Questions tagged [papers]

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Academic Mailing List Quantitative Finance / Machine Learning

I'm an early-stage researcher in Machine Learning for Finance. I was wondering if there are mailing lists where people post calls for papers, summer schools, conferences, open positions, and so on. ...
fede996's user avatar
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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 ...
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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 ...
Martin's user avatar
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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 ...
Hiperfly's user avatar
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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 ...
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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 ...
alexbougias's user avatar
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Any papers on use of convolution neural network for predicting price and hedagability when market making

My idea: CNN takes following input ...
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CoVaR/dCoVaR modelling using bivariate DCC-GJR-GARCH

For the several weeks, I have been looking for a way to calculate and display the results of my DCC-GJR-GARCH model to picture a dynamic relationship between daily return of, let's say for example, ...
Restu's user avatar
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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 ...
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