant Mashup. Read on readers! Building and Testing Trend-Following...

quantocracy.com
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Building and Testing Trend-Following Strategies on One-Minute SPY Data [@Quantpedia] dlvr.it/TVbxxL
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