6.55 Dual Momentum Between Gold and Bitcoin (Two Stores of Value)
Dual momentum on GLD vs IBIT posts 79.91%/yr at 8 weeks, Sharpe 1.64, DD still -44%. That lookback won a 10-spec in-sample grid. A 20% vol cap leaves 12% at Sharpe 1.37.
Author
ali askar
3.40 Stat-Arb Without Cointegration: Moving-Band Portfolios via Convex-Concave Optimization
Cointegration tests stationarity, not profit. This method optimizes a basket's price swing inside a band directly, finds ten-asset stat-arbs, and a moving band keeps them alive longer out of sample.
1.27 How to Spot a Fake ML Trading Paper
Three ML trading papers report 92% and 98.7%. All three fail on their own printed numbers. Six forensic tests, one honest counter-example, and why a do-nothing model beats the headline.
8.10 Stop Using Pairwise Granger: PCMCI for Financial Causality
Pairwise Granger reports fake links; full-conditioning Granger goes blind. PCMCI's parent selection plus a double-conditioned test keeps power high and false positives controlled across many series.
4.72 Graph Learning for FX: Interest-Rate-Parity Statarb Done Right
A dollar looped through euros and yen should come back a dollar. Sometimes it comes back bigger. A graph neural net hunts that sliver across ten currencies, winning on risk, not return.
4.73 HFT Supplies Liquidity Until It Doesn't: FX Flash-Crash Cascades
FX liquidity is mostly cancellable: Ultra-HFT posts 61.6% of orders, fills 6.8%. It supplies depth until a cascade hits, then vanishes. The March 2011 yen crash, and a queue fix that might help.
5.46 Bid-Ask Spread From OHLC: The GMM Estimator That Beats Roll/CS
Your backtest's "spread" is probably a continuous-time estimate that reads 0.04% on a real 1.00% cost when trading is thin. EDGE fixes the discreteness bias from OHLC alone and beats Roll and CS.
7.5 The Mathematics of Machine Learning, for Traders
The theory under the ML arc: why fitting the past predicts the future, what each parameter costs in variance, and why complexity's tax shrinks only as one over the square root of your sample.
5.47 DRL Market Making With a Periodic Signal and Real Latency
A tick-level DRL market maker with real submit and cancel latency: PPO beats DQN and Avellaneda-Stoikov, an alpha signal nearly doubles it, and slower cancels raising profit is a risk trap.
3.38 The Signal Ceiling: Why No Single-Bar OHLCV Edge Beats Costs in MNQ
Fourteen popular intraday MNQ setups, 947 days, one honest test. Zero cleared costs. The gross edge tops out near 1.5 points and two points of friction eats it. The signal ceiling is real.
6.54 Fair Value as an Adaptive Low-Pass Filter: LAFO for Mean Reversion
Fair value is a low-pass filter with a dial, not a moving average. LAFO makes the cutoff explicit and neural filters turn corners faster than an EMA, but the headline Sharpe of 11 is pure in-sample.
6.53 Bitcoin's Overnight Returns Forecast the VIX
Cut Bitcoin's day at US market hours and only the overnight leg predicts anything. It forecasts the next VIX move (beta minus 0.262) while trading-hour Bitcoin is noise.