Quant News - The latest research and news for quantitative traders


How to Create an ARIMA Model for Time Series Forecasting with Python (machinelearningmastery.com)

The relationship between trading frequency and achievable alpha (automatedtrader.net)

‘Crowdsourced’ Quantopian dives into algorithms (ft.com)

Quant ‘Alpha Factory’ Hunts for Investing Edge (wsj.com)

Hedge Funds v. Silicon Valley, The Battle For Quant Talent (worldcrunch.com)

Trending academic research:

See also: Most popular SSRN papers

The Magic Formula: Value, Profitability, and the Cross Section of Global Stock Returns

A level-1 Limit Order book with time dependent arrival rates abstract

Fast Quantization of Stochastic Volatility Models abstract

On mean-variance hedging under partial observations and terminal wealth constraints abstract

Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio Choice

Introducing Global Term Structure in a Risk Parity Framework

Scaling evidence of the homothetic nature of cities abstract

Enhancing Enterprise Value by Trading Options

Pairs Trading Under Drift Uncertainty and Risk Penalization

Estimating Robustness

The Cross-Section of Government Bond Returns

Stock Market Co-Movement at the Disaggregated Level: Individual Stock Integration

Endogenous and Exogenous Risk Premia

Thinking About Theta: An Analysis of Time Decay, Early Unwind and Closeout Feedback Effects

The Skewness and Kurtosis of European Options and the Implications for Trade Sizing

A generalized Bayesian framework for the analysis of subscription based businesses abstract

Trading Fees and Intermarket Competition

Anomalous Scaling of Stochastic Processes and the Moses Effect abstract

A Fuzzy Approach for Expert Evaluation of Investment Portfolios

From Failure to Success: Replacing the Failure Rate


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