From the Path of Least Resistance to Predictable Volatility
Starting with a 500-share market buy order, we explain order pressure, market depth, and the predictability of volatility.
Evidence
7 articles on this topic.
Have Classic Quant Strategies Become Outdated? Testing Alpha101 on Japanese Equities
A workbook for reproducing classic factors: from market-wide rankings and IC to trading costs, testing whether Alpha101 transfers directly to Japanese equities.
How much does buying fear and selling greed change when we add options for the matching index?
The added dimensions change entry frequency and holding periods as well as sentiment scores. Recalculating with matching-index options changes both returns and risk, while the TOPIX volume primary specification remains unavailable.
What Does Fear and Greed Mean in the Japanese Equity Market?
A Japanese equity sentiment measure had a clearer historical relationship with market risk than with subsequent returns.
Can You Buy Fear and Sell Greed in Japan?
We tested the intuitive fear-and-greed trading rule in Japanese equities: buy during extreme fear and hold until extreme greed. The trades often made money, but matched historical windows tell a more cautious story.
Point-in-Time Data Is Not a Boolean: What a Backtest Can and Cannot Know
The different evidence claims behind point-in-time data, and what a timestamp check can and cannot establish.
Why ArcaViso: Reason as Our Guide amid Uncertainty
The meaning of ArcaViso, its Latin motto, and the idea of 玄覽: examining the structures beneath appearances while clearing the biases of the observer.