Skewness is one of the less-known but practical measures from statistics that can be used in trading. It is defined as a measure of the asymmetry of the probability distribution of a random variable around its mean. Financial mathematics and most quantitative models assume some kind of symmetric...

Post–earnings-announcement drift (abbr. PEAD) is a well-researched phenomenon that describes the tendency for a stock’s cumulative abnormal returns to drift in the direction of an earnings surprise for some time (several weeks or even several months) following an earnings announcement. There...

This paper reviews the problem of futures contracts and backtesting. If the contracts are spliced together, the resulting backtest is wrong. Such a dataset would include artificial and non-existing jumps that would appear in the analysis as profits or losses. This paper aims to examine some...

A particular event like elections are making lots of noise, but not only in our regular life where we should participate and so vote for our preferred candidate/party. This process also impacts financial markets. The uncertainty, which implies from the result of the elections, affects the...

This paper examines the relationship between the skewness in returns and future expected returns across different asset classes. At first, a relation for each of three asset classes (currencies, equities, bonds) is revised by building skew-based long/short portfolio from the investment universe...

Our purpose is to test the selected groups of strategies during period ranging from 2000 to 2020 as a hedge to equities during market downturns. We made performance analysis and correlations to test the strategies’ relationship with equities. Moreover, we added essential safe haven assets to...