QuantRocket Blog

Hedging Long-Term Risk with an Intraday Strategy

Mon Mar 18 2019 by Brian Stanley
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Do intraday strategies have a place in the portfolios of long-term investors and fund managers? This post explores an intraday strategy that works best in high volatility regimes and thus makes an attractive candidate for hedging long-term portfolio risk.

Intraday Momentum with Leveraged ETFs

Mon Mar 04 2019 by Brian Stanley
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Does forced buying and selling of underlying shares by leveraged ETF sponsors cause predictable intraday price moves? This post explores an intraday momentum strategy based on the premise that it does.

Exploiting Business Day Patterns in FX Markets

Sun Feb 17 2019 by Brian Stanley
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Do businesses exchange currencies in predictable ways that FX traders can exploit? This post explores an intraday EUR.USD strategy based on the hypothesis that businesses cause currencies to depreciate during local business hours and appreciate during foreign business hours.

The Most Volatile Stock Markets in the World

Sun Jan 13 2019 by Brian Stanley
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Many quantitative trading strategies thrive in high volatility regimes, while other trading strategies work best in low volatility regimes. So which global markets are the most and least volatile? This post compares the daily, overnight, and intraday volatility of 17 countries.

The Best Global Stock Markets for Short Sellers

Tue Jan 01 2019 by Brian Stanley
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If you're a short seller exploring global markets, a good first question to ask is: are there shares available to borrow? This post looks at the percentage of stocks that are shortable through Interactive Brokers in each of 17 countries.

The Overlooked Half of the Global Stock Market

Sun Dec 16 2018 by Brian Stanley
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The US stock market is the largest and most liquid stock market in the world and tends to get all the attention. Many brokers and trading platforms are US-only, and many traders focus exclusively on the US market.

This post compares the number of stock listings in each of 17 countries to quantify what traders miss out on by ignoring the rest of the world.