For questions citing or requesting references to academic and/or professional research.
3
votes
1answer
336 views
What research exists regarding implementation of reverse stress testing?
I need to implement a reverse stress testing model (definition here)
I have searched around and cannot find anything substantial on the topic. Does anyone know of any good papers/references ...
7
votes
5answers
787 views
How can I quantitatively test the validity of momentum indicators?
I am learning about quantitative finance, and I am struck by how different it is from the techniques that make it into magazines and TV, particularly technical analysis. Specifically, if they say an ...
0
votes
0answers
235 views
Calculate Enterprise Value from Pro Forma Financial Statements [closed]
Can I calculate the enterprise value of business from the pro forma financial statements submitted in SEC Form 10? If so, how?
3
votes
5answers
849 views
Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling?
I need suggestions for some good books on the following topics:
Credit Value Adjustment (CVA) / Credit Risk
Probability of Default / Loss-Given-Default / Exposure-At-Default modeling
Any pointers ...
14
votes
7answers
4k views
How are cryptography and speech recognition technology applied to forecasting financial markets?
One of the answers to my previous question regarding the strategy of Renaissance Technologies, there was a reference to The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly ...
16
votes
5answers
1k views
Most successful investors using academic-based framework?
What are the most famous/best performing absolute-return funds employing approaches based on mainstream finance theory (i.e., theory presented in Journal of Finance, AER, Econometrica, using typically ...
11
votes
4answers
3k views
Is statistical arbitrage on FX possible?
Do you know of any papers which consider pairs trading (or statistical arbitrage) on foreign exchange? I couldn't find any. I asked this question on several forums and got no reply. Thus I guess this ...
6
votes
1answer
1k views
How do I reproduce the cross-sectional regression in “Intraday Patterns in the Cross-section of Stock Returns”?
Recently I was trying to reproduce the results of "Intraday Patterns in the Cross-section of Stock Returns". The authors used cross-sectional regression to determine which intraday lags have ...
5
votes
4answers
724 views
Do low volatility stocks outperform high volatility stocks over the long run?
A recent article from Forbes seems to indicate that low volatility stocks outperform high volatility stocks over the long run. Does anyone have any supporting or contradicting evidence to this claim? ...
11
votes
2answers
1k views
Is there any good research on support and resistance?
Could somebody advise me on where to find good literature on the justification or motivation for using support and resistance lines - and also lines of maximums and minimums. In finance, it is ...
48
votes
15answers
6k views
Video lectures and presentations on quantitative finance
What are your favourite video lectures, presentations and talks available online?
A few rules:
Must be related to quantitative finance. No Economics 101 courses, please.
Try to avoid DIY lectures ...
16
votes
4answers
1k views
Any research on how natural language processing can be used to forecast stocks?
Is there any published research of decent quality linking news or unstructured information to asset returns? I know that Thomson Reuters offers its Machine Readable news (MRN), so somebody must use ...
15
votes
7answers
649 views
Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?
Are there ways to measure the risk aversion of a representative investor, based on publicly available market data? Public available data could include asset price, volume, and flow data, and may be ...
