Microstructure in the Machine Age: Frictions Still Matter
This paper shows that classic market microstructure measures like VPIN, Amihud, and Roll still have predictive power—even in modern, high-frequency, machine-traded markets.
Options & Derivs
Strategies involving derivatives, options, and structured products.
Latest posts
Betting Against Beta: How Leverage Constraints Flatten the Risk-Return Curve
This paper shows that investors with limited ability to borrow tend to chase high-risk assets. As a result, low-risk (low-beta) assets offer better risk-adjusted returns. A strategy that goes long low-beta assets and shorts high-beta ones—called “Betting Against Beta”—consistently beats the market.
Tail Risk Premium: A Better Predictor of Market Returns
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.
Insider Signals in the Options Market Before Takeovers
Option volume can be an early signal for takeover events
Basis-Momentum: A Powerful Predictor for Commodity Returns
Performance * Basis-momentum is the strongest predictor of commodity returns, outperforming traditional factors like basis and momentum. * A long-short strategy based on basis-momentum earns an 18.38% annualized return with a Sharpe ratio of 0.9. * The strategy captures both spot
Decoding Gold’s Risk Premium: What Drives Gold Returns?
Gold’s returns are predictable using volatility and risk factors, but it doesn’t always act as a safe haven or inflation hedge. Instead, gold moves with stocks and bonds, though its actual returns can diverge in crises.
Market Return Around the Clock
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.