The Daily Volatility of Foreign Exchange Rates and The Time of Day

15.October 2020

The foreign exchange market (FOREX) is opened 24 hours a day, but traders from different parts of the world tend to prefer different trading hours. However, various dominant trading sessions around the globe can lead to time-dependent market characteristics. Novel research by Doman and Doman (2020) has studied how does the daily volatility of FX rates depend on the time of day of calculation. The volatility changes through the day, and the underlying dynamics depend on the time of the estimate. The results can have important implication for practitioners since the volatility differences are large enough so they can influence trading/risk management decisions.

Authors: Małgorzata Doman and Ryszard Doman

Title: How Does the Daily Volatility of Foreign Exchange Rates Depend on the Time of Day at Which the Daily Returns Are Calculated?

Continue reading

Resurrecting the Value Premium

8.October 2020

Nowadays, the value factor is a hot topic among practitioners and researchers as well. It is commonly known that equity factors have a cyclical performance, but many argue that value underperforms for too long. Therefore, many say that the classical HML value factor of Fama and French is dead. On the other hand, there is an emerging amount of research papers that study the value investing with an aim to make some alterations that would result in a profitable factor as the classic B/M ratio looks like it’s not a sensible value factor anymore. This branch of literature was recently enriched by novel research of Blitz and Hanauer (2020). By including more value metrics, altering the investment universe and applying basic risk management techniques, value strategy can become profitable in the long term. Although the modification is sensible, it stills suffer in a recent period. Only time will tell whether the novel resurrected value factors would emerge again as many times in the past…

Authors: David Blitz and Matthias X. Hanauer

Title: Resurrecting the Value Premium

Continue reading

Quantpedia in September 2020

2.October 2020

We have prepared several new announcements, but first, let us recapitulate last month of Quantpedia’s research. Nine new Quantpedia Premium strategies have been added into our database, and eleven new related research papers have been included in existing Premium strategies during last month.

Additionally, we have produced 12 new backtests written in QuantConnect code. Our database currently contains over 350 strategies with out-of-sample backtests/codes.

Also, five new blog posts, that you may find interesting, have been published on our Quantpedia blog:

Continue reading

Benford’s Law Suggests Bitcoin’s Price Manipulation

29.September 2020

The Bitcoin is a quite controversial topic among the public. Many are interested in the blockchain technology or trade the cryptocurrencies , but the Bitcoin also has many opponents. Most frequently, Bitcoin is criticized for its volatility or a lack of supervision; some even call the Bitcoin a fraud. Yet many argue that blockchain is transparent. Novel research by Peterson examines the price manipulation using Benford’s law and a linkage to the anecdotal evidence of known manipulation. In theory, the distribution of leading digits in numerical data should follow the Benford´s law and any significant deviations usually signal a fraud. According to the results, in the history of bitcoin prices, several frauds were detected. The results have important implication for the Bitcoin; therefore, this research is probably a must-read for anyone interested in cryptocurrencies .

Authors: Timothy Peterson

Title: To the Moon: A History of Bitcoin Price Manipulation

Continue reading

First-Half Month Cash-Flow News and Momentum in Stocks

24.September 2020

Stock prices react to the new information that investors continually receive from many sources. There are some major events, which are commonly connected with a new piece of information and subsequent reactions of investors. For example, quarterly earnings-announcements are the cause of the post-earnings announcement drift or PEAD. According to the PEAD, prices tend to continue to drift up (down) after positive (negative) news. But news related to quarterly announcements is not the only important information. A novel research paper written by the Hong and Yu explores implications of the month-end reporting, analyst revisions and management guidance that are coming to market usually in the first half of each month and are also connected with drifts that offer practitioners profitable opportunities.

Authors: Claire Yurong Hong and Jialin Yu

Title: Month-End Reporting, Cash-Flow News, and Asset Pricing

Continue reading

Subscribe for Newsletter

Be first to know, when we publish new content


    logo
    The Encyclopedia of Quantitative Trading Strategies

    Log in