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Weekly research links

Weekly research links: week of 2 November 2026

Notable papers and notes this week, including “Regime changes and financial markets” and “The impact of volatility targeting”.

Written by our AI from the data shown. Every figure comes from the source named beside it. Nothing here is investment, tax, or legal advice. Past or simulated results do not indicate future results.

This week

This week's reading: papers from the literature behind our research notes, and notes from our own research. Each comes with a one-line summary.

Papers

  • Regime changes and financial marketsAng, A. and Timmermann, A. (2011), NBER Working Paper 17182 (published in the Annual Review of Financial Economics, 2012)

    A survey of regime-switching models in finance and how they capture shifts in the mean, volatility and correlation of returns.

  • The impact of volatility targetingHarvey, C.R., Hoyle, E., Korgaonkar, R., Rattray, S., Sargaison, M. and Van Hemert, O. (2018), Journal of Portfolio Management 45(1), 14-33

    Finds that scaling exposure to hold volatility steady reduces the most extreme moves in risk assets, especially equities and credit.

  • Time Series MomentumMoskowitz, T.J., Ooi, Y.H. and Pedersen, L.H. (2012), Journal of Financial Economics 104(2), 228-250

    Finds that an asset's own past twelve-month return tends to predict its next month across equity index, currency, commodity and bond futures: the starting point of most trend-following research.

  • A Century of Evidence on Trend-Following InvestingHurst, B., Ooi, Y.H. and Pedersen, L.H. (2017), Journal of Portfolio Management 44(1)

    Extends the evidence on trend following back more than a century across many futures markets, including how it behaved in major market crises.

From our research notes

  • Mean reversionHedgehog Capital research note

    Prices that stretch away from normal, and when they come back.

  • EVARHedgehog Capital research note

    How Hedgehog conditions its risk estimates on the current market regime, in real time.

Sources

  • Curated literature: the sources of our published research notes
  • Hedgehog Capital research notes (hedgehogcapital.ai)

Important information

This list is for professional and high-net-worth investors only. It is not for retail investors. Because of US regulations, it is not intended for US citizens or residents.

It is education, not advice. It is not an offer, or a recommendation to buy or sell any asset or to use any strategy, and it does not take your circumstances into account.

The views in it are ours as of 2 November 2026. They may change without notice, and we may not update the list when they do.

Facts and figures from third parties come from the sources listed, which we believe to be reliable. We have not verified them independently and cannot guarantee that they are accurate or complete.

Any examples are hypothetical and for illustration only. Past or simulated results do not indicate future results.

Hedgehog Capital, its team, and its clients may hold positions in the assets, or run the strategies, discussed in this list.

Trading digital assets and derivatives involves significant risk, including the loss of all capital allocated. See the legal and risk notice.