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The Research Question: Can AI Actually Improve Momentum Strategies?
Momentum investing has been a cornerstone of quantitative finance for decades. Researchers Nikolas Anic, Andrea Barbon, Ralf Seiz, and Carlo Zarattini hypothesized that the ability of large language models (LLMs) to interpret and synthesize textual information in real time can be us...
This paper shows how recent advances in large language models (LLMs) make it possible to track geoeconomic pressure in near real time. By reading earnings calls and analyst reports at scale, algorithms can identify who is applying pressure, who is being targeted, which instruments are used, and how firms respond. The result is a new way to observe geopolitical risk as it actu...
Levered ETFs may appeal to those who wish to hedge other positions, those with strong directional views, or those with so-called “lottery preferences.” – Hendrik Bessembinder
The Explosive Growth of a Risky Product
Leveraged single-stock Exchange-Traded Funds (LSS-ETFs) have captured investors’ attention with a seductive promise: amplified...
The central and unfinished task of absolute pricing is to understand and measure the sources of aggregate or macroeconomic risk that drive asset prices.—John Cochrane
Imagine walking into a zoo filled with hundreds of mysterious creatures—each one promising extraordinary rewards but defying conventional explanation. Welcome to finance’s “anomaly zoo,” where...
Regulation is meant to clean up bad behavior. But what if it just pushes it around? This paper explores how FINRA’s efforts to discipline “bad brokers” often lead to regulatory leakage—problematic advisors leaving one firm only to resurface elsewhere. The results reveal that misconduct doesn’t always end when regulators act; instead, it migrates. The study sheds light on why ...
