Crypto markets don’t move smoothly — they jump. In this episode, we explore the cutting-edge research modeling these sudden price shifts using jump diffusion frameworks and copula-based tail risk metrics. We break down how jumps are detected, what drives them, and how they spread contagion across assets. Learn why standard models fall short, how co-jumps reveal systemic risk, and how a jump-aware portfolio strategy can improve performance — especially when markets get wild.Whether you're a quant, portfolio manager, or just crypto-curious, this is your guide to the hidden volatility driving digital asset returns.Find the full research paper here: https://community.quantopian.com/c/community-forums/crypto-contagionFor more quant-focused content, join us at https://community.quantopian.com. There, you can explore a wealth of resources, connect with fellow quants, engage in insightful discussions, and enhance your skills through our extensive range of online courses.Quant Radio is an AI-generated podcast, intended to help people develop their knowledge and skills in Quant finance. This podcast is not intended to provide investment advice.
In this episode, we dissect a real-world implementation of beta hedging, a strategy to reduce a portfolio's sensitivity to market movements and isolate true alpha. Drawing from a detailed article on quantitative trading rules, we walk through the motivation, theory, execution, and results of using short S&P 500 futures to hedge a mean-reversion strategy with a 0.57 market beta.We cover:What beta hedging is and why it mattersHow a dynamic hedge using ES futures was designed and implementedSurprising outcomes like increased alpha and reduced R²Trade-offs, including a small increase in max drawdownWhat this says about systematic risk vs. true skillWhether you're a quant, a strategist, or just hedge-curious, this episode delivers practical insights into managing portfolio exposure and digging into the real sources of return.Is your alpha real, or just riding the market wave? Tune in and find out.Find the full research paper here: https://community.quantopian.com/c/community-forums/beta-hedging-quantitativoFor more quant-focused content, join us at https://community.quantopian.com. There, you can explore a wealth of resources, connect with fellow quants, engage in insightful discussions, and enhance your skills through our extensive range of online courses.Quant Radio is an AI-generated podcast, intended to help people develop their knowledge and skills in Quant finance. This podcast is not intended to provide investment advice.
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Quant Radio: Arbitrage in Perpetual Crypto Contracts
In this episode, we explore a cutting-edge research paper that challenges conventional wisdom about arbitrage in perpetual crypto markets. Using real Binance data, we unpack how a rarely discussed mechanism — the clamping function — changes the game. Discover why small price differences persist, when they are real opportunities, and what this means for traders navigating this high-leverage, fast-moving space.Perfect for crypto enthusiasts, market theorists, and anyone curious about the hidden mechanics shaping digital asset pricing.Find the full research paper here: https://community.quantopian.com/c/community-forums/arbitrage-in-perpetual-contractsFor more quant-focused content, join us at https://community.quantopian.com. There, you can explore a wealth of resources, connect with fellow quants, engage in insightful discussions, and enhance your skills through our extensive range of online courses.Quant Radio is an AI-generated podcast, intended to help people develop their knowledge and skills in Quant finance. This podcast is not intended to provide investment advice.
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Quant Radio: Can Dividend-Price Ratio Predict Stock Return?
In this video, we explore a fundamental question in finance: Are stock returns predictable? We focus on one classic metric — the Dividend-Price (DP) Ratio — and dive into a major research study that puts its predictive power to the test.What You'll Learn:- What the DP ratio is and why it might predict market returns- How researchers tested this idea using nearly 90 years of S&P 500 data (1927–2017)- The difference between in-sample and out-of-sample testing- What statistical significance and RMSE (Root Mean Square Error) mean for forecasting accuracy- The study’s findings, including a meaningful 7.8% R² in-sample and a 3.42% RMSE out-of-sample- Important limitations: short-term focus, single-variable model, and implications for long-term investorsWhether you're a finance student, investor, or just curious about how market prediction works, this video offers an insightful look into academic research and the methods behind it.Join us as we unpack the data, the theory, and the limitations — and ask what it really tells us about market predictability.Find the full research paper here: https://community.quantopian.com/c/community-forums/can-dividend-price-ratio-predict-stock-returnFor more quant-focused content, join us at https://community.quantopian.com. There, you can explore a wealth of resources, connect with fellow quants, engage in insightful discussions, and enhance your skills through our extensive range of online courses.Quant Radio is an AI-generated podcast, intended to help people develop their knowledge and skills in Quant finance. This podcast is not intended to provide investment advice.
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Quant Radio: Understanding Long Run Asset Returns
Ever wonder what really drives long-term investment returns across centuries, not just decades? In this episode, we dig into a sweeping 200-year analysis of stocks, bonds, real estate, and commodities based on groundbreaking research by Chambers, Dimson, Marsh, and Renneboog. From the surprising equity premium (or lack thereof) in the 1800s to the underestimated power of commodity futures, we explore the shifting financial landscape with a clear-eyed view of history. Whether you're building a portfolio or challenging your assumptions about markets, this deep dive into historical returns offers invaluable insights for the long game.Find the full research paper here: https://community.quantopian.com/c/community-forums/are-sector-specific-machine-learning-models-better-than-generalistsFor more quant-focused content, join us at https://community.quantopian.com. There, you can explore a wealth of resources, connect with fellow quants, engage in insightful discussions, and enhance your skills through our extensive range of online courses.Quant Radio is an AI-generated podcast, intended to help people develop their knowledge and skills in Quant finance. This podcast is not intended to provide investment advice.
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