Research Library
Every Thursday, I take one market question and work through what the evidence says. It may start with an academic paper, a trading rule, or a claim that has been repeated for years.
I have collected those investigations here. Paid subscribers can read every investigation in full and download the available research companions, including the code, notebooks, and data.
A paid post, open to everyone
Many of you ask what the paid edition includes. So I made one of the more popular recent paid research posts available to everyone.
Can You Beat the Market by Trading a Japanese Accounting Habit? examines whether a Japanese corporate settlement tradition is associated with a recurring intraday pattern in USD/JPY.
The complete article and research companion are open. The companion includes the Python code, method notes, tests, and reference results.
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
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.
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.
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.
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.
Tests managed-money positioning across silver, gold, and copper over 2012–2026.
If you would like new research weekly and support my work
You can join the paid edition for $18 a month or $180 a year.
With a new investigation weekly, the annual plan works out to about $3.50 per investigation. The paid plan also includes the complete archive above, and all available research companions.