Questions tagged [research]

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

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11
votes
5answers
932 views

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 ...
0
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1answer
98 views

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 ...
3
votes
0answers
74 views

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 ...
0
votes
0answers
19 views

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. ...
1
vote
0answers
26 views

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 (...
0
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1answer
33 views

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?
1
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0answers
28 views

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 ...
7
votes
3answers
635 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 ...
0
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1answer
59 views
5
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2answers
1k 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 ...
1
vote
1answer
70 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. ...
0
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0answers
37 views

Exemples of results that are suspected to be known, but remain undisclosed?

Quantitative finance and finance in general, are very competitive domains. It is quite obvious that internal research would be a good way to get an edge over competition. As expected, most of this ...
1
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0answers
84 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 ...
0
votes
3answers
111 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 ...
1
vote
1answer
74 views

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 = ...
1
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0answers
52 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 ...
2
votes
0answers
82 views

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 ...
11
votes
3answers
7k 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 ...
4
votes
1answer
154 views

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. ...
1
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0answers
67 views

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

My idea: CNN takes following input ...
1
vote
1answer
388 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?
3
votes
1answer
422 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 (...
2
votes
0answers
113 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 ...
1
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0answers
11 views

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 ...
1
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1answer
54 views

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), ...
1
vote
1answer
35 views

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 ...
0
votes
1answer
85 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 ...
7
votes
1answer
297 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.
1
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0answers
174 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 ...
3
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0answers
63 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?
2
votes
2answers
360 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 ...
1
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2answers
214 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 ...
0
votes
0answers
57 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) + \...
0
votes
1answer
141 views

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 ...
5
votes
0answers
219 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 ...
2
votes
2answers
99 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 ...
2
votes
1answer
592 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-...
0
votes
3answers
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 ...
2
votes
1answer
93 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 ...
3
votes
2answers
242 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 ...
1
vote
0answers
39 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 ...
2
votes
1answer
238 views

Which studies should be replicated?

In psychology voting on which studies should be replicated is established on a website. For economics, including financial economics, the ReplicationWiki (that I founded) offers a voting option but it ...
16
votes
2answers
4k views

Is there a website that lists replication code of financial papers?

There are lot of questions on this website related to the replication of the empirical part of financial papers. I noticed that some (honest) authors provide on their personal website some ...
9
votes
1answer
3k views

open problems in mathematical finance

What are open problems in mathematical finance that use fundamental concepts of mathematics (functional analysis, geometry and topology, algebra and number theory etc.) and not data-driven. I have ...
7
votes
1answer
3k views

Shannon's entropy for financial times-series (return)

I'm looking at Shannon entropy, and generaly at ways to tell noise from signal when observing intraday returns (at the minute level for now). In python, e.g. I've implemented the fomula (sum of P(xi)*...
4
votes
0answers
4k views

Current big topics in quantitative finance for a research paper? [closed]

I am a final year student in quantitative finance. To get my degree, I need to write a research paper (approx. 50 pages) about any quantitative financial topic. After getting my degree I would like ...
13
votes
3answers
2k views

Historical Volatility vs Implied Volatility Performance in Pricing Options

I consistently read on academic papers, when pricing options, using implied volatility is better than using historical volatility. Because, market is more "forward-looking" and historical data is "...
4
votes
1answer
142 views

Why should a factor not priced and yet is relevant to the return generating process

I am reading Elton's AFA presidential adress article here. http://people.stern.nyu.edu/eelton/working_papers/Expected_Return_Realized_Return.pdf In the paper, he is warning against using the average ...
3
votes
1answer
216 views

Index and alpha strategies research analyst

Just found some job offer: Index and alpha strategies research analyst However it seems that the offer is already closed. The thing is I would like to know what are these alpha/index strategies. Can ...
3
votes
1answer
263 views

Compare events effect on stock prices from different time periods

I’m going to test for the effect corporate credit rating announcements have on stock prices through different economic climates (good times vs. bad times). I want to research whether or not the stock ...