Stocks
This paper shows that timing factor exposures over time can improve performance significantly. By forecasting returns on key equity anomalies using valuation signals, the authors build a dynamic portfolio that earns higher Sharpe ratios than static factor investing or market timing alone.
This paper finds that stocks more sensitive to investor mood swings—called "high mood beta" stocks—earn higher returns in good-mood periods (like Fridays and January) and lower returns in bad-mood periods (like Mondays and October). These effects are systematic, persistent, and tradable.
This paper studies how High-Frequency Traders (HFTs) and Market Makers behaved during the Flash Crash of May 6, 2010. It shows that HFTs didn’t cause the crash—but also didn’t help stabilize it. They traded fast and in the same direction as prices, while traditional market makers pulled back.
This paper reveals that high-frequency trading (HFT) is not one big strategy—but three distinct types. It shows that when HFTs compete in market-making, volatility actually goes down, and smaller exchanges become more viable.
This paper shows that in high-frequency trading (HFT), milliseconds matter. The fastest firms earn the majority of profits, not because they make better trades—but because they make more of them, faster. Speed wins.
High-frequency traders (HFTs) often compete with large institutional trades, raising execution costs for informed orders. This paper shows that when HFT speed is restricted, price impact drops—especially for skilled institutional traders.
This paper shows that high-frequency traders use their speed to crowd out slower traders from the most profitable limit order executions. They exploit fleeting imbalances in the order book and withdraw when risk increases—leaving slower traders with poor fills.
This paper shows that the part of the variance risk premium tied to downside tail risk—jumps in asset prices—is what really predicts market returns. It's a cleaner measure of investor fear than the VIX.
It’s not volatility, but the anticipation of risk that drives returns. This paper shows how timing macro events reveals the hidden premium of uncertainty.
Less than 43% of stocks beat Treasury bills, and just 4% account for all market gains. 🚀📊
Most stock market gains happen during a four-hour window before European markets open. This paper finds that almost all returns come from this short time period, likely because investors are reacting to overnight news. A simple strategy that trades during this window beats buy-and-hold.
Sharpe ratio up to 7.2. A powerful AI-driven approach to price trends, demonstrating that machine learning can outperform traditional technical indicators.