Academy notes
Articles and updates from SoloQuant Academy.
Tag: futures
Zhang, Zohren and Roberts (2019) map TSMOM features to positions with DQN, PG and A2C, plus volatility scaling, on 50 liquid futures 2011–2019. Plain-language intro. Not investment advice.
Zhang, Zohren and Roberts (2019) map TSMOM features to positions with DQN, PG and A2C, plus volatility scaling, on 50 liquid futures 2011–2019. Plain-language intro. Not investment advice.
Karami, Benichou, Benzaquen & Bouchaud (2019) show that past trends in a futures eigen-factor (≈10 days) raise or cut instantaneous correlations—indexes vs bonds dominate. Risk map. Not investment advice.
