For questions citing or requesting references to academic and/or professional research.

learn more… | top users | synonyms (1)

1
vote
0answers
53 views

How to map shocks from VAR to news? (Academics)

I am trying to map shocks from VAR to discount-rate and cash-flows news following the paper of Campbell and Vuolteenaho (2004). It is said that news are a linear combination of shocks from VAR at (t+1)...
1
vote
0answers
75 views

Sampling and/or asymptotic distribution of a function

Assume we have the following function: $$f(p) = \frac{1}{(1-p)d}\ln\left(\frac{1}{T}\sum_{t=1}^{T}\left[\frac{1+X_t}{1+Y_t} \right]^{1-p} \right)$$ where $d$ is a constant $T$ is a constant $X_t$ ...
1
vote
0answers
294 views

Fluid dynamics for order book depth modelling

Would someone be able to give me an idea what type of fluid dynamics I could look at for modelling the order book? My background is more signals-related maths (correlation, covariance, fourier etc). ...
0
votes
3answers
348 views

Research methodology of systematic strategies

Can someone please share your research methodology of systematic trading strategies? I feel like I am always using the a same data driven procedures over different underlyings and would like to get ...
0
votes
1answer
172 views

Is there a trustworthy ranking of quantitative finance degrees?

I'm interested to know if there is a trustworthy ranking of master's degree in quantitative finance. I'm specifically interested in some recruiter's perspective or experience, if available. I ask ...
0
votes
1answer
106 views

Analyst Forecasts for monthly unemployment rate

Are there any resources that tabulate past analyst forecasts for the monthly unemployment rate along with the dispersion of the forecasts
0
votes
1answer
501 views

S&P 500 P/E percentile

I am researching the past five year return for the securities in the top and bottom 10 percentile of the S&P 500 on date 5 years ago. I used Bloomberg to get this data. When I searched for the ...
0
votes
2answers
105 views

Fama-French three-factor model vs four-factor (Carhart) and five-factor model

I'm performing a study where I compare the Fama-French three factor model to the CAPM on the Swedish industrials industry. I do this to compare which of the models is the best performer, but also if ...
0
votes
0answers
46 views

LSTM w/dropout Peer-reviewed or other authoritative lit for time-series/financial econometrics/Teh stock price/volatility/etc

So, I've been looking on Google Scholar for stuff using Long Short-Term Memory neural nets for time series. I was inspired by the interview with this 2nd place finisher in a recent Kaggle major: http:...
0
votes
0answers
28 views

Factors to Include in a Model to Predict Gross Profitability Persistence

I am trying to build a logistic model that predicts gross profitability persistence. Specifically at the start of every July, I assign stocks to one of five gross profitability groups (5 being the ...
0
votes
0answers
87 views

residential mortgage prepayment modelling

I'm trying to develop a model for predicting prepayments, after reading several arcticles about it over the net. the model should use market data and be behavioral model (i.e. regression/survival ...
0
votes
0answers
30 views

Poor investment preformance in early years impacting on final fund value

I am currently doing some work on the performance of funds across different models of the economy. I am trying to find some work that looks at the impact of poor/lower returns at the early years of ...
0
votes
1answer
128 views

Physical Option Implied Distribuition

So I got risk neutral probabilities from stock option prices. How can I then map them to a physical measure?
-1
votes
1answer
296 views

Equall Risk Contribution and The Most Diversified Portfolio [closed]

I am a master degree student on applied economics at Brazil and my thesis will be about smart beta strategies. I pretend to apply Equal Weigth, Mininum Variance, Most Diversified Portfolio and Equal ...
-2
votes
1answer
747 views

Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property

What constitutes "stealing" when it comes to publicly posted financial data? I think there are three instances of this that we can individually vet: a.) you physically broke into a location or ...