36 votes
Accepted

Have Goldman Sachs Quantitative Strategies Research Notes been published as a book or a comprehensive collection?

Many of them are on my website at emanuelderman.com. Others I probably have anyway. Feel free to email me
26 votes
Accepted

What mathematical theory is required for high frequency trading?

Hah! There is no such thing as the “rigorous mathematical underpinning” of high frequency trading - because HFT, like all trading, is not primarily a mathematical endeavour. It’s true that many ...
  • 5,638
19 votes

What are the recent quantitative finance papers we should all read?

Rough Volatility Gatheral, Jaisson and Rosenbaum (2018, QF) further popularise a stream of the literature which emphasises the non-smoothness of volatility paths. These models build on a fractional ...
18 votes
Accepted

Is there anywhere I can read the paper, "The Gamma-Vanna-Volga Cost Framework for Constructing Implied Volatility Curves"

Partly because it's hard to get a hold of, the Arslan et. al. paper is starting to assume mythical proportions. As said by Dimitri Vulis, the general idea of the paper is set out in (one or two of) ...
17 votes

What mathematical theory is required for high frequency trading?

I would argue, taking a note from John von Neumman, that quantitative finance lacks rigorous underpinnings. Von Neumann warned in 1953 that many things that look like proofs in economics and finance ...
  • 4,123
14 votes
Accepted

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

I would say that most ML methods risk overfitting and it depends very much on the asset class. The only area where more sophisticated ML methods such as deep learning appear to make a major difference ...
  • 1,018
13 votes
Accepted

open problems in mathematical finance

If you want to address interesting problems that are interesting for financial mathematics, I do not believe you have the good list. Pricing. For instance, most of explicit formulas for pricing that ...
11 votes

Have Goldman Sachs Quantitative Strategies Research Notes been published as a book or a comprehensive collection?

I had read some of them; actually, it does not exist an on-line library that collected them (or, better, it existed here, but it seems the website does not work anymore). I reported here below some ...
  • 2,446
10 votes

What are the most crucial research areas currently in quantitative finance/interesting subfields?

The most pressing topic in the interest rate world is the modelling of the New RFRs (SOFR, SONIA, ESTR etc) as part of the IBOR transition. New products are being developed, models for pricing these ...
10 votes
Accepted

What are some currently open problems in market microstructure

They are a lot of open problems in market microstructure. To have an idea of the whole landscape, have a look at Market Microstructure in Practice, 2nd Edition, by L and Laruelle. I would split them ...
  • 10.7k
9 votes

What are the most crucial research areas currently in quantitative finance/interesting subfields?

As far as empirical asset pricing goes, there occurs to be a replication crisis, similar to other social sciences. Many published results, factors and anomalies cannot be replicated, others don't hold ...
9 votes

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

Your question comes at this correctly, in my opinion. There is indeed a buyer and a seller behind every option; but the hedging behaviour of the two need not be equivalent... I used to work in an ...
  • 4,936
8 votes
Accepted

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

http://replication.uni-goettingen.de/ (The below text was added by Jan Höffler who founded the wiki.) This site is a replication project for papers, so far mainly in economics but open to any field....
  • 515
7 votes
Accepted

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

What you need is more mutual information rather than Shannon entropy. It is dedicated to capture the influence of one variable on another (you can think about it as a non linear version of Pearson ...
  • 10.7k
7 votes

What are the recent quantitative finance papers we should all read?

Rates options Lognormal vs Normal Volatilities and Sensitivities in Practice: this is the best paper on pricing Rates Options in negative rates environment that I have read recently (disclaimer: I don'...
6 votes

What are the most crucial research areas currently in quantitative finance/interesting subfields?

The application of machine learning to enhance the prediction or forecasting performance of financial models using historical data-driven algorithms (like boosting, support vector machine) has been ...
5 votes

How are cryptography and speech recognition technology applied to forecasting financial markets?

Speech recognition signal processing is complex and possibly similar to the complexity of financial markets. They are similar as per characterictics the non stationarity, noise types and other aspects ...
  • 436
5 votes

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

The field is in flux right now. Since you are at the master's level I think you should focus on more general works in mathematics. If you were my student and we were ignoring specific things such as ...
  • 4,123
5 votes

Is there anywhere I can read the paper, "The Gamma-Vanna-Volga Cost Framework for Constructing Implied Volatility Curves"

It was a Deutsche Bank Working Paper: http://refhub.elsevier.com/S0304-405X(16)00005-2/sbref0001 Unfortunately, it is very hard to find internal research published by banks. I have not seen this one ...
5 votes

What are the most crucial research areas currently in quantitative finance/interesting subfields?

Research into leveraging machine learning to speed up models seems to be gaining traction. This can be useful in computationally-expensive problems such as Greeks for products valued through Monte-...
4 votes

Any research on how natural language processing can be used to forecast stocks?

Recent research A recent article by Frank Zhao is interesting to get started: Natural Language Processing - Part I: Primer. You will find more papers on this repo (too long to copy all here): ...
  • 319
4 votes

What concepts are the most dangerous ones in quantitative finance work?

Ignoring to account for possibly omitted variables Ignoring to account for possibly omitted variables has arguably lead to both of the severe problems below: The fall of the US mortgage market in ...
4 votes

List of dates at which the NYSE was closed from 2005 to 2014?

Start with http://www1.nyse.com/pdfs/closings.pdf which covers all closings through 2011 then use the following information from official exchange sources to get dates up to present day. 2012/2013: ...
  • 119
4 votes

How can one find an area of research in quantitative finance appropriate to write a masters thesis on?

I can tell you what I did for my undergraduate thesis (which was a required component on my degree in Mathematics.) I picked a paper on option pricing which gave, as a main result, the closed for ...
  • 415
4 votes

Best written quantitative finance papers

Journals that have a wider audience tend to have better written papers, such as Journal of Finance, Review of Financial Studies, or Journal of Financial Economics. Editors there try to ensure that ...
  • 4,247
4 votes
Accepted

Learn backtesting using MATLAB

The general idea For equity securities, a simple backtest will typically consist of two steps: Computation of the portfolio return resulting from your portfolio formation rule (or trading strategy) ...
4 votes

Intraday data frequency

I think the answer is driven by asking yourself a few questions : If you are a practitioner at what frequency are you able to trade and want to trade ? (you are limited by this so no need to go to ...
4 votes

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

So to answer your point about ML, I would say yes, it is starting to get a foothold in finance. However, this is in the sense that it starting to be more applied in a particular context. What I mean ...
4 votes

Undergraduate research topic in options

This question will probably get closed soon, but I'll take a stab at answering anyway. I think, for an undergraduate, an interesting topic would be the FX-credit hybrids, that is, FX options (or even ...

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