Research Articles

A collection of academic research geared towards quant-based traders to help optimize your algorithmic trading system.

The Value of Volume in Foreign Exchange

This article proposes the primary research question: does FX volume contain information that is statistically and economically relevant for understanding future currency returns? The findings suggest that low volume tends…

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Quant Strategies in the Cryptocurrency Space

This article from Factor Research discusses several traditional quantitative investment strategies applied to seven popular cryptocurrencies—Bitcoin, Ethereum, Ripple, Litecoin, Dash, NEM and Monero, which were selected because they each have…

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Twitter Mood Predicts the Stock Market

This paper seeks to determine whether public sentiment, as measured in Twitter posts, can be used as a predictor of stock market performance. Two sources of public mood are used—OpinionFinder…

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Machine Learning for Trading

The purpose of this paper is to discover whether it is possible to train a machine-learning algorithm to behave as a risk-adverse investor by using a dynamic model involving transaction…

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