<div>  We find the first option reversal patterns intraday: returns reverse half-hourly during the trading day. The reversals are both economically and st

CBOE VIX1D suffers from intraday drift higher due to its methodology of ignoring overnight time weighting. Namely, VIX1D gaps lower between closing time and the

The Ivory Tower is a blog about software engineering and development philosophy by Anders Sundman.

Carry strategies have become one of the main pillars of risk-premia investing. As pointed out by Kolanovic (2013) in ‘Systematic Strategies across Asset Classes

A disproportionately large fraction (70%) of stock momentum reflects return continuation on the same weekday (e.g., Mondays to Mondays), or the same-weekday mom

We conduct an in-depth analysis of basis momentum (BM) in currency markets and investigate its relationship with the prevalent market anomalies. We find that BM

The literature on long-run asset returns has continued to grow steadily, particularly since the start of the new millennium. We survey this expanding body of evidence on historical return premia acros...

JupyterLab 4.3.0 and Notebook 7.3.0 have been released! These new minor releases include many enhancements and bug fixes.

Python's pathlib module is the tool to use for working with file paths. See pathlib quick reference tables and examples.

The relationship between trend-following performance, the number of independent risk factors and investment universe diversification.