For questions citing or requesting references to academic and/or professional research.
11
votes
5answers
675 views
What are the best Journals & Conferences in Quantitative Finance?
What are some of the most prominent journals, conferences and publishing venues in Quantitative Finance research? Where can I find information more information about them? (e.g. impact factor and ...
2
votes
0answers
49 views
Event studies using revenue data vs. measuring abnormal returns
This may be a silly question, but does there exist a methodology for examining the impact of "events" on companies that are not publicly traded? I suppose it would look at abnormal revenues rather ...
0
votes
1answer
364 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 ...
8
votes
4answers
324 views
Resources for finding scholarly research on topics in quantitative finance?
A friend and I have taken up an interest in quantitative finance, and we're pretty much starting from scratch—neither of us have backgrounds in finance, but rather electrical engineering and ...
8
votes
1answer
560 views
Quantitative before/after or financial engineering studies of a bid or ask tax?
Has anyone in the quantitative finance or financial engineering community studied the effects of a bid or ask tax with actual or simulated data?
If so, what were the quantitative results or ...
5
votes
1answer
155 views
Toy models of asset returns
When making simple agent-based models of banking systems to look at global properties (say systemic risk) one of the basic decisions you have to make is how to model returns on external (to the ...
21
votes
9answers
2k views
Has high frequency trading (HFT) been a net benefit or cost to society?
Various studies have demonstrated the very large and growing influence of high frequency trading (HFT) on the markets. HFT firms are clearly making a great deal of money from somewhere, and it stands ...
2
votes
2answers
451 views
Resequencing of MsgSeqNum in FIX 4.2
I am trying to achieve the following functionality using QuickFIX for FIX 4.2
Send a couple of orders and make sure they’re filled.
Then disconnect.
Change the incoming (from Broker) sequence number ...
7
votes
5answers
786 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 ...
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 ...
4
votes
0answers
140 views
Asymmetric Volatility Modeling (Interpretation)
I am currently writing a paper on asymmetric volatility modeling of brent, gold, silver, wheat, soybean and corn from 1986-2012 and divided them into 4 sub-sample periods (i.e. 1986-1991, 1991-1997, ...
6
votes
3answers
335 views
Should the average investor hold commodities as part of a broadly diversified portfolio?
Many mutual funds sell "asset allocation" products which include appropriately sized investments in a variety of asset classes meant for a prototypical investor. Some of these, such as PIMCO, even ...
3
votes
0answers
181 views
Monty Hall Model
Given a fixed time period,say 3 days, the stock/market can go up,down or stay sideways. A hedge fund can long, short or use rangebound(options strategy) to bet for that 3 days closing level.
Hedge ...
4
votes
1answer
280 views
Why are regressors squared and not ^1.5 or ^2.2 or ^2.5?
When a researcher in economics or finance wants to apply a linear regression model but suspects a non-linear relationship between one of the regressors and the dependent variable, it is typical to ...
9
votes
6answers
2k views
How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
I am looking to convince someone that an annualized Sharpe Ratio of 7 is 'extremely high' for a low frequency (daily rebalancing, say) long-short technical strategy on U.S. equities. I was hoping for ...
3
votes
0answers
60 views
Individual/casual investors and the bias towards blue-chip stocks?
There's quite a bit of research (example, [1]) teasing out the fact that home/casual/individual investors prefer stocks with large positive skewness. It surprised me, as I was reading a bunch of these ...
-1
votes
1answer
322 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 ...
5
votes
2answers
124 views
Economic contagion to individual stocks (ideas for analysis)
I'm doing my undergraduate thesis on firm-level contagion. Specifically I look at a measure of performance over a financial crisis (e.g. raw stock returns), then run cross-sectional regressions with ...
3
votes
1answer
181 views
mortgage prepayment model
I am trying to develop my own MBS prepayment model. I am confused by the terms SMM and CPR. Are they estimates/models in themselves or are they ACTUAL data for the MBS pool. where can I find actual ...
1
vote
1answer
299 views
FIX Heartbeat message not sent
I am using FIX4.3 and QuickFIX/n v1.0.0 for its implementation.
I came across a situation where i had subscribed for Market Data and was successfully receiving Snapshot message then suddenly all ...
4
votes
1answer
196 views
What is the relative performance of hard-to-borrow securities?
Is there any research on the equity return performance of hard-to-borrow securities?
Many shops will simply screen for hard-to-borrow and eliminate these names from their short book.
Anecdotally, ...
1
vote
1answer
227 views
What are the pros and cons of applying for a patent on a financial model or trading system?
I've never understood the purpose of patents in the financial industry.
What would be the pros and cons of applying for a patent on some financial model or trading system?
What would be the ...
3
votes
3answers
316 views
What is the case for active management?
A recent personal finance question asks when to hire an investment professional? Given that many of us here are on the professional manager side of the business, how would you make the case? What ...
6
votes
1answer
130 views
Estimate price movement per unit of volume for daily data
I'm working on backtesting a number of stock trading strategies and need to estimate how much the execution price will likely deviate from the historical close price for that asset using daily data; ...
2
votes
3answers
275 views
Why should there be an equity risk premium?
After years of mathematical finance I am still not satisfied with the idea of a risk premium in the case of stocks.
I agree that (often) there is a premium for long dated bonds, illiquid bonds or ...
12
votes
3answers
2k views
What are the best sources for equity quantitative research?
What are the best sources of quantitative finance research in equities?
I will list a couple and note an asterisk if the research is available by request (i.e. non-clients) or online:
BAC-Merrill ...
4
votes
3answers
727 views
What are some of the major quantitative approaches to tactical asset allocation?
Note: This question was written for the weekly topic challenge.
Many of you who deal with asset allocation will probably already be familiar with Mebane Faber's Timing Model, based on one of SSRN's ...
3
votes
1answer
387 views
What are some applications of bioinformatics or genetics to generating alpha in U.S. equities?
There are many disciplines that have contributed to how one model's risk and return. Physics introduced Brownian motion and RMT. Machine learning has helped to solve complex portfolio construction ...
6
votes
2answers
225 views
Reseach on when people/institutions sell?
I am curious to know if there have been studies on when selling occurs and if any useful patterns exist. I am particularly interested in the behavior of sellers when they are under water on their ...
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 ...
2
votes
0answers
81 views
Good Environment, Social, and Governance Indicators to correlate with financial performance of PE
I am trying to see if there is a correlation between the Environment, Social, and Governance (ESG) performance and the financial performance of Private Equity (PE) funds.
Are there any suggestions ...
3
votes
1answer
262 views
Cross Bid and Ask prices for Forex trading
I am using ITCH protocol to get the Market Data information for Forex and trying to implement LOB on it and what i have noticed is that Bid and Ask prices are crossing very often.
Should that be ...
2
votes
0answers
217 views
What is an appropriate hedge ratio for hedging a credit instrument with equity of the same issuer?
Given a bond and a stock issued by the same issuer, what is the appropriate ratio of bond-to-stock one should hold in order to minimize the specific risk to that issuer? Equivalently, what is the ...
10
votes
5answers
2k views
References for developing an automated trading system?
I am looking for references on the architecture of automated trading systems and the trading algorithms behind them. I am more interested in system development than analysis. A couple of books I ...
4
votes
3answers
560 views
What is the impact of high-frequency trading on market depth, liquidity, and volatility?
On the surface, bid-ask spreads are far more narrow than even several years ago.
However, during periods of financial stress liquidity seems to vanish. Also, the increasing amount of fragmentation ...
4
votes
6answers
2k views
Is there a quantitative finance ranking system for universities?
I am a PhD student in stochastic analysis/control and had a MSc degree in Financial Mathematics.
I am interested in determining there is a quantitative finance ranking system for universities like ...
0
votes
0answers
469 views
What is the current state of the algorithmic trading research? [closed]
Searching for 'algorithmic trading' through scholar.google.com reveals a large list of trading strategies, related on topics like the liquidity of markets, volatility modelling, volume modelling, the ...
3
votes
5answers
844 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 ...
15
votes
7answers
646 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 ...
14
votes
6answers
2k views
Can social media be applied to algorithmic trading?
Can social media sites, like Twitter, be used to analyze financial markets for algorithmic trading? How much research has been done on this topic?
1
vote
1answer
670 views
Home/hobbyist quant trading - possible to profitable or just an intellectual hobby? [closed]
I've been researching algorithmic (non discretionary) trading at the several-day to month timescale, i.e. not HFT. I am not interested in voodoo i.e. no technical analysis, I am looking for solid ...
8
votes
1answer
330 views
Any research paper on stop loss?
Has there been any rigorous study on stop loss ? When to apply it?
Has it been shown to work through proper statistical backtests?
I am interested in Equities, preferably European stocks.
5
votes
1answer
131 views
Are there quantitative models which can guide one's choice of target risk?
Note: This question was written for the weekly topic challenge.
Many asset allocation funds presume the investor knows his target risk level, typically on some spectrum from conservative (mostly G7 ...
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 ...
13
votes
3answers
3k views
What is the best way to “fix” a covariance matrix that is not positive semi-definite?
I have a sample covariance matrix of S&P 500 security returns where the smallest k-th eigenvalues are negative and quite small (reflecting noise and some high correlations in the matrix).
I am ...
7
votes
0answers
193 views
performance of historical VaR parameters
An historical VaR measure is parameterized in terms of the confidence level and also number of periods. Specifically, the $\alpha$% T-period VaR is defined as the portfolio loss x in market value over ...
6
votes
2answers
452 views
optimal re-balancing strategy with asynchronous alpha signal
You want to construct an optimal portfolio.
Let's say you have an alpha signal that arrives with some period (say quarterly). The alpha signal predicts arithmetic returns one-year ahead. You have ...
23
votes
3answers
1k views
What papers have progressed the field of quantitative finance in recent years (post 2000)?
My question is pretty simple: what papers do you feel are foundational to quantitative finance? I'm compiling a personal reading list already, drawn from Wilmott forums, papers referenced in ...
5
votes
2answers
786 views
How to extrapolate implied volatility for out of the money options?
Estimation of model-free implied volatility is highly dependent upon the extrapolation procedure for non-traded options at extreme out-of-the-money points.
Jiang and Tian (2007) propose that the ...
17
votes
6answers
894 views
Why do some anomalies persist while others fade away?
In their 1990 book, A Non-Random Walk Down Wall Street, Andrew Lo and Craig MacKinlay document a number of persistent predictable patterns in stock prices. One of these "anomalies" is variously known ...
