Archive - Quant (h)Edge

October 2024

A Quanty Way To Analyze Sentiment, Momentum and Breadth in Equities

Backtesting some indicators that reveal the underlying dynamics of an equity index (code and historical S&P 500 constituents data included).

Oct 13, 2024 •

September 2024

Finding Single Name Representatives of S&P 500 Sectors Using Vine Copulas

Code and Supplementary Data Included

Sep 16, 2024 •

Volatility Profiles of the Most Liquid Currencies (plus NZDUSD and AUDNZD)

Supplementary data included

Sep 8, 2024 •

Seasonality of Intraday Volatility in FX

A Chart Fest of the Intraday Volatility by Session and Time-of-day of 60+ Currencies

Sep 6, 2024 •

FX Daily Volatility in Different Months

A Chart Fest of Daily FX Moves for over 60 Currencies in Percentage Terms

Sep 5, 2024 •

August 2024

July 2024

The Quality of The VIX Close's 1D-Ahead Volatility Forecast Across Different Assets

How good a forecast is the VIX Close's 1d-ahead volatility prediction? In other words, if the VIX closes at a certain value, what does that say about…

Jul 16, 2024 •

June 2024

What Does a VIX say???

An estimate of volatility? A fear gauge? A measure of hedging? What ?

Jun 23, 2024 •

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