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Research-backed market ideas, separated from the usual noise.
Financial markets are full of opinions, predictions, and noise. Many ideas sound convincing until someone tests them against the data.
Every Saturday, I publish Recent Academic Research. Each edition covers several new papers in finance, economics, and quantitative finance, along with my thoughts on what stands out, what may be useful, and where the limitations might be.
On Thursdays, I take one subject further. Sometimes I implement a strategy or replicate a result. Other times I work through a model, an indicator, or a market in more detail.
Not every test produces a useful strategy. Sometimes the result is weaker than expected, depends heavily on one assumption, or disappears after costs. I include that too.
Where to start
If you want to see the weekly format, begin with the Recent Academic Research collection. It is the easiest way to get a broad view of what researchers are working on.
If you want to see one of the longer paid investigations, start with Can You Beat the Market by Trading a Japanese Accounting Habit? I've opened the complete post and its research companion to everyone. It begins with Gotobi dates, when Japanese companies may need to sell Yen and buy Dollars to settle overseas payments. If enough of that happens before the Tokyo fix, does any of it show up in USD/JPY?
If you are more interested in options and model risk, Beyond the Expected Value (paid, but it has a generous paywall) looks at what can be missed when an option is reduced to a single expected payoff.
If you already have a subject in mind, browse the Research Library. It contains the complete index of the longer research posts, grouped by subject.
Free and paid subscriptions
Everyone can read Recent Academic Research each Saturday.
Paid subscribers also receive the Thursday posts and can read every article in the Research Library. Where an article includes code, notebooks, data, or another research companion, the download is available from the article and from the Research Companion Library.
If there is a paper, market, or question you think I should investigate, you can reply to any Alpha in Academia email and let me know.
If you would like to read the complete library and receive the Thursday posts, you can become a paid subscriber below for $18 per month or $180 per year.