It’s an honor to announce that our new research paper has been published on SSRN:. Catching Crypto Trend, A Tactical Approach for Bitcoin and Altcoins. With the crypto market now worth over $3 trillion, more and more investors are adding digital assets to their portfolios. But

What exactly is the "Intraday Index Manipulation" strategy that Jane Street allegedly deployed in India’s markets—and why has SEBI, the country’s market regulator, accused the firm of generating over $500 million in profits through it?. Over the past few days, I’ve received many

📄 “Does Trend-Following Still Work on Stocks?” - 🎧 Podcast episode:

Just listened to a fantastic episode of The Compound and Friends @TheCompoundNews where my co-author, @ColeWilcoxCIO, founder of Longboard Asset Management, joined @michaelbatnick and @Downtown to discuss systematic investing — with a special focus on trend following in

You can download the paper from here -->

I often hear traders rejecting volatility sizing approaches because they dislike using standard deviation as a proxy for risk. But this criticism is usually based on a flawed assumption:. 🚫Volatility = Standard Deviation 🚫. In reality, standard deviation is just one way to

🎧 New Audio Release!. Our paper "The Volatility Edge – A Dual Approach for VIX ETNs Trading" is now available in audio format. Perfect for weekend listening—whether you're on a walk or just curious about volatility strategies. 🔗 Full Audio: 🔗

What are the best podcasts you’ve listened to lately?. I’m driving down to Chia, in the south of Sardinia, and I’d love to fill the journey with some fresh, engaging content. If something really caught your attention recently, I’d love to hear it. Thanks in advance for your

You can read the full paper here: .🔗

Just before taking a few weeks of holiday in the lovely Sardinia, I’m pleased to announce that we’ve just released a new research paper:. The Volatility Edge – A Dual Approach for VIX ETNs Trading. Coauthored with Prof. Antonio Mele and @BearBullTraders , this paper introduces

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While writing the introduction to our upcoming paper “The Volatility Edge” (coming out in the next few weeks), I stumbled upon this gem: an interview by the AQR team with the father of quant trading, Edward Thorp. I wasn’t aware of this piece before, and I strongly recommend

RT @ConcretumR: Here’s the latest update on the Intraday Momentum Model featured in our paper “Beat the Market” with @BearBullTraders and….

RT @ConcretumR: Edge or Randomness?. When backtesting a trading strategy we usually rely on many statistical methods to infer if the backte….

Glad to see our paper “Does Trend Following Still Work on Stocks?” featured on The @MebFaber Show during a recent interview with our co-author @ColeWilcoxCIO . Links to the episode are in the attached post.

We’re glad to share that our paper “Beat the Market: An Effective Intraday Momentum Strategy for the S&P 500 ETF (SPY)”, co-authored with prof Barbon and @BearBullTraders , has been selected as the 4th best paper in the @quantpedia Awards 2025!. A big thank you to the Quantpedia.

RT @ConcretumR: 🚀 New Free Tool for Quant Investing Research. We’ve just launched a free web tool to help investors, researchers, and stude….

Edge or Randomness?. When backtesting a trading strategy we usually rely on many statistical methods to infer if the backtested results deviate significantly from randomness. For some strategies, especially those that rely on short-term timing signals with most days in cash, it

RT @ConcretumR:

Understanding the dynamics of market volatility is a fundamental aspect of risk management and effective volatility trading. One well-known “stylized fact” in financial markets is that realized volatility tends to revert to its mean over time. But how can we visualize this