Quant News - The latest research and news for quantitative traders






Headlines:




Katten's Lance Zinman on High-Speed Trading (corpcounsel.com)

Citigroup Punished for Treasury Market Spoofing by Five Traders (bloomberg.com)

The SEC's Reaction To High Frequency Trading (seekingalpha.com)

Powerful hedge funds with mediocre performance are charging investors even higher fees than we thought (businessinsider.com)

Move Over, Coders—Physicists Will Soon Rule Silicon Valley (wired.com)



Trending academic research:


See also: Most popular SSRN papers


Local, Stochastic, Local/Stochastic, Volatility Models – And Non-Models abstract

Cloaked Trading abstract

Forecasting ETFs with Machine Learning Algorithms abstract

Targeting Market Neutrality abstract

Fake Alpha abstract

Exchange Rates and the Yield Curve abstract

Applying a Systematic Investment Process to Distributive Portfolios: A 150 Year Study Demonstrating Enhanced Outcomes Through Trend Following abstract

The Growth of Relative Wealth and the Kelly Criterion abstract

Who Provides Liquidity and When: An Analysis of Price vs. Speed Competition on Liquidity and Welfare abstract

Implied Volatility Sentiment: A Tale of Two Tails abstract

Research Note: The Economic Benefit of Forecasting Market Components for Mean-Variance Investors abstract

The Mythology of Rebalancing: A Random Walk down Performance and Risk Management abstract

Predictability and Mispricing in Emerging vs. Developed Currency Markets abstract

Decomposing the Size Premium abstract

No Matter the Winning Presidential Candidate, 'Buying at Halloween and Selling in May' Has Been Attractive for Equities in Pre-Election Years, with the Opposite for Treasuries abstract

Higher-Order Tail Moments in Asset-Pricing Theory abstract

Who Provides Liquidity, and When: An Analysis of Price vs Speed Competition on Liquidity and Welfare abstract

Regularized Decomposition Methods for Deterministic and Stochastic Convex Optimization and Application to Portfolio Selection with Direct Transaction and Market Impact Costs abstract

The Wisdom of Large and Small Crowds: Evidence from Repeated Natural Experiments in Sports Betting abstract

Some correspondences between Index Number Theory in economy and the General Theory of Relativity in physics abstract

more


Other great sites:



Ernie Chan Jonathan Kinlay Quantocracy Quantpedia Robot Wealth Quantifiable Edges MathFinance Collector Dekalog Quanttech Scott's Investments Return and Risk Investment Idiocy The R Trader Talaikis Algo Tr8dr Mintegration Volatility Futures & Options Intelligent Trading Tech Quantum Financier Kyle Balkissoon Shifting Sands Predictive Alpha Mechanical Markets QuantStrat TradeR MKTSTK CSS Analytics