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Crypto-asset Research Survey
What is the body of academic research on crypto-assets? Such assets are therefore infinitely divisible and have no physical representation or association with higher authority. Theses assets derive value from the security of an algorithm that records all transactions. The authors segment research into five areas: (1) bubble dynamics, (2) regulation, (3) cybercriminality, (4) diversification, and (5) market efficiency...more
The Day of the Week Effect in the Crypto Currency Market
This paper examines the day of the week effect in the crypto currency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto currencies (LiteCoin, Ripple, Dash) are found...more
Cryptocurrency Service Platform COBINHOOD Lists Open-Source Distributed Ledger, IOTA, To Zero Trading Fee Exchange
COBINHOOD, the world's first zero-trading-fee, high-frequency cryptocurrency trading platform today announced the addition of permissionless distributed ledger IOTA. IOTA's technology is being built to power the future of the Internet of Things (IoT) with feeless microtransactions and data integrity for machines. IOTA is now tradeable on COBINHOOD's centralized exchange under the ticker symbol MIOTA...more
VIX Mean Reversion After a Volatility Spike
In a previous post, we showed that the spot volatility index, VIX, has a strong mean reverting tendency. In this follow-up installment we’re going to further investigate the mean reverting properties of the VIX. Our primary goal is to use this study in order to aid options traders in positioning and/or hedging their portfolios...more
Mean Reversion Entry Timing
One of the first tests I did when I got AmiBroker twenty years ago was a mean reversion test. It was a classic set up, a stock in an uptrend, followed by a pullback. But the entry differed from what I do now. The entry waited for a confirmation of the trend back up. The trade would enter when the stock crossed above the previous day’s high. The exit was also different. The exit was on a close below...more
Exclusive Interview | Quant Expert Cesar Alvarez
Cesar Alvarez attended the University of California, Berkeley where he received his Bachelors of Science in Electrical Engineering and Computer Science in 1989 and his Masters of Science in Computer Science in 1990. Cesar was a Software Engineer on Excel versions 3, 4, and 5, helping Microsoft Excel go from single digit market share to owning the market. Cesar spent nine years as a professional market researcher for Connors Research and TradingMarkets.com. Cesar has been at the forefront of stock market research, having developed...more
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