"A Practical Guide to High-Performance Quant Backtesting with PySwordfish": "Swordfish provides a backtesting framework that covers strategy writing, engine creation, backtest execution, and results analysis." https://t.co/SauhbEiaX8

"Mean-Reversions in the Debt-to-GDP Ratio and Predictability of Treasury Debt Returns and Surpluses": “We show that the local mean-reversion of the [debt-to-GDP] ratio delivers substantially improved out-of-sample forecast gains of Treasury debt returns https://t.co/iEvHAhfoov

On alpha estimation traps: "Conventional approaches may oversimplify risk exposures, rely narrowly defined benchmarks, omit relevant factors, and misattribute beta timing to alpha, resulting in biased estimates that conflate genuine skill with statistical artifacts or unaccounted

"Dual Peer Effects and Cross-Stock Predictability": "This paper introduces a Peer Index (PI) constructed from economically motivated peer networks that summarizes (i) the strength of a firm's peers and (ii) the firm's position within its peer group." https://t.co/w8vDI04QiZ

"The exponential growth of [trading] factor data [poses] challenges in traditional file-based storage [due to] factor data size [and] integration and engineering complexity... AI DataLoader aims to enhance factor data management efficiency and simplify interactions with deep

Alpha through equity-versus-FX trading This strategy trades local-currency equity index futures against FX forward longs in the same currency, with equal expected volatility. Relative positions partly immunize against global and local shocks and enhance the predictive power of

Rising public debt positively predicts medium-term equity performance. When expected debt ratios increase, public policies are geared towards reducing real interest rates, compressing discount factors, and supporting funding conditions. Empirical evidence shows a significant

"A Model of Fed Information Effect": "Surprise interest rate increases associated with central bank information shocks…are positively correlated with stock market returns…A significant fraction of measured surprise rate hikes is associated with simultaneous stock market run-ups

"Why Ridge and Lasso Fail Silently on Real [Financial Market] Datasets - A Math Deep Dive Into How Regularization Works in Practice.": " The problem is not the regularization. The problem is [the inappropriate assumption of] linearity. https://t.co/pCVRvvPBAj

"Re(Visiting) Time Series Foundation Models in Finance": Recent advances in time series foundation models, inspired by large language models, offer a new paradigm for learning generalizable temporal representations from large and diverse datasets." https://t.co/pdW7CVhWIQ

Post and code: "Separating Signal from Noise: A Practical Guide to Evaluating Alpha Factors with Alphalens [Python Package]" https://t.co/VS6nj8lGIN & https://t.co/ruJuDAR86v

"Financial Information Theory" mathematically applies "entropy, Kullback–Leibler divergence, mutual information, normalized mutual information, and transfer entropy—to financial time series." https://t.co/PTTfaM5RHk

Systematic stock selection with macro factors An introduction to machine learning methods that build macroeconomic factors for single-name stocks, with evidence of long-term value generation. Post and Python code: https://t.co/QF0gMniEF5

"Large Moves in the Foreign Exchange Market": "The timing of large currency moves - say three-standard deviations events - is predictable in real time via the slope of the term structure of option-implied volatility." https://t.co/AfjVZIt6y1

"The Geometry of Option Pricing: An Intuitive and Visual Guide" - Post with GitHub repository https://t.co/A95fdJXtnp

"How structural dynamics in returns reveal more than volatility alone": "Volatility captures only the scale of typical moves. It says nothing about how risk manifests: whether returns arrive smoothly or in sudden bursts.. Two periods with the same volatility can hide very

Short post "How to Evaluate a Trading Strategy" introduces the basics, "Risk-adjusted metrics... Maximum Drawdown... Profit Factor and Win Rate... Walk Forward Analysis... Monte Carlo Simulation... Parameter Sensitivity Analysis [and] Stress Testing"

Paper develops "a multi-agent LLM framework that processes Federal Reserve communications to construct narrative monetary policy surprises. By analyzing Beige Books and Minutes released before each FOMC meeting, the system generates conditional expectations that yield less noisy

"Optimizing the Persistence of Price Momentum: Which Trends Are Your Friends?": "Our empirical analysis shows that beta- and country-driven price trends were not robust while style and industry momentum persisted both over the intermediate and, more strongly, short-term."

Short post "How Volatility Arbitrage Funds Use the Heston Model to Extract Alpha from Equity Options": "Heston [models] volatility itself as a mean-reverting stochastic process with four critical parameters." https://t.co/ddM8xd1CxS