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Questions tagged [research]

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

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16 votes
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Proving the asymptotic distribution of Manipulation-Proof Performance Measure (MPPM) (Paper by Goetzmann et al.)

In Goetzmann et al.'s (2007) paper, the authors derive a "Manipulation-Proof Performance Measure" (MPPM), which is a performance measure that is impervious to performance manipulation by fund managers....
SwiftMo's user avatar
  • 325
11 votes
0 answers
6k views

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 ...
Anton Tarasenko's user avatar
7 votes
0 answers
1k views

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, ...
Dylan Koh's user avatar
  • 121
5 votes
0 answers
329 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 ...
drobertson's user avatar
  • 1,882
4 votes
0 answers
800 views

Monty Hall Model

Given a fixed time period,say 3 days, the stock/market can go up,down or stay sideways. A hedge fund can long, short or use rangebound(options strategy) to bet for that 3 days closing level. Hedge ...
Shelagh's user avatar
  • 131
3 votes
0 answers
95 views

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
3 votes
0 answers
75 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 ...
br0323's user avatar
  • 61
3 votes
0 answers
106 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 ...
Kaldu's user avatar
  • 31
3 votes
0 answers
67 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?
Franck Dernoncourt's user avatar
3 votes
0 answers
122 views

Individual/casual investors and the bias towards blue-chip stocks?

There's quite a bit of research (example, [1]) teasing out the fact that home/casual/individual investors prefer stocks with large positive skewness. It surprised me, as I was reading a bunch of these ...
Jase's user avatar
  • 1,510
2 votes
0 answers
178 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 ...
skoestlmeier's user avatar
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2 votes
0 answers
420 views

Fluid dynamics for order book depth modelling

Would someone be able to give me an idea what type of fluid dynamics I could look at for modelling the order book? My background is more signals-related maths (correlation, covariance, fourier etc). ...
user997112's user avatar
2 votes
0 answers
108 views

Good Environment, Social, and Governance Indicators to correlate with financial performance of PE

I am trying to see if there is a correlation between the Environment, Social, and Governance (ESG) performance and the financial performance of Private Equity (PE) funds. Are there any suggestions ...
Bastiaan Quast's user avatar
1 vote
1 answer
752 views

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 ...
Syed Askari's user avatar
1 vote
0 answers
476 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....
rajah9's user avatar
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1 vote
0 answers
408 views

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
1 vote
0 answers
202 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 ...
AK88's user avatar
  • 1,840
1 vote
0 answers
92 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 ...
alexbougias's user avatar
  • 1,416
1 vote
0 answers
82 views

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
1 vote
0 answers
22 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 ...
Candamir's user avatar
  • 211
1 vote
0 answers
240 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 ...
alexbougias's user avatar
  • 1,416
1 vote
0 answers
51 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 ...
rhaskett's user avatar
  • 1,641
1 vote
0 answers
75 views

How to map shocks from VAR to news? (Academics)

I am trying to map shocks from VAR to discount-rate and cash-flows news following the paper of Campbell and Vuolteenaho (2004). It is said that news are a linear combination of shocks from VAR at (t+1)...
Alex's user avatar
  • 11
1 vote
0 answers
84 views

Sampling and/or asymptotic distribution of a function

Assume we have the following function: $$f(p) = \frac{1}{(1-p)d}\ln\left(\frac{1}{T}\sum_{t=1}^{T}\left[\frac{1+X_t}{1+Y_t} \right]^{1-p} \right)$$ where $d$ is a constant $T$ is a constant $X_t$ ...
SwiftMo's user avatar
  • 325
0 votes
0 answers
102 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. ...
thomas.diridondo's user avatar
0 votes
0 answers
48 views

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 ...
Matthew Kaplan's user avatar
0 votes
0 answers
28 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. ...
Ganesh S's user avatar
  • 141
0 votes
0 answers
79 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) + \...
Phun's user avatar
  • 624