Quantpedia in August 2020

Dear readers,

Once again, welcome to our summary of Quantpedia’s research. Ten 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 15 new backtests written in QuantConnect code. Our database currently contains over 340 strategies with out-of-sample backtests/codes.

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

Pre-Announcement Returns
Authors: Gao, Hu, Zhang
Title: Uncertainty Resolution Before Earnings Announcements

Multi-Asset Skewness Trading Strategy
Authors: Vojtko, Lievaj
Title: Multi-Asset Skewness Trading Strategy

Implied Equity Duration as a Measure of Pandemic Shutdown Risk
Authors: Dechow, Erhard, Sloan, Soliman
Title: Implied Equity Duration: A Measure of Pandemic Shutdown Risk

Reverse Flight to Liquidity in Fixed Income
Authors: Yiming, Kairongand, Yao
Title: Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity

Plus, we have a new short video related to the Pre-Election Drift Effect

Stay safe …

Radovan Vojtko
CEO & Head of Research


Are you looking for more strategies to read about? Sign up for our newsletter or visit our Blog or Screener.

Do you want to learn more about Quantpedia Premium service? Check how Quantpedia works, our mission and Premium pricing offer.

Do you want to learn more about Quantpedia Pro service? Check its description, watch videos, review reporting capabilities and visit our pricing offer.


Or follow us on:

Facebook Group, Facebook Page, Twitter, Linkedin, Medium or Youtube

Share onRefer to a friend

Subscribe for Newsletter

Be first to know, when we publish new content


    logo
    The Encyclopedia of Quantitative Trading Strategies

    Log in

    SUBSCRIBE TO OUR NEWSLETTER AND GET:
    1. bi-weekly algo & quant academic research insights
    2. tips on new trading strategies & Quantpedia features
    3. notifications about exclusive Quantpedia offers & promos
    Subscribe
    Subscribe
    SUBSCRIBE TO OUR NEWSLETTER
    and be the first who get:
    - bi-weekly newsletter with academic research insights
    - special report about top strategies each month
    - exclusive discount offers & coupons