Ralph Sueppel @macro_synergy
Managing Director of Macrosynergy Ltd. Development of systematic macro trading strategies. research.macrosynergy.com London, England Joined June 2016-
Tweets2K
-
Followers14K
-
Following420
-
Likes167
"We document positive and significant returns on long-term U.S. Treasury bonds on the day before the FOMC announcements and attribute this pre-FOMC drift to the premium for heightened uncertainty." papers.ssrn.com/sol3/papers.cf…
Quantamental documentation: Historically, there has been a negative relation between employment growth and subsequent equity and fixed income returns, particularly in the U.S. The relation is more significant if one uses workforce growth as a benchmark. academy.macrosynergy.com/academy/Themes…
Python code: "The Chicago Fed National Activity Index has an amazing track record at predicting recessions... By plotting three series, we can get a great handle on the current state of the economy." ai.gopubby.com/how-to-plot-th…
"ETF products significantly affect the value of the constituent assets, and in particular the value of assets that are in shortest supply... The price of the asset offered in short-supply trades at a premium compared to an environment without ETFs." papers.ssrn.com/sol3/papers.cf…
"Companies reporting extreme quarterly earnings misses exhibit pronounced significant overnight drift post-announcement... Extreme earnings misses stimulate more intensive information acquisition." papers.ssrn.com/sol3/papers.cf…
"Asset Pricing with Cognitive Biases and Deep Learning": "Biased expectations can explain two central puzzles in the asset pricing literature: the equity premium puzzle and the excess volatility puzzle." papers.ssrn.com/sol3/papers.cf…
"How to Track the Portfolio Allocation of Institutional Investors": "Extracting and Examining SEC Form 13F Filings using Python with the FMP API or Selenium Scraping for Tracking the Big Players." medium.com/@crisvelasquez…
"Social Network Attention Herding, Sentiment, and Markets": "We construct a monthly attention herding portfolio based on the top three most discussed stocks that receive an aggregate positive sentiment [which] generates sizable alphas." papers.ssrn.com/sol3/papers.cf…
"Mean Reversion Strategies": "An introductory overview of mean-reversion strategies [with Python code] delving into key concepts that underpin such approaches." johoblogs.medium.com/mean-reversion…
Macroeconomic data and systematic trading strategies: An introduction research.macrosynergy.com/macroeconomic-…
"Empirical analysis that uses outputs from pre-trained language models can be subject to a new form of temporal lookahead bias [that] arises when a language model’s pretraining data contains information about the future." papers.ssrn.com/sol3/papers.cf…
Video tutorial: Macro-quantamental indicators An introduction to the current industry standard (JPMaQS). Free trials for institutional investors via J.P. Morgan. Special targeted access for academic research. players.brightcove.net/887906362001/z… [players.brightcove.net]
A useful reminder: "The Kelly criterion is a technique [that] seeks to maximize expected growth of assets by optimally investing a fixed fraction of wealth in a series of investments." johoblogs.medium.com/the-kelly-crit…
"Using publicly available information on option volume totals, we develop new measures of directional option-to-stock (O/S) trading volume imbalance [which] consistently predict future abnormal performance." papers.ssrn.com/sol3/papers.cf…
"Principal Component Analysis (PCA)... holds particular importance in finance... where data is voluminous... extracting meaningful patterns, optimizing portfolios, managing risk, and identifying underlying factors." medium.com/@gdimitrov/int…
"Shocks in China have material impacts on global equity markets [but] much smaller than... shocks in the U.S... By contrast, shocks from China account for a significant proportion of variation in global commodity prices... on a par with those of the U.S." econstor.eu/bitstream/1041…
"Dynamic hedging is the practice of periodically transacting financial instruments to offset the risk caused by an investment or a liability... We propose a novel general market impact dynamic hedging model based on Deep Reinforcement Learning." arxiv.org/pdf/2402.13326…
Paper "investigates the enhancement of financial time series forecasting with the use of neural networks through supervised autoencoders, aiming to improve investment strategy performance." arxiv.org/pdf/2404.01866…
"For independently and identically distributed returns or simple autocorrelation dynamics... longer horizon beta estimates [lookbacks of 1- 5 years] provide much better estimates of longer-horizon [future] betas than short-horizon [e.g. monthly] betas." papers.ssrn.com/sol3/papers.cf…
"Equity Premium in Efficient Markets": "Risk aversion [is] dependent on the information available... In efficient markets, informed investors maximize return on volatility by being risk-neutral with riskless bonds, and risk-averse with equities." arxiv.org/ftp/arxiv/pape…
Stat Arb @quant_arb
41K Followers 1K Following Crypto HFT/MFT QR | DMs open 📥 (plz no essays) | @QuantitativeArb | Views my own. Not financial advice.
Corey Hoffstein 🏴�.. @choffstein
66K Followers 1K Following CEO & CIO (Newfound Research) | 🥞 Return Stacking | 🌊 Liquidity Cascades | 📆 Rebalance Timing Luck | ⚡️ Risk cannot be destroyed, only transformed.
Carl Carrie (@🏠) @carlcarrie
15K Followers 1K Following Meanderings on markets, microstructure, misinformation, machine learning, metaverses, and multiverses... maybe more. #FinTech #AI #Python - Views are my own.
elPythonQuantador @ThePythonQuant
11K Followers 981 Following Quant Trader. Unapologetically miserable. Views are my own.
Rob Carver @investingidiocy
17K Followers 372 Following Overfit for the LOLs: Systematic trader, author^4, blogger, lecturer@QMUL, [email protected], ex-HF & IB, leftie, quant, pythonista, Dad^3, sailor & MAMIL
SymplecticQuant @QuantSymplectic
19K Followers 290 Following Math, Physics, Code, Quant Analysis Not financial advice.
HangukQuant @HangukQuant
15K Followers 193 Following quant research and quant dev. not financial advice.
Michael Harris 📈 @mikeharrisNY
30K Followers 768 Following Quant trading and investing Premium: https://t.co/0w6F0AovhM Free book: https://t.co/DjoqoCQm6u Subst@ck: https://t.co/LRjcyV5kOx No advice.
Ankit Garg @Ankit_Quant
18K Followers 883 Following Systematic Quantitative Trader | Masters in Quant Finance - @UCBerkeley | ex-Interbank FX trader| Founder: @decibelcapital
Mark Gutman @MarkGutman9
19K Followers 856 Following Alter-ego of Marcos Bueno, CIO of @AscentAdvisors. Ex GS, JPM Prop and HF. This is not advice nor recommendations, it's Educational Content and Market Updates
Darren 🥚🐣🕊�.. @ReformedTrader
14K Followers 180 Following Trend, value, quality, carry, and volatility... Strength is made perfect in weakness. See the pinned tweet for compound return generators.
Artur Sepp: Systemati.. @ArturSepp
8K Followers 438 Following All views systematic https://t.co/hz2IJAhW7R. Quant of the Year by Risk Magazine: https://t.co/YFnYNK11yt
Jerry Parker @rjparkerjr09
30K Followers 413 Following Vintage Retro Classic Trend Following + Nothing™ No mean-following. Not Managed Futures. Trend Following Alone. Furu and self-proclaimed outlier hunter.
Joel Rubano @TCK_JRubano
7K Followers 2K Following Commodity trader. Trader education & development at Instradev, LLC. Author - Trader Construction Kit. https://t.co/FD3r6FlcCA
JohannesBorgen @jeuasommenulle
47K Followers 2K Following Le poids d'un oiseau qui s'y pose suffit à déplacer la terre. The weight of a bird landing on it is enough to move the Earth
Quantocracy @Quantocracy
23K Followers 176 Following Curated links from the quantitative trading blogosphere.
goodalexander @goodalexander
66K Followers 1K Following Crypto, trading, accelerationism. Market commentary, not investment advice. Assume I have positions in all things discussed
baufinanciaphaster �.. @bauhiniacapital
18K Followers 5K Following 残り物には福がある. Trafiquant de l’ésotérique. Unverified(Ogre). Usually couth, sometimes kempt, often gruntled. Strong opinions, held weekly, sometimes more often.
BankofVol LatestHype�.. @BankofVol
22K Followers 1K Following My Bots do crazy things, never try this at home. #AI #ENSEMBLE it’s Logarithms fault. Luck is serial correlated #DeleteMeta #ICantBreathe #Peace
. @aeWuvGQy3lH74mV
0 Followers 4 Following
meeman @bmeeman
40 Followers 49 Following Trader by day, art collector by night. Also, strange love for Bonsai.
Josh Griffiths @asap_crack
183 Followers 439 Following
Trivial_Pursuit @TrivialPursui16
47 Followers 714 Following
squidroflux @squidroflux
2 Followers 774 Following
Dawn of a New Era @hesemani
78 Followers 1K Following
Lap_se @Lap_see
75 Followers 76 Following
pcc23 @pccpcc23
37 Followers 291 Following
Eric Kao @eric9016
51 Followers 324 Following
Tim @562tmo
442 Followers 839 Following Computer programming | Financial Markets | Data Analysis | RTs/Likes not endorsements.
The Poodle - veriphiz.. @unshakeablejake
134 Followers 2K Following CinderFella Difficulties strengthen the mind, as labor does the body." Seneca Everyone's talking their own book. Risk is back and so am I. FAFO.
Roy Adefarakan, MBA @royhrcg
29 Followers 41 Following PhD Candidate in Banking and Finance @KingsCollegeLon Research Interest: Financial Risk Management, Climate Finance, Banking Regulations | Active Investor & VC
Vego @vego88
322 Followers 1K Following
Railco @Railco_
166 Followers 3K Following
Francisco Borja @faborja83
368 Followers 3K Following Monetary History, History of Economic Thought. Doctorando @postgradoUPO @pablodeolavide
ПИРОЖОК С Н�.. @SemovSemov
88 Followers 159 Following
วิไลวาว.. @Anthea977751159
61 Followers 1K Following เราเจอชะตากรรมแบบไหน ชอบติดตามไว้ก่อนได้นะครับ ผมจะส่งข้อมูลติดต่อไปที่หน้าแรกเป็นระยะๆครับ
GD Consult @llc_gd12882
83 Followers 652 Following Consulting services for Trading and Investment Management
darkpluto123 @darkpluto9988
48 Followers 36 Following
If useful, I pass alo.. @igniteyourmagic
367 Followers 2K Following On a mission to explore and share life’s lessons. Follow to join me on this enlightening journey. No clickbait, no nonsense. If useful, I pass along. 💡📝💬
xiaoqi7 @xiaoqizeven
4 Followers 52 Following
TCP Trader @EAtopSECRET1
149 Followers 970 Following Price is fractal targeted over cycle at right time Trading=Time +Cycle +Price
Esoteric Capital @esoteric_cap
299 Followers 371 Following Esotericism, shit posting, market fuckery.
F4-rm @osk_6thh
88 Followers 256 Following
Kyámér @_josephkiama10_
1K Followers 2K Following Economist||History enthusiast||old school vibes||STILL WATER RUNS DEEP!! https://t.co/8ene9bGgXu
Muhammad Sani @MuhammadSa43680
4 Followers 67 Following
Ismael ELALAOUI @IElalaoui35687
0 Followers 6 Following
Briiatch @briiatcho
249 Followers 541 Following
kishorekrishnan @kishorekri12799
136 Followers 546 Following
HY @HY5762973285033
19 Followers 102 Following
K @K43234815
103 Followers 260 Following
assKickerPussLicker @KickerPuss
69 Followers 792 Following
Robert Sobieski @r_sobieski
133 Followers 471 Following #datascience #machinelearning #deeplearning #artificialintelligence #strategy #marketing #AI #ML
Kenno @KennoNicklas
19 Followers 155 Following
Prince Mnyakeni @PrinceMnyakeni
12 Followers 10 Following
Curva de valor @CurvaValor
5 Followers 134 Following
Majid Jangani @Jang_maj_
17 Followers 144 Following
Juan Felipe Muñoz @jufemun
138K Followers 2K Following I tweet about Branding and Marketing. MBA @kelloggschool MIA @columbia @lsenews
bbbboooo @zzlin199
33 Followers 831 Following
rino hilman @AnakTsan
11 Followers 162 Following
Alex Bilzerian @alexbilz
7K Followers 851 Following Investor. prev: @openoceanvc, L/S Equity HF, ML Lead https://t.co/4XnnBXCPY9, @Cornell: Physics & Creative Writing. Greek/Armenian-American
PyQuant News 🐍 @pyquantnews
115K Followers 296 Following Where finance practitioners get started with Python for quant finance, algorithmic trading, and data analysis | Tweets & threads with free Python code & tools.
Corey Hoffstein 🏴�.. @choffstein
66K Followers 1K Following CEO & CIO (Newfound Research) | 🥞 Return Stacking | 🌊 Liquidity Cascades | 📆 Rebalance Timing Luck | ⚡️ Risk cannot be destroyed, only transformed.
Carl Carrie (@🏠) @carlcarrie
15K Followers 1K Following Meanderings on markets, microstructure, misinformation, machine learning, metaverses, and multiverses... maybe more. #FinTech #AI #Python - Views are my own.
Clifford Asness @CliffordAsness
129K Followers 1K Following https://t.co/SqAanFKORB. https://t.co/NbcMFHWbR4. Chaotic good.
Rob Carver @investingidiocy
17K Followers 372 Following Overfit for the LOLs: Systematic trader, author^4, blogger, lecturer@QMUL, [email protected], ex-HF & IB, leftie, quant, pythonista, Dad^3, sailor & MAMIL
SymplecticQuant @QuantSymplectic
19K Followers 290 Following Math, Physics, Code, Quant Analysis Not financial advice.
Euan Sinclair @SinclairEuan
27K Followers 445 Following vol trader, opinions are my own and may or may not be reflective of positions i hold. nothing should be taken as financial advice.
Michael Harris 📈 @mikeharrisNY
30K Followers 768 Following Quant trading and investing Premium: https://t.co/0w6F0AovhM Free book: https://t.co/DjoqoCQm6u Subst@ck: https://t.co/LRjcyV5kOx No advice.
Marcos López de Prad.. @lopezdeprado
22K Followers 49 Following Professor @Cornell @BerkeleyLab. Sovereign Wealth Fund. Machine Learning for Asset Managers (@CambridgeUP). Advances in Financial Machine Learning (Wiley).
Dario Perkins @darioperkins
60K Followers 2K Following MD Global Macro @TS_Lombard, macro themes/research/risks, central-bank specialist, started career at HM Treasury in late 90s, ex ABN AMRO, AC Milan fan
Darren 🥚🐣🕊�.. @ReformedTrader
14K Followers 180 Following Trend, value, quality, carry, and volatility... Strength is made perfect in weakness. See the pinned tweet for compound return generators.
Artur Sepp: Systemati.. @ArturSepp
8K Followers 438 Following All views systematic https://t.co/hz2IJAhW7R. Quant of the Year by Risk Magazine: https://t.co/YFnYNK11yt
Quantocracy @Quantocracy
23K Followers 176 Following Curated links from the quantitative trading blogosphere.
Brad Setser @Brad_Setser
98K Followers 953 Following CFR senior fellow. Views are my own. Retweets are not endorsements. Writes on sovereign debt and capital flows.
goodalexander @goodalexander
66K Followers 1K Following Crypto, trading, accelerationism. Market commentary, not investment advice. Assume I have positions in all things discussed
Jens Nordvig 🇩🇰.. @jnordvig
59K Followers 2K Following PhD Economist, Founder+CEO @ExanteData & @MarketReaderInc Formerly: MD at Goldman, Head of Research at Nomura & Bridgewater. #1 Ranked by Institutional Investor
Saeed @saeedamenfx
10K Followers 629 Following FX quant macro/Python/burgers. Co-founder: @turnleafan forecasting inflation with ML. Founder: @cuemacro. Books: Trading Thalesians, Book of Alternative Data.
Ed Bradford @Fullcarry
46K Followers 428 Following US government bond trader since '93 with the usual stints along the way at primary dealers and HFs. Now on my own. Pseudonym
Yulia Navalnaya @yulia_navalnaya
369K Followers 1 Following
Yannick Kälber @YannickKae
2K Followers 934 Following Quantitative Finance ⚜️ (My views are expressed here in a personal capacity & do not represent the views of my employer.)
Robert Friedland @robert_ivanhoe
21K Followers 233 Following Founder @IvanhoeMines_ | @IvanhoeElectric | Everything affects everything, everywhere, all the time 🌎
Anna Wong @AnnaEconomist
16K Followers 287 Following Chief US Economist, Bloomberg LP @economics. Former Fed/CEA/US Treasury, @uchi_economics. All opinions are my own.
Visual Studio Code @code
685K Followers 133 Following Microsoft Visual Studio Code lets you build and debug modern web and cloud applications. Visual Studio Code is free and available on Linux, macOS, and Windows.
FedResearch @FedResearch
19K Followers 8 Following The analysis and conclusions set forth are those of the authors and do not indicate concurrence by other members of the research staff or the Board of Governors
Adam Shapiro @ah_shapiro
4K Followers 606 Following Economist @sffed | Applied Micro | Applied Macro | Health Economics | Views expressed here are my own | personal account
Quant Beckman @quantbeckman
4K Followers 6 Following Quantitative Researcher & Dev. | Financial Data Scientist | Machine Learning Engineer | Mathematical Research | Algorithmic Trading Systems
Michael Green @profplum99
173K Followers 1K Following Chief Strategist Simplify Asset Management | PM of $FIG | not investment advice
Marscat @etiennedemarsac
7K Followers 1K Following 20 Years of Macro Fund Management // Headed the 8 bn Liquidity Buffer @EIB // Head of Rates // Central Banks // Kitesurf // Proud Father // Kitty’s Squad.
Pierre Andurand 🇺�.. @AndurandPierre
60K Followers 1K Following Hedge Fund manager specialized in energy derivatives. GLORY_WS founder and chairman. Life long learner. 5 MSc. Oxford, Columbia and HEC alumnus
FollowML @followML_
4K Followers 279 Following Tweets screenshots of ML arXiv papers. Follows the greatest ML researchers.
Lyn Alden @LynAldenContact
679K Followers 753 Following Founder of Lyn Alden Investment Strategy. Finance+engineering background. GP @egodeathcapital. BoD at https://t.co/FHNz9MBftH (where I buy my bitcoin).
Mitchell Rosenthal @M1tchRosenthal
6K Followers 2K Following mostly trading, code, & music. Love to learn! No advice. Research: https://t.co/bbNTlt374x
Juliette Declercq @JulietteJDI
24K Followers 1K Following Founder #JDIresearch. Global #MacroStrategy: « The important is not to be the first to know but the first to understand ». 23y passion for investment & strategy
Julia Coronado @jc_econ
18K Followers 1K Following Founder MPP (yeah you know me), UT Austin Prof, NABE Prez Former: chief economist at various financial firms & Fed economist Passionate @ family, macro, cats
Exante Data @ExanteData
22K Followers 691 Following Data driven insights before the consensus We serve the world's top institutional investors. Check out: https://t.co/WcLvjdLaHc https://t.co/RWQ9sYIeag (substack)
Shy BOT @ShyBOT7
616 Followers 2 Following Gathering #AI & #TensorFlow related tweets. I belong to @rebeccapark
Polemic Paine @PolemicTMM
19K Followers 2K Following Team Macro Man, City veteran, investor, trader and lover of wild places. Fascinated by behavioural biases.
We are R-Ladies @WeAreRLadies
34K Followers 192 Following Rotating Curator for the @RLadiesGlobal community #RLadies (currently on a brief break)
Hans Heytens @stratsy_
2K Followers 1 Following Passionate about Global Macro, Quantamental and Systematic investing.
Global Economies @GEconomies
9K Followers 478 Following GENN: An initiative to examine ways to expand and improve the links between global hubs to create prosperity for all. Follow us for daily updates and articles.
Colm Fitzgerald @ColmFitzgerald
3K Followers 627 Following Trader, economist, actuary, classicist. Trades using non-axiomatic maths. Lectures at & PhD from UCD. Previously Head of Quantitative Trading at Bank of Ireland
Otavio (Tavi) Costa @TaviCosta
222K Followers 2K Following Crescat Capital macro strategist. Native of Sao Paulo, Brazil 🇧https://t.co/YApL3RfM1A
Bill McBride @calculatedrisk
91K Followers 396 Following Author of Calculated Risk economics blog. Real Estate Newsletter https://t.co/isotGwh2dc Threads calculatedriskblog https://t.co/e4hR9QBD6w
Mirabaud AM @Mirabaud_AM
6K Followers 965 Following Focused and specialised active management investment house, we manage Traditional and Alternative investment solutions. Dare To Be Active.
Angie Setzer @GoddessofGrain
49K Followers 2K Following Too legit to quit. Building a life and a business with @ksetzergrains.Cash grain consultant, risk manager, no fun at parties. Here to help make it make sense 🤗
Erik Fossing Nielsen .. @ErikFossing
23K Followers 1K Following Group Chief Economics Advisor, UniCredit. (Ex UC Chief Econ and head of research, Goldman Sachs Chief European Economist, World Bank, IMF, Danish central bank.)
Macroprudential Polic.. @Macroprupolicy
7K Followers 7K Following Inequality👉Private Debt👉High Leverage👉Financial Crisis
best_pyfinance @BPyfinance
1K Followers 650 Following If you love Python and Finance and are looking for inspiration, I trawl github and find you the most popular repos.
Matthias Hanauer @HanauerMatthias
3K Followers 534 Following Director Quant Equity @Robeco | Bridging Academia and Industry 💡| Exploring Factors, ML, and International Data 🚀
Vitor Constâncio @VMRConstancio
26K Followers 1K Following Former ECB Vice President. President of the Council of ISEG, University of Lisbon. Professor at Navarra University, Masters School, Madrid
Arbor Data Science @DataArbor
10K Followers 34 Following The team at Arbor Data Science provides daily commentary and data-driven analysis for institutional clients of Arbor Research & Trading.
George Goncalves @bondstrategist
41K Followers 502 Following Bond market veteran: +25yr on sellside & buyside focused on rates, credit, USD funding, Fed & global macro. My tweets are opinions, not advice! RT≠endorsements!
BɅRTON @Barton_options
36K Followers 243 Following PhD. Swing trader in index options, Fed watcher. Tweets reflect my personal observations. No investment advice. No medical advice.
Julian Brigden @JulianMI2
77K Followers 357 Following Co-founder of Macro Intelligence 2 Partners, a global independent macroeconomic research firm @MI2Partners, and co-creator of Macro Insiders @RealVision
Julien Bittel, CFA @BittelJulien
67K Followers 505 Following Head of Macro Research at Global Macro Investor (GMI) https://t.co/qjd62vKrSp | Head of Asset Allocation at EXPAAM https://t.co/ScqJXdJf71
Mark Minervini @markminervini
551K Followers 143 Following Author Trade Like A Stock Market Wizard and Think & Trade Like a Champion. Featured in Stock Market Wizard by Jack Schwager. Before following read disclosure.
Timothy Ash @tashecon
109K Followers 646 Following Economist, covering Emerging Europe, Middle East and Africa. Key focus on Ukraine, Russia and Turkey, amongst others. Tweets represent my personal views. LUFC.
Robin Brooks @robin_j_brooks
306K Followers 209 Following Senior Fellow @BrookingsInst, previously Chief Economist @IIF and Chief FX Strategist @GoldmanSachs. Opinions are my own. Email: [email protected].
ArbitrageMacro @ArbitrageSearch
2K Followers 5K Following macro charts (& Jobs!) in Markets & Economics. Recruit with us or send your CV to ChrisA@arb, Rick @arbitrage-search.com
Ewan Kirk @ewankirk
1K Followers 647 Following Technology entrepreneur, early-stage investor, founder of Cantab Capital Partners, Chairman of the Management Committee at the @NewtonInstitute
The FRED Blog creates a color-coded FRED map to compare bank deposits as a fraction of GDP for nations worldwide ow.ly/z9iv50Rr94k
Network Momentum across Asset Classes arxiv.org/abs/2308.11294 #QuantLinkADay
I'm more than happy that my research piece on TV news & mutual fund flows in now live! Big thank you to my PHD supervisor @BurcinYurtoglu from @WHU_edu and @mediatenor for a great set of data. Free access until August 24, 2023): lnkd.in/eAxSegfu
@macro_srsv There's a nice repo with examples around how to calc cointegration between pairs and run a strategy on top of it. Indeed, just to illustrate how to implement that in Python :) github.com/gopalrai11/Pai…
Construction of weighted median inflation rates for 38 advanced and emerging economies has desirable properties for measurement of core inflation, from Laurence M. Ball, @Cvianac Christopher Evans, and Luca Antonio Ricci nber.org/papers/w31032
Measuring price impact and information content of trades in a time-varying setting arxiv.org/abs/2212.12687 #QuantLinkADay
“#Russia—and not the taxpaying publics of the United States and its allies—should bear the financial burden of its war against Ukraine.” Read more from the @AtlanticCouncil's Franklin Kramer in @thehill about seizing Russian state assets. thehill.com/opinion/intern…
SVAR Identification with High-Frequency Macroeconomic Data papers.ssrn.com/sol3/papers.cf… #QuantLinkADay
Inflation-Adjusted Bonds, Swaps, and Derivatives papers.ssrn.com/sol3/papers.cf… #QuantLinkADay
FX Liquidity Risk and Carry Trade Premia papers.ssrn.com/sol3/papers.cf… #QuantLinkADay
@macro_srsv This is a more traditional argument using Indian asset class data. From “Historical Nominal and Real Asset Returns in India” at papers.ssrn.com/sol3/papers.cf…
Machine Forecast Disagreement and Equity Returns papers.ssrn.com/sol3/papers.cf… #QuantLinkADay
Option Volume Imbalance as a predictor for equity market returns arxiv.org/abs/2201.09319 #QuantLinkADay
Optimal trend following portfolios arxiv.org/abs/2201.06635 #QuantLinkADay
Fiscal regimes and the exchange rate papers.ssrn.com/sol3/papers.cf… #QuantLinkADay
Main Street's Pain, Wall Street's Gain papers.ssrn.com/sol3/papers.cf… #QuantLinkADay
@VolQuant @TheTerminal @Refinitiv You should try my findatapy library, has wrappers for BBG and Eikon 😀 Has lots of extra features like multi threading, ticker mappings (whole vol surface is 1 line), use of JSON to make requests if you want etc. github.com/cuemacro/finda… - github.com/cuemacro/finma…
Optimal Portfolio Choice and Stock Centrality for Tail Risk Events arxiv.org/abs/2112.12031 #QuantLinkADay
@macro_srsv Two Sigma recently published a little piece in which they explore the use of a Gaussian Muxture Model to identify market regimes based on a set of 17 underlying factors. twosigma.com/articles/a-mac…
Trends for United States
You might like
