quantivity's profile picture. Humble student of alpha.

quantivity

@quantivity

Humble student of alpha.

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


Tail Protection for Long Investors: Trend Convexity at Work: bit.ly/29ugQQE


Volatility Managed Portfolios: bit.ly/28SNjVH


Primer on Alternative Risk Premia: bit.ly/28JQ5tT


Absolving Beta of Volatility’s Effects: bit.ly/1Wl1R13


Decomposing Time Series with Application to Temporal Segmentation: bit.ly/1T0RmgZ


Good Volatility, Bad Volatility, and Cross-Section of Stock Returns: bit.ly/1rORKF8


Pairs Trading with Partial Cointegration (HT @MattiaManzoni1): bit.ly/21RsAlX


Volatility Weighting Applied to Momentum Strategies: bit.ly/1FBFM5Q


Abnormal Stock Market Returns Around Peaks in VIX: bit.ly/1WaXENp


Tail Risk Premia for Long-Term Equity Investors: bit.ly/1YaXFyG


Testing Strategies based on Multiple Signals: bit.ly/1VKN53E


Economic Value of Forecasting Left-Tail Risk (Skew): bit.ly/24nmeQ2


Why Have Asset Price Properties Changed So Little in 200 years: bit.ly/1rRhD7G


Firm Fundamentals and Variance Risk Premiums: bit.ly/1U3rBO6


Trading Volatility: At What Cost?: bit.ly/1XEPGd2


VIX Futures Basis: Evidence and Trading Strategies: bit.ly/1SgH2xG


What Drives Short-Sell Strategies? New Evidence from Mutual Fund Trades: bit.ly/1XDPv1s


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