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Results tagged with research
Search options questions only
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user 1800
For questions citing or requesting references to academic and/or professional research.
48
votes
4
answers
23k
views
What is the best way to "fix" a covariance matrix that is not positive semi-definite?
I have a sample covariance matrix of S&P 500 security returns where the smallest k-th eigenvalues are negative and quite small (reflecting noise and some high correlations in the matrix).
I am perfo …
- 1,219
27
votes
3
answers
8k
views
What are the best sources for equity quantitative research?
What are the best sources of quantitative finance research in equities? … I will list a couple and note an asterisk if the research is available by request (i.e. non-clients) or online:
BAC-Merrill Lynch - Savita Subramanian
Deutsche Bank - Yin Luo*
Credit Suisse - Pankaj …
18
votes
1
answer
626
views
performance of historical VaR parameters
I am looking for empirical backtesting research on the choice of T-period and $\alpha$% for producing stock portfolios. … Usually this backtest research involves looking at the # of "exceptions" (violations of the predicted risk), convergence tests, the Kupiec, and Kupier test, or involves looking at the realized risk of …
CommunityBot
- 1
12
votes
4
answers
2k
views
What is the impact of high-frequency trading on market depth, liquidity, and volatility?
There's also research that at the micro-structure level price changes are now exhibiting non-normality (where previously this was observed only at lower frequencies). … Is there are any hard research on the effects of HFT on market depth, liquidity, and volatility during peacetime and periods of stress? …
- 5,268
5
votes
1
answer
732
views
What is the relative performance of hard-to-borrow securities?
Is there any research on the equity return performance of hard-to-borrow securities?
Many shops will simply screen for hard-to-borrow and eliminate these names from their short book. … I know there is research on 'short interest %' as a quant equity factor, but is there any research on the performance of hard-to-borrow securities? …
- 9,887
5
votes
1
answer
1k
views
What are some applications of bioinformatics or genetics to generating alpha in U.S. equities?
Machine learning has helped to solve complex portfolio construction problems, operations research has contributed to market making & risk management, and aerospace engineering has contributed the Kalman … Chicago) has done both innovative work in the field of equities and also genetics and recall he had some research along these lines. …
- 12.6k
6
votes
3
answers
306
views
zero-sum active management riddle
Bill Sharpe proves that the average alpha from active management is zero (and after transaction costs the average active manager returns less than passive funds). One active manager's gain is offset b …
- 4,501
9
votes
2
answers
2k
views
optimal re-balancing strategy with asynchronous alpha signal
The best answer would cite empirical research on asynchronous optimal re-balancing if it exists.
Thanks! …
- 9,285