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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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. ...
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What are the best Journals & Conferences in Quantitative Finance?
What are some of the most prominent journals, conferences and publishing venues in Quantitative Finance research? Where can I find information more information about them? (e.g. impact factor and ...
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Papers about risk management in algorithmic trading?
I am currently doing my research for my master thesis, which will clearly focus on the question of risk managment in algorithmic trading systems.
I have done research about this topic and found some ...
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academic papers about market making
I am looking for academic articles which model the p&L of market makers. I have read the Ho-Stoll (1984) article. Is there any recent article on this subject?
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Online sources for quantitative finance research
What are the sources one can search for or view / download research articles and other publications on quantitative finance in addition to the Internet search engines?
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Asymmetric Volatility Modeling (Interpretation)
I am currently writing a paper on asymmetric volatility modeling of brent, gold, silver, wheat, soybean and corn from 1986-2012 and divided them into 4 sub-sample periods (i.e. 1986-1991, 1991-1997, ...
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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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Video lectures and presentations on quantitative finance
What are your favourite video lectures, presentations and talks available online?
A few rules:
Must be related to quantitative finance. No Economics 101 courses, please.
Try to avoid DIY lectures ...
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Difference in Bloomberg and I/B/E/S earnings data
I‘m looking at monthly 12-months trailing earnings for the S&P 500 Index since 1995. Index level earnings, not individual constituents.
I got the earnings time series for the index from Bloomberg ...
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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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Academic literature on quantitative trading [duplicate]
I’m looking for an academic paper (a survey) on quantitative (algorithmic) trading. Not for a list of resources, a survey on popular strategies,history and so on.
Those that I came across are heavily ...
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Is there a quantitative finance ranking system for universities?
I am a PhD student in stochastic analysis/control and had a MSc degree in Financial Mathematics.
I am interested in determining there is a quantitative finance ranking system for universities like ...
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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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Why do some anomalies persist while others fade away?
In their 1990 book, A Non-Random Walk Down Wall Street, Andrew Lo and Craig MacKinlay document a number of persistent predictable patterns in stock prices. One of these "anomalies" is variously known ...
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What concepts are the most dangerous ones in quantitative finance work?
There are a few things that form the common canon of education in (quantitative) finance, yet everybody knows they are not exactly true, useful, well-behaved, or empirically supported.
So here is the ...
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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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Any research on how natural language processing can be used to forecast stocks?
Is there any published research of decent quality linking news or unstructured information to asset returns? I know that Thomson Reuters offers its Machine Readable news (MRN), so somebody must use it....
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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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Has high frequency trading (HFT) been a net benefit or cost to society?
Various studies have demonstrated the very large and growing influence of high frequency trading (HFT) on the markets. HFT firms are clearly making a great deal of money from somewhere, and it stands ...
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How are cryptography and speech recognition technology applied to forecasting financial markets?
One of the answers to my previous question regarding the strategy of Renaissance Technologies, there was a reference to The Quants: How a New Breed of Math Whizzes Conquered Wall Street and Nearly ...
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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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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 ...
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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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How high of a Sharpe ratio is implausibly high for a low-frequency equity strategy?
I am looking to convince someone that an annualized Sharpe Ratio of 7 is 'extremely high' for a low frequency (daily rebalancing, say) long-short technical strategy on U.S. equities. I was hoping for ...
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Papers about backtesting option trading strategies
I am looking for all kinds of research concerning option trading strategies. With that I mean papers that publish results on different option trading strategies properly backtested with real-world ...
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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 ...
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Can social media be applied to algorithmic trading?
Can social media sites, like Twitter, be used to analyze financial markets for algorithmic trading? How much research has been done on this topic?
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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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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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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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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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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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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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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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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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Is statistical arbitrage on FX possible?
Do you know of any papers which consider pairs trading (or statistical arbitrage) on foreign exchange?
I couldn't find any. I asked this question on several forums and got no reply. Thus, I guess ...
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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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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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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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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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Successfull applications of Chaos Theory in Quant Finance
Do successful applications of chaos theory to quant finance exist ?
While still in the university I remember some people mentioning how chaos theory and fractals could be applied in a finance context....
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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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Bridgewater's Daily Observations
Bridgewater Associates send out Daily Observations to their clients, but I haven't found many traces of these publications online. The series started some 40 years ago by Ray Dalio, and there're just ...
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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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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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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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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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Why should there be an equity risk premium?
After years of mathematical finance I am still not satisfied with the idea of a risk premium in the case of stocks.
I agree that (often) there is a premium for long dated bonds, illiquid bonds or ...
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