Questions tagged [papers]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
0 votes
0 answers
45 views

Question from Duffie and Kan (1996)

Going through Duffie and Kan (1996) I came up with a question. After Eq. $(3.4)$ the claim the following: By $(2.4)$, we also know that $\mathcal{D} F (X_t, t) - R(X_t) F(X_t, t) = 0$. Since $F$ is ...
user avatar
0 votes
0 answers
64 views

VIX futures basis trading [Simon and Campasano (2013)]

I am reading paper The VIX Futures Basis: Evidence and Trading Strategies (2013) by Simon and Campasano. In short, they hypothesize that the VIX futures basis, defined as the VIX spot subtracted from ...
user avatar
  • 41
3 votes
0 answers
98 views

Known methods for big order detection

I have an access to the order book from stock market and i am interested in finding an anomalous behaviour. What are the known methods, algorithms for detecting big orders or other activities of ...
user avatar
  • 279
3 votes
2 answers
630 views

How do you derive this Carr-Madan-like equation?

How do you derive equation (3) below? The equation is tagged as equation (11) in this paper: http://janroman.dhis.org/finance/IR/Heston%E2%80%93Hull%E2%80%93White%20Model%20Part%20I.pdf There are ...
user avatar
  • 427
1 vote
0 answers
172 views

DGTW return adjustment

DGTW refers to the 1997 Daniel, Grinblatt, Titman, and Wermers paper available on Wermers' personal website. The general idea from what I have understood (please correct me if you think I'm wrong!) is ...
user avatar
  • 243
25 votes
4 answers
3k views

What are the recent quantitative finance papers we should all read?

Which papers released in the last five years should all quants read to keep up to date on recent developments? See this question for the best must-read papers of all time. The bar for inclusion for an ...
1 vote
0 answers
86 views

Entry points to finance for Applied Mathematics (Numerical Analysis/High Performance Scientific Computing) PhD Student [duplicate]

I'm looking to go into quantitative finance after my phd in around 2 years. With a background in pdes/numerics/heterogenous and distributed computing, I think my skill set is applicable in this area, ...
user avatar
1 vote
0 answers
53 views

What are your favourite papers about European/American options?

I'm looking for some papers to support some options lessons for non-quant people (mostly traders) and I'd like to know what papers would you recomend that don't have a very strong focus on the ...
user avatar
  • 135
7 votes
2 answers
3k views

Is there anywhere I can read the paper, "The Gamma-Vanna-Volga Cost Framework for Constructing Implied Volatility Curves"

Hello there was a paper published by: M. Arslan, G. Eid, J. El Khoury and J. Roth titled "The Gamma-Vanna-Volga Cost Framework for Constructing Implied Volatility Curves" (2009). I believe they ...
user avatar
1 vote
0 answers
61 views

Where do some numbers in finance papers which seem to appear out of nowhere come from?

On p. 1671 in the paper Kempf/Manconi/Spalt (2017, RfS), Distracted shareholders and corporate actions it says (I think it is in the context of a log regression): Those effects are economically ...
user avatar
  • 207
1 vote
0 answers
67 views

Searching for two papers of H.Leland with regards to capital structure

I am searching for two papers of H. Leland which I assume previously were online, as many published papers have cited them. The first work (Lecture notes) extends the Leland(1994a) model by ...
user avatar
  • 1,346
12 votes
3 answers
9k views

What mathematical theory is required for high frequency trading?

I am an applied math postdoc and I have been presented with the option of leaving academia to work in high frequency trading. I wanted to get a feel for the field and the theory underlying it so I ...
user avatar
  • 319
1 vote
0 answers
74 views

Any papers on use of convolution neural network for predicting price and hedagability when market making

My idea: CNN takes following input ...
user avatar
  • 500
3 votes
4 answers
453 views

What are the benefits of publishing papers in mathematical finance/trading?

What are the benefits of publishing papers in mathematical finance and trading. Let us assume that the primary goal of a person/entity is to make money and reduce losses. Wouldn't publishing ...
user avatar
3 votes
1 answer
556 views

DB quant research

I'm trying to find DB quant research papers in "Signal Processing" series - particularly interested in "Signal Processing: The options issue" (2010). Would appreciate if anyone could share it.
user avatar
  • 1,553
3 votes
1 answer
718 views

In the "betting against beta" paper, what exactly is the "BAB factor"?

I refer here to the paper "Betting against beta" by Pedersen and Frazini. In the model, they construct the following factor, on page 5. I don't quite understand how this portfolio is being ...
user avatar
7 votes
1 answer
343 views

Is there a compilation of old Lehman research out there?

Like the title says. Does anyone know of any compilations or have any old papers they'd like to share? So far, I've only found a few sporadic pieces that are easily Googled for.
user avatar
  • 910
36 votes
2 answers
8k views

What are the quantitative finance papers that we should all have in our shelves?

Which quantitative finance papers should we all know about? What are the seminal references in various quantitative finance areas such as empirical asset pricing and theoretical asset pricing?