For questions citing or requesting references to academic and/or professional research.
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 ...
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 ...
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 ...
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
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 ...
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 ...
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 ...
10
votes
2answers
587 views
How to forecast expected volatility from high-frequency equity panel data?
I'm wading through the vast sea of literature on realized volatility estimation and expected volatility forecasting (see, e.g. Realized Volatility by Andersen and Benzoni, which cites 120 other ...
7
votes
5answers
790 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 ...
5
votes
2answers
797 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 ...
3
votes
5answers
854 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 ...
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 ...
2
votes
3answers
277 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 ...
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, ...
