QuantRocket Blog

Exploiting Business Day Patterns in FX Markets

Mon Feb 18 2019 by Brian Stanley
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Do businesses exchange currencies in predictable ways that FX traders can exploit? This post explores an intraday EUR.USD strategy based on the hypothesis that businesses cause currencies to depreciate during local business hours and appreciate during foreign business hours.

The Most Volatile Stock Markets in the World

Mon Jan 14 2019 by Brian Stanley
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Many quantitative trading strategies thrive in high volatility regimes, while other trading strategies work best in low volatility regimes. So which global markets are the most and least volatile? This post compares the daily, overnight, and intraday volatility of 17 countries.

The Best Global Stock Markets for Short Sellers

Wed Jan 02 2019 by Brian Stanley
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If you're a short seller exploring global markets, a good first question to ask is: are there shares available to borrow? This post looks at the percentage of stocks that are shortable through Interactive Brokers in each of 17 countries.

The Overlooked Half of the Global Stock Market

Mon Dec 17 2018 by Brian Stanley
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The US stock market is the largest and most liquid stock market in the world and tends to get all the attention. Many brokers and trading platforms are US-only, and many traders focus exclusively on the US market.

This post compares the number of stock listings in each of 17 countries to quantify what traders miss out on by ignoring the rest of the world.