Skip to main content

Questions tagged [papers]

The tag has no usage guidance.

Filter by
Sorted by
Tagged with
1 vote
0 answers

Am I overcomplicating this approach to optimal actions based on a forecast?

I have been attempting to implement a simplified version of the model used in this paper which, given a forecast of future data, provides an optimal way of acting on it by choosing an optimal sequence ...
QMath's user avatar
  • 249
0 votes
1 answer

Question about (lLack of) Risk Neutral Bond Pricing in Duffie & Lando (2001)

I have been reading this famous paper of Duffie & Lando (2001) and I have a question regarding how they calculate the price of a bond (the reader of this post will not have to dive deep into the ...
qp212223's user avatar
  • 170
3 votes
0 answers

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
  • 31
0 votes
0 answers

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
  • 1
0 votes
0 answers

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 ...
KT8's user avatar
  • 855
3 votes
0 answers

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 ...
mkultra's user avatar
  • 278
3 votes
2 answers

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: There are ...
user54908's user avatar
  • 437
1 vote
0 answers

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
  • 273
27 votes
4 answers

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 ...
0 votes
0 answers

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, ...
anon-scicomper's user avatar
1 vote
0 answers

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
  • 135
9 votes
2 answers

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

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 ...
Aqqqq's user avatar
  • 227
1 vote
0 answers

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
  • 1,416
11 votes
3 answers

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 ...
sonicboom's user avatar
  • 309
1 vote
0 answers

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

My idea: CNN takes following input ...
FX_NINJA's user avatar
  • 500
4 votes
4 answers

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 ...
guyoiejr's user avatar
4 votes
1 answer

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.
LazyCat's user avatar
  • 1,551
3 votes
1 answer

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 ...
Donatello's user avatar
7 votes
1 answer

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.
Kch's user avatar
  • 981
37 votes
2 answers

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?