mathematical-finance

LaunchTower — Factor Model Research Report Report date: 2026-09-14 · Data as of: 2026-09-11 (last close) · Universe: 81 US large/mid-cap equities Disclaimer: This is independent research and data, not investment advice, a recommendation, or a promise of performance. Past factor performance does not guarantee future results. All figures are computed from public market data and are reproducible wit…

Part 5 reported that under the September 4 market state, a -5% shock becomes -15.4% — a 3.07x amplification. A reader pushed back with the most useful question of the series: "the aftermath should be non-linear and uncertain — a probability distribution of outcomes, not a single number." They are right. This article is the answer: V9-P4 wraps the mechanism in a Monte Carlo shell, and the single 3…

I am designing a quantitative trading strategy inside the XtraAlgoQ PULSE architecture. The strategy relies on non-standard alternative signals based on luni-solar calendar metrics (traditionally categorized as Panchang variables—such as solar/lunar longitude differences, tithi durations, and planetary sidereal angles) to evaluate potential intraday regime changes and volume/volatility anomalies.…

Scientific Reports, Published online: 13 September 2026; doi:10.1038/s41598-026-71418-0 Heterogeneous performance of machine learning models in financial market forecasting

The prompts, filters, and research checks I use to separate promising signals from noise and overfitting.

What 284,807 Credit Card Transactions Taught Me About Fraud (And About Trusting My Own Charts) I've been building a data analytics portfolio that combines my finance and accounting background with hands on Python. My first project looked at ROE across the top 200 US companies. For this one, I wanted something with a bit more edge, so I picked a dataset that's practically a rite of passage in data…

Three articles ago I wrote that "endogeneity" was the deepest of the three critiques a derivatives-savvy reader made of my crash simulator. Two articles ago I built the margin spiral. Last article I built the dealer short-gamma spiral and ended with: "The last piece is to wire the gamma state into the hazard layer itself — that's V9-P2, and it's next." It's done. This is the closing of that loop.…

I’m trying to work this out every day but when I calculate the below clients are saying that it does not look right based just wondered if any one could help me work out if what it should be? Contract CTD CUSIP Coupon Conversion Factor Bond clean price Futures price Accrued interest (today) Delivery date used Days to delivery Repo rate Gross Basis (32nds) Net Basis (32nds) Implied Repo TUZ6 91282…

Expected shortfall (ES), also known as conditional value-at-risk, is a widely recognized risk measure that complements value-at-risk by capturing tail-related risks more effectively. Compared with quantile regression, which has been extensively developed and applied across disciplines, ES regression remains in its early stage, partly because the traditional empirical risk minimization framework i…

If you have ever attempted to build an algorithmic trading bot in Python, you have almost certainly walked this exact path: You install TA-Lib (after wrestling with C compilers, missing headers, and broken Windows wheels for an hour). You write a script scanning for classic candlestick patterns: Bullish Engulfing , Hammer , Morning Star . You backtest it on your favorite stock or crypto pair. Res…

Hello all, We hope you had a great end to the summer, whether August meant a final holiday or a return to the office. Here’s a quick recap of the latest developments we prepared for Quantpedia in the last days of summer... – new report in the Live Strategies section called Composite Analysis – 11 new Quantpedia Premium strategies – 5 new related research papers – 8 new backtests – and finally, …

Financial institutions managing trillions rely on Monte Carlo Integration, but precision demands exponentially more samples.

I am trying to decompose Vega PnL into ATM vol, skew, and curvature components. To that end, I am building an SVI model and using the SVI-JW parameterization to attribute Vega PnL via the following formula: $VegaPnL = Vega \times dVol \approx Vega \times (\frac{dVol}{dv_t}dv_t+\frac{dVol}{d\psi_t}d\psi_t + \frac{dVol}{dp_t}dp_t + \frac{dVol}{dc_t}dc_t + \frac{dVol}{d\tilde{v}_{t}}d\tilde{v}_{t})$…

With India’s credit and collections ecosystem entering a critical period of regulatory and technological transformation, the 4th Edition of the Credit & Collections Summit India 2026 Presented by Credgenics is set to bring together the country’s leading credit, risk, collections, Read More ... The post 4th Edition of Credit & Collections Summit India 2026 Set to Bring Together India’s Leading Cre…

Financial entity-level sentiment analysis aims to identify sentiment polarity toward specific financial entities in financial texts. This task is challenging because a single sentence may contain multiple entities with opposite sentiment orientations, while financial sentiment is often conveyed through domain-specific and implicit cues, increasing the risk of entity confusion. To address these ch…