Radovan Vojtko

Quantpedia.com

CEO & Head of Research

Dulovo namestie 14

Bratislava, 85110

Slovakia

http://www.quantpedia.com

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 12,840

SSRN RANKINGS

Top 12,840

in Total Papers Downloads

5,997

SSRN CITATIONS

4

CROSSREF CITATIONS

0

Ideas:
“  I am currently CEO & Head of Research in Quantpedia - The Encyclopedia of Algorithmic and Quantitative Trading Strategies - an online database of ideas for quantitative trading strategies derived out of the academic research papers. I was formerly a Portfolio Manager in Tatra Asset Management (the biggest asset management company in Slovak Republic with 2.5bln EUR AUM), I managed over 300+mln EUR in several quantitative funds (focused on multi-asset CTA/trend-following strategies, market timing and volatility trading). Our research focus is on meta-analysis of academic research papers related to quantitative/algorithmic trading strategies.  ”

Scholarly Papers (18)

1.

Seasonality, Trend-following, and Mean reversion in Bitcoin

Number of pages: 16 Posted: 27 Apr 2022
Matus Padysak, Matus Padysak and Radovan Vojtko
Comenius University - Faculty of Mathematics, Physics and InformaticsQuantpedia.com and Quantpedia.com
Downloads 1,554 (18,496)

Abstract:

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Bitcoin, trend-following, mean reversion, seasonality, trading strategy

2.

Continuous Futures Contracts Methodology for Backtesting

Number of pages: 6 Posted: 04 Feb 2020
Radovan Vojtko, Matus Padysak and Matus Padysak
Quantpedia.com and Comenius University - Faculty of Mathematics, Physics and InformaticsQuantpedia.com
Downloads 617 (67,812)

Abstract:

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continuous futures, spliced futures, backtesting, roll method, adjustment method

3.

Trading Strategy for Bear Markets

Number of pages: 10 Posted: 10 Jan 2020
Matus Padysak, Matus Padysak and Radovan Vojtko
Comenius University - Faculty of Mathematics, Physics and InformaticsQuantpedia.com and Quantpedia.com
Downloads 606 (69,435)

Abstract:

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trading strategy, skewness effect, commodities, bear markets, hedge, lottery effect

4.

Backtesting ESG Factor Investing Strategies

Number of pages: 9 Posted: 15 Jul 2020
Daniela Hanicova and Radovan Vojtko
Quantpedia and Quantpedia.com
Downloads 429 (105,666)

Abstract:

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ESG, socially responsible investing, trading strategy, momentum, ESG Level, ESG momentum, backtesting

5.

Quant’s Look on ESG Investing Strategies

Number of pages: 12 Posted: 07 Jan 2020
Radovan Vojtko, Matus Padysak and Matus Padysak
Quantpedia.com and Comenius University - Faculty of Mathematics, Physics and InformaticsQuantpedia.com
Downloads 351 (132,736)
Citation 2

Abstract:

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ESG, socially responsible investing, trading strategy, negative screening, positive screening, momentum

6.

How to Improve Post-Earnings Announcement Drift with NLP Analysis

Number of pages: 9 Posted: 20 Oct 2022
Cyril Dujava, Filip Kalús and Radovan Vojtko
Quantpedia, Quantpedia and Quantpedia.com
Downloads 307 (154,179)

Abstract:

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alternative data, earnings announcement, equity long short, own-research, trading earnings

7.

Market Sentiment and an Overnight Anomaly

Number of pages: 8 Posted: 29 Oct 2021
Radovan Vojtko and Daniela Hanicova
Quantpedia.com and Quantpedia
Downloads 304 (154,678)

Abstract:

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Market Sentiment, Overnight Anomaly

8.

Composite Seasonal Equity Trading Strategy

Number of pages: 18 Posted: 18 Nov 2019
Radovan Vojtko, Matus Padysak and Matus Padysak
Quantpedia.com and Comenius University - Faculty of Mathematics, Physics and InformaticsQuantpedia.com
Downloads 296 (160,150)
Citation 1

Abstract:

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trading strategy, seasonality, calendar anomalies, market timing, tactical asset allocation, trend-following filter, FOMC, FED day, Turn of the Month, Option Expiration, PayDay Effect

9.

How to Use Exotic Assets for Trading Strategy Improvement

Number of pages: 9 Posted: 07 Sep 2021 Last Revised: 21 Sep 2021
Dominik Cisár and Radovan Vojtko
Quantpedia.com and Quantpedia.com
Downloads 264 (178,803)

Abstract:

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commodities, factor allocation, factor investing, liquidity effect, trend-following

10.

Multi-Asset Skewness Trading Strategy

Number of pages: 8 Posted: 09 Jan 2021
Radovan Vojtko and Marek Lievaj
Quantpedia.com and Quantpedia.com
Downloads 214 (219,068)

Abstract:

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Skewness, Multi-Asset Strategy, Currencies, Equities, Bonds, Commodities, Volatility Effect

11.

Rebalancing Premium in Cryptocurrencies

Number of pages: 11 Posted: 14 Dec 2021 Last Revised: 20 Dec 2021
Daniela Hanicova and Radovan Vojtko
Quantpedia and Quantpedia.com
Downloads 206 (226,943)

Abstract:

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Rebalancing Premium, Cryptos, Cryptocurrencies, Crypto Market

12.

The Effectivity of Selected Systematic Crisis Hedge Strategies and Factor Strategies

Number of pages: 19 Posted: 30 Dec 2020
Radovan Vojtko and Dominik Cisár
Quantpedia.com and Quantpedia.com
Downloads 183 (252,127)

Abstract:

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crisis hedge, safe haven, factor strategy, systematic strategies, portfolio allocation

13.

Pre-Election Drift in the Stock Market

Number of pages: 6 Posted: 15 Apr 2020
Radovan Vojtko and Dominik Cisár
Quantpedia.com and Quantpedia.com
Downloads 163 (278,439)

Abstract:

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Calendar Anomaly, Seasonal Anomaly, Elections, Trading Strategy, Positive Drift

14.

Bitcoin in a Time of Financial Crisis

Number of pages: 5 Posted: 20 Mar 2020
Radovan Vojtko and Dominik Cisár
Quantpedia.com and Quantpedia.com
Downloads 156 (288,826)
Citation 1

Abstract:

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bitcoin, crisis, cryptocurrencies

15.

How to Choose the Period for Indicators

Number of pages: 8 Posted: 19 Dec 2019
Radovan Vojtko, Matus Padysak and Matus Padysak
Quantpedia.com and Comenius University - Faculty of Mathematics, Physics and InformaticsQuantpedia.com
Downloads 138 (318,805)

Abstract:

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trading strategy, momentum, period choosing, indicators, market timing, tactical asset allocation

16.

An Analysis of Volatility Clustering of Equity Factor Strategies

Number of pages: 9 Posted: 09 Apr 2021
Radovan Vojtko and Dominik Cisár
Quantpedia.com and Quantpedia.com
Downloads 93 (421,492)

Abstract:

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factor investing, factor allocation, volatility clustering, volatility effect, equity long-short

17.

How to Use Lexical Density of Company Filings

Number of pages: 10 Posted: 13 Sep 2021
Daniela Hanicova, Filip Kalús and Radovan Vojtko
Quantpedia, Quantpedia and Quantpedia.com
Downloads 83 (451,810)

Abstract:

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Alternative data, Artificial Intelligence, Natural language processing, 10-K & 10-Q reports, lexical richness, lexical density

18.

Impact of Dataset Selection on the Performance of Trading Strategies

Number of pages: 8 Posted: 11 Dec 2022
Cyril Dujava, Filip Kalús and Radovan Vojtko
Quantpedia, Quantpedia and Quantpedia.com
Downloads 33 (687,893)

Abstract:

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equity long short, factor allocation, factor investing, momentum, momentum in stocks, own-research, reversal, smart beta, stock picking