quantivity

Humble student of alpha.

[quantivity @quantivity]

Perhaps time to leave X. Any suggestions where to go?

[quantivity @quantivity]

Tail Protection for Long Investors: Trend Convexity at Work: https://t.co/UrYvkkSjH2

[quantivity @quantivity]

Volatility Managed Portfolios: https://t.co/gl8fQfcxlq

[quantivity @quantivity]

Macro-Disagreement Beta: https://t.co/WALTPLZma1

[quantivity @quantivity]

Primer on Alternative Risk Premia: https://t.co/dQ2IJUQ3VQ

[quantivity @quantivity]

Absolving Beta of Volatility’s Effects: https://t.co/FmB7oUYwbH

[quantivity @quantivity]

Decomposing Time Series with Application to Temporal Segmentation: https://t.co/rLVvxHm7zh

[quantivity @quantivity]

Good Volatility, Bad Volatility, and Cross-Section of Stock Returns: https://t.co/H1Ejg0a1Tu

[quantivity @quantivity]

Pairs Trading with Partial Cointegration (HT @MattiaManzoni1): https://t.co/n5xHeYYVPF

[quantivity @quantivity]

Optimal Market Making: https://t.co/knrERvRHH4

[quantivity @quantivity]

Volatility Weighting Applied to Momentum Strategies: https://t.co/pkiEJSGr8j

[quantivity @quantivity]

Abnormal Stock Market Returns Around Peaks in VIX: https://t.co/k9pS4JMKIa

[quantivity @quantivity]

Tail Risk Premia for Long-Term Equity Investors: https://t.co/Y5hYS33WWu

[quantivity @quantivity]

Testing Strategies based on Multiple Signals: https://t.co/PfU5wwCGPl

[quantivity @quantivity]

@aptoResearch @VIXandMore due to misspecified model: "absence of regime-switching, past skewness is not good predictor for future skewness"

[quantivity @quantivity]

Economic Value of Forecasting Left-Tail Risk (Skew): https://t.co/frBgpYMRmM

[quantivity @quantivity]

Why Have Asset Price Properties Changed So Little in 200 years: https://t.co/3KrEBEJc7a

[quantivity @quantivity]

@MattiaManzoni1 Estimation for which parameter?

[quantivity @quantivity]

Firm Fundamentals and Variance Risk Premiums: https://t.co/pufXUddbEQ

[quantivity @quantivity]

Trading Volatility: At What Cost?: https://t.co/wlIBetBv31