Lead / Lag Relationships

In this session we look at techniques for exploring lead/lag relationships between assets. Using hourly returns data, we find evidence of persistent, predictable lead/lag relationships between some coins and BTC. This is useful for execution or for fast trading, but probably not something we can exploit in a slower strategy. Link to the research notebook.

Luck and Stability

If you found a broad effect, what do you do next? In this session we go through some of the simplest techniques. Presentation Slides Research Notebook https://github.com/RWLab/macro-pod/blob/main/techniques/3%20-%20Cross_Sectional_Return_Prediction.ipynb