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 ...
- 5,971
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 ...
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 ...
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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 ...
- 1,113
11
votes
Accepted
Online sources for quantitative finance research
Below are some of the sources one can use to search for and view or download research articles and other publications on quantitative finance (QF). Many include non-peer-reviewed articles in their ...
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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 ...
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10
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 ...
- 5,131
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 ...
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?
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-...
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
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 ...
- 4,329
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
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 ...
- 13.2k
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 ...
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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 ...
- 13.2k
4
votes
Who hedges (more): options seller or options buyer?
It's not really a question of buyers vs. sellers, but of investors vs. market makers.
Market makers (market making firms, or banks - for whom this holds doubly due to regulation limiting their ...
- 146
3
votes
Video lectures and presentations on quantitative finance
I’ve found the following insightful:
How is QuantLib doing? Talk at the QuantLib User Meeting 2017. Luigi Ballabio (one of the creators of the library) discuses his personal feelings on the ...
3
votes
What are some classical papers to read for a mathematician looking to get into quant finance?
I would consider "Aspect of Mathematical Finance" as a starting point for a "general quant finance area". It is
A collection of essays written by leading experts in the field of finance ...
- 1,714
3
votes
Accepted
How does inflation impact stock returns? Academic examples
This is not peer reviewed, but it fits the bill and is one of my favorite pieces on this topic: Inflation in 2010 and Beyond. I also recommend Antii Ilmanen’s Expected Returns, which has an entire ...
- 11.9k
3
votes
Market risk stress testing?
One of the easiest ways is described in Duffie, Pan (1997) "Bootstrapped Simulation from Historical Data" p.55.
$R$ is the set of all risk factors (a time series)
$C_{norm}$ is the Covariance Matrix ...
- 309
3
votes
What are the best Journals & Conferences in Quantitative Finance?
This question is now more than 10 years old and the answers have not been refreshed in a while. While the journal landscape has probably not changed much in this timeframe, it is possible industry and ...
- 8,219
3
votes
Does the new trend of "no transaction fee" accounts substantively change the academic study of mathematical finance?
Why would it? Customers are still paying spread and execution slippage - another type of less obvious transaction cost much the same as regular fees, which are magnified by adverse selection ...
- 1,510
3
votes
What are the most crucial research areas currently in quantitative finance/interesting subfields?
One of the greatest question (which is not only linked to quantitative finance) is, whether $P=NP$. Maymin (2002) found out that markets are efficient if and only if $P=NP$. So one could finally pin ...
3
votes
What are the recent quantitative finance papers we should all read?
Behavioral Finance
I'm cutting it close with McLean and Pontiff (2016, JF) but it's a great read and a personal favorite. Does Academic Research Destroy Stock Return Predictably - funny enough it's ...
2
votes
Why should there be an equity risk premium?
This one is far from straight-forward, although bear with me. It is possible to infer from first principles an ERP reasonably close to normative consensus expectations.
The attached from Howard ...
- 5,131
2
votes
Why do some anomalies persist while others fade away?
There are a lot of good answers on here, but I can't help but to add my 2 cents.
Of interest, a recent paper "...and the Cross-Section of Expected Returns", by Harvey, Liu, and Zhu (2015):
...is ...
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