Research Library

You may be looking for a better recession signal, trying to understand prediction markets, or wondering whether a market anomaly still exists. This page brings those investigations together, grouped by the questions they try to answer.

Browse the summaries and start with the subject that interests you. Become a paid subscriber to read every article and download the accompanying code, notebooks, and data where available.

I have grouped the work by research question rather than publication date. If you prefer to browse chronologically, use the Archive.

Strategy implementation and market timing

• Implemented Momentum Strategy

  • Tests a cross-asset momentum strategy and examines its risk-adjusted returns and relationship with equities.

• A Strategy For The Post-Pandemic Regime

  • Tests a MOVE/VIX regime strategy across timing, costs, and robustness checks.

• Implemented Strategies: Calendar Anomalies Part 1

  • Tests six familiar equity-calendar effects, including turn-of-month, day-of-week, and holiday patterns.

• Implemented Strategies: Calendar Anomalies Part 2

  • Extends the calendar study to FOMC, option-expiration, holiday, and other event effects.

• Implemented Strategies: Calendar Anomalies Part 3

  • Combines the calendar rules into one historical strategy and compares it with the S&P 500.

• Volatility-Adjusted ETF Momentum

  • Compares traditional momentum with volatility-adjusted momentum across ETFs.

• Why Knowing When the Market Trades Matters More Than You Think

  • Examines intraday volume forecasting and the limits of using those forecasts for execution scheduling.

• Can You Beat the Market by Trading a Japanese Accounting Habit?

  • Tests the Gotobi and Tokyo fixing pattern in USD/JPY under corrected Japanese bank-business-day rules.

• Can You Predict Which Way a Stock Will Move Tomorrow?

  • Explains a probability-difference forecasting idea and why this implementation does not establish a small- or large-cap edge.

Leveraged ETFs

• LETFs: Volatility Decay & Optimal Leverage

  • Explains volatility decay and tests how leverage changes long-run outcomes.

• LETFs: Dual Strategies for Smarter Leverage

  • Examines two leveraged-ETF backtest illustrations and the risks behind them.

• LETFs: Structural Arbitrage & The Mathematics of Decay

  • Works through leveraged-ETF decay and the assumptions behind decay-harvesting ideas.

• LETFs: Strategy to Harvest Decay

  • Backtests a strategy designed to capture leveraged-ETF decay.

• LETFs: Harvesting Decay With Two LETFs

  • Compares dual-short and short-bear paired strategies in a higher-rate regime.

• LETFs: Optimally Harvesting Decay

  • Runs an in-sample historical test of paired decay strategies, with assumptions and limits stated explicitly.

Options, volatility, and convexity

• Intro to Option Pricing, Greeks, and the Implied Volatility Surface

  • Introduces option pricing, Greeks, model error, and the information in the implied-volatility surface.

• Volatility Surface Construction

  • Builds a simple implied-volatility surface for major stocks and ETFs.

• The Mechanics of Skew and Vanna: Part 1

  • Explains why volatility skew exists and reviews research on what skew may reveal about future returns.

• The Mechanics of Skew and Vanna: Part 2

  • Examines vanna, risk reversals, and evidence on skew in rates and commodities.

• Origins of Bond Convexity and Convexity Bias

  • Derives the price-yield relationship and explains structural convexity differences between futures and swaps.

• Convexity of Vega (Volga) Part 1

  • Shows how vega exposure changes as implied volatility changes.

• Convexity of Vega (Volga) Part 2

  • Extends the volga analysis and examines the convexity of volatility exposure.

• Beyond the Expected Value

  • Derives the full expiry payoff distribution of a European call and stress-tests what it reveals about the position.

Rates, Treasuries, and macro events

• The Perfect Recession Predictor Part 1

  • Surveys common recession indicators and the academic evidence on their predictive limits.

• The Perfect Recession Predictor Part 2

  • Constructs and tests a forward-spread recession signal.

• The Perfect Recession Predictor Part 3

  • Examines market returns and economic conditions following inversions in the tested spread.

• The Market Impact of FOMC Meetings Part 1

  • Examines returns and volatility around FOMC meetings in US equities.

• The Market Impact of FOMC Meetings Part 2

  • Examines Treasury returns and interest-rate volatility around FOMC meetings.

• The Market Impact of FOMC Meetings Part 3

  • Examines the US dollar and currency markets around FOMC meetings.

• The Market Impact of FOMC Meetings Part 4

  • Examines commodities and related volatility around FOMC meetings.

• Seasonality in the Treasury Market

  • Introduces seasonal patterns in US Treasury yields.

• Seasonality in the Treasury Market Part 2

  • Tests the turn-of-month pattern in the Treasury market.

• Seasonality in the Treasury Market Part 3

  • Tests a day-of-week pattern in the Treasury market.

• Seasonality in the Treasury Market Part 4

  • Combines the tested Treasury-seasonality rules and evaluates their aggregate behavior.

• Intro to Rates Relative Value Trading

  • Introduces rates relative-value trading, curve construction, and historical failure modes.

• Regime-Based Momentum in Rates

  • Tests whether momentum in rates changes across market regimes.

• Treasury Auctions and Future Returns

  • Tests whether Treasury bid-to-cover ratios relate to later Treasury returns.

• Treasury Auctions and Future Returns Part 2

  • Tests Treasury auction signals against equities and the US dollar, and separates retrospective gaps from robust forecasts.

• Yield Trends in Treasuries

  • Examines serial correlation in reported Treasury yield-curve butterfly changes.

• When January Speaks, Does the Bond Market Listen?

  • Tests a January-based bond-market rule after correcting its timing and costs.

Prediction markets and forecasting

• Forecasting Initial Jobless Claims

  • Builds and tests a quantitative model for forecasting initial claims in a prediction-market setting.

• Forecasting Labor Market Data: Initial Claims and Non-Farm Payrolls

  • Models initial claims and nonfarm payrolls for prediction-market use.

• Prediction Market Trading

  • Explains how prediction-market contracts resemble digital, corridor, and barrier options, and where the analogy breaks.

• Modeling Prediction Markets As Exotic Options Part 1

  • Maps option-Greek profiles for selected exotic payoff structures.

• Modeling Prediction Markets As Exotic Options Part 2

  • Builds a probability dashboard for temperature contracts with explicit modeling limits.

• Can Prediction Markets Beat the Pros?

  • Tests Kalshi forecasts against professional surveys in the settings covered by the study.

Power, commodities, and positioning

• Convergence and Volatility in Power Markets

  • Examines day-ahead and real-time power-price convergence, including daylight-saving-time and cost limitations.

• Renewable Momentum and Forecast Decoupling in Power Markets

  • Tests whether posted wind ramps add value beyond hour-of-day effects.

• Did Bacon Kill Its Own Market?

  • Studies the long-run decline in fitted pork-belly storage seasonality without treating it as proof of what ended the market.

• When Is the Crowd Wrong?

  • Tests managed-money positioning across silver, gold, and copper over 2012–2026.

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