Questions tagged [research]

For questions citing or requesting references to academic and/or professional research.

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How to compare financial statements of two companies working in two different currencies?

So I am conducting a research on applying Data Envelopment Analysis (DEA) for comparing efficiencies of different companies working in different countries and thereby publishing their financial ...
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60 views

Help interpret an event study methodology used in a famous research paper

I wonder if someone out there familiar with reading research articles, especially finance research can help me interpret which event study methodology the author uses in her famous research article. ...
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What share price to use to calculate forecast accuracy?

I've been reading about models like Thiel's-U but I can't figure out what I should use for the actual trading price. The dilemma is this: the analyst reports I’m looking at are forecasting for 12-18 ...
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1 vote
0 answers
230 views

Seeking historical market cap for S&P 500 by sector

I'd like to obtain the historical market capitalization for the S&P 500. I'm seeking monthly data back to 1945. I'd like to examine only non-financial stocks, so the sector would be needed as well....
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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 ...
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3 answers
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Historical Ticker Symbols Data Source (for Creating Tradable Universe)

I would've guessed this question would have been answered somewhere on here before, but I have been going down rabbit holes for days trying to figure it out with no luck... I want to backtest ...
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2 votes
5 answers
673 views

Who hedges (more): options seller or options buyer?

When the open interest increases, this means that there is a buyer and a seller of that option. Both seller and buyer are behooved to hedge their positions, with the opposite sign; but I doubt that ...
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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 ...
5 votes
1 answer
530 views

What are some currently open problems in market microstructure

I've been reading up on market microstructure models and toyed around with them -- i.e., I got simulations for Roll (1984), Glosten-Milgrom (1985), Kyle (1985), Kyle (1985) with multiple periods. I am ...
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4 votes
1 answer
231 views

Optimal investment strategy problem with competing bet-sizing options and limited budget

Apologies for a potentially naive question and unusual wording. I am from another field and would be very grateful for help! I am looking for the optimal investment strategy that maximizes an overall ...
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14 votes
5 answers
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What are the most crucial research areas currently in quantitative finance/interesting subfields?

What are some of the things that are currently being researched, or what are the big unanswered questions of quantitative finance that researchers are trying to solve? What are some interesting and ...
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1 answer
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Undergraduate research topic in options [closed]

I'm an undergraduate student in finance with a pretty solid knowledge of financial mathematics and I'm currently picking a topic for my research paper this year. I have already decided I will pick ...
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3 votes
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Are there any good academic articles about Feb 2018 correction?

Question pretty self-explanatory – I want to see if there have been any reputable papers released regarding the 2018 February market correction, since it happened quite recently. I do not need the ...
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What are different types of response variable we can consider while developing quant model

I was trying to understand the response variables used in the quantitative trading/investing model development. This question may not look good but I searched on google and could not find results. ...
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1 vote
0 answers
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What can one do with cross-sectional relationships?

This is somewhat of a broad question, but I think we all would like to find signals that predict something in the future. However, often times, we are just left with cross-sectional relationships (...
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1 answer
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Lead-lag bivariate VAR model

I am really interested in Granger-causality. Can anyone think of a paper that uses a bivariate VAR model in economics or finance?
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1 vote
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Literature on realized volatility and sampling frequency?

I was looking for some papers that explicitly show how realized volatility changes as we change the sampling frequency. For example, comparing the annualized volatility estimated from daily data is ...
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7 votes
3 answers
821 views

What are the biggest new advancements in the field of quantitative finance in the last 10 years?

Examples like new research or findings but also older research or findings actually starting to get implemented. Is machine learning starting to get a foothold in finance? Are there any new practical ...
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1 answer
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Does the new trend of "no transaction fee" accounts substantively change the academic study of mathematical finance?

It seems like it would. If so, what are some examples?
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7 votes
2 answers
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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 ...
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1 vote
1 answer
157 views

Pricing Options and Computing Implied Volatilities using Neural Networks, strange shape of a graph

I am sometimes confused by the expression moneyness. Can anyone tell me what is plot here ? Its from the paper called :Pricing Options and Computing Implied Volatilities using Neural Networks. ...
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1 vote
0 answers
93 views

Papers with Sharpe Ratio above 3 [closed]

Could you provide examples of academic papers proposing strategies with Sharpe Ratio above 3? Above 4? Any type of strategy and any mix of asset classes would do. However, a particular interest is ...
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3 answers
414 views

Modelling NPV with negative cashflows?

When making capital investment decisions that have cost saving implications instead of cash flow generation, is NPV still valid? For example: A state wishes to decide whether to replace a section of ...
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1 vote
1 answer
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0.0006 r-squared after trying to test whether the intercepts differ significantly. Did I do it wrong?

I am trying to test if the intercepts of two linear regression (CAPM) differ significantly or not. I have 2 fund's monthly return in the same period and regress them on the same market variable (MKT = ...
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1 vote
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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 ...
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3 votes
0 answers
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How do I, as a student, discover whether (new) papers consist of important contributions?

I am a master's student and have just started reading research papers regularly for the first time. I usually browse articles on arXiv. One of the main difficulties I've run into is figuring out ...
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12 votes
3 answers
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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 ...
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4 votes
1 answer
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Is there such a thing as resonance in economic underliers?

In physics the occurence of resonance is explained and widely understood in its linear form and subject to research in nonlinear resonance. Example for instance are resonant frequencies of objects. ...
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1 vote
0 answers
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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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1 vote
1 answer
775 views

Free E-books for students on Volatility Models

Some e-books are free for students when they are on the university IP. So can anyone provide a list of free e-books for students and free e-books in general about (stochastic) volatility modelling?
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4 votes
1 answer
602 views

Why are there so few published research papers that apply Deep Learning to Algorithmic Trading?

The only related papers I can find are: Financial Trading as a Game: A Deep Reinforcement Learning Approach (2018) Deep Neural Networks in High Frequency Trading (2018) MACHINE LEARNING FOR TRADING (...
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2 votes
0 answers
156 views

Does Academic Research Destroy Stock Return Predictability?

McLean/Pontiff (2016) give evidence that portfolio returns are 26% lower out-of-sample and 58% lower after publishing an academic paper on variables, which are likely to predict cross-sectional ...
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1 vote
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Research on the performance of listed subsidiaries

Some countries (India, Pakistan, Nigeria, among others) seem to force multinational corporations that do business there to list the local operation on the national stock exchange and to let public ...
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1 vote
1 answer
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How does inflation impact stock returns? Academic examples

For a literature survey in my university class, I have been asked the question "How does inflation impact stock returns?". After reading some informal articles (in periodicals/ the general internet), ...
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1 vote
1 answer
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How to measure the impact of regulation on fund fees?

I want to measure the impact of mandatory disclosure on inducements on fees. I thought about doing a difference-in-differences analysis around the date of the new regulation with mutual funds as the ...
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0 votes
1 answer
99 views

Studies utilizing Fama French factors

Are there any studies in reputed academic journals that have used the data library offered by Kenneth R. French regarding the Fama French 3 factor model? I wish to use this data in my master's ...
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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.
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1 vote
0 answers
232 views

Research topic on volatility

Currently studying about volatility, VIX and implied volatility as well as option pricing via stochastic volatility models. My question is how these are used in real life except of speculation. Do ...
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3 votes
0 answers
65 views

What study has shown that "about two thirds of acquisitions end up destroying shareholder value"?

The Best of Value Investing - Part 1 says: Study show [sic] that about two thirds of acquisitions end up destroying shareholder value. What study has shown that?
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2 votes
2 answers
450 views

What are some classical papers to read for a mathematician looking to get into quant finance?

While searching around for some market making-related stuff I bumped into this paper https://arxiv.org/abs/1105.3115 and thought that I'll start digging through it and its References, out of lack of ...
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1 vote
2 answers
228 views

Is there any good academic references for Forex inefficiency? [closed]

I am PhD in computer science, and I am pretty much clueless where can I look for good journals or conferences for Forex that talked about its inefficiency. Is there any good journals, conferences that ...
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0 votes
0 answers
71 views

CAPM test methodology

Setting If we test the CAPM using Fama-MacBeth regressions we do the following: First, run cross-sectional regressions to determine the beta loading $$ R^i_t- r^f_t = a_i +\beta_i (R^M_t- r^f_t) + \...
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0 votes
1 answer
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I want to publish my research framework for quantitative finance

I have spent numerous months writing a framework for testing and researching for strategies, I now want to publish this framework with hopes of possibly marketing myself. It includes quandl data as ...
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5 votes
0 answers
258 views

Quantitative approaches to measuring the effectiveness of a Stock Option Pricing Model?

My question contains many parts, but I will try to keep it somewhat focused. I am primarily looking for a framework to evaluate the accuracy of a stock-focused Options Pricing Model. One of the ...
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2 votes
2 answers
108 views

s&p500 companies value vs growth

I was thinking of examining how the constituent companies of the s&p500 are affected by sentiment in crises. Is there any way to download stock prices for all the companies? Moreover how can I ...
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2 votes
1 answer
702 views

How do I calculate Market Dividend Yield from this data?

Thanks for reading, I am trying to calculate the market dividend yield for this set of data. The authors define it as 'The market dividend yield (MDY) is the one-year dividend from the CRSP value-...
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0 votes
3 answers
2k views

Fama-French three-factor model vs four-factor (Carhart) and five-factor model

I'm performing a study where I compare the Fama-French three factor model to the CAPM on the Swedish industrials industry. I do this to compare which of the models is the best performer, but also if ...
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2 votes
1 answer
102 views

Value measures other than P/B

Price-to-book is a very well-studied value measure. What research is there on non-P/B value measures? I came across a handful used by AQR (Sales/EV, Cash flow/EV, E/P, Forecasted Earnings/Price) but ...
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3 votes
2 answers
363 views

Intraday data frequency

How should I determine what frequency should I use for doing microstructure research using intraday data? For some reason, there seems to be general consensus of using 5 minute interval, but is there ...
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1 vote
0 answers
44 views

Quantitative Business Cycle Investing

Is there a major article or even better a comprehensive recent review article showing quantitative evidence for the existence of the business cycle and measuring the trending and mean reversion on ...
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