When Can Markets Crash Without News?
A working paper on crashes without news: which declines does market structure rule out, and which can trading paths still produce?
Quantitative Research
10 articles on this topic.
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.
Have Classic Quant Strategies Become Outdated?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 I Open-Sourced KabuForge
Why I want to share the common foundations of quantitative research, while leaving researchers room to ask their own questions.
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.
KabuForge: A Research Framework for Systematic Japanese Equity Investing
A technical tour of KabuForge’s point-in-time architecture, from factors and portfolios to order planning and agent interfaces.