Track 13Closed
Equity Market / PEAD / Micro-Cap
port equity-market edges (post-earnings drift, microcaps) onto our stack
Key metric
PEAD ~0.1%/trade (negligible); US 8-K: costs = edge
- Why an edge should exist / hypothesis
- Known equity anomalies (PEAD, dilution) as a source of alpha.
- Construction
- PEAD drift, MOEX microcaps, US 8-K dilution shorts.
- Test data
- US + MOEX.
- Results
- PEAD edge ~0.1%/trade (insignificant). MOEX microcaps — no shorting. US 8-K dilution: costs = edge.
- Validation
- Every slice untradable at our scale.
- Root cause
- The stock market does not fit our size/access (shorting, costs, latency).
- Verdict
- Dead for our scale.
- Source
EQUITY_MARKET_RESEARCH.md
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