Quant News - The latest research and news for quantitative traders

Daily Winners and Losers

Understanding Anomalies

Topological Data Analysis of Financial Time Series: Landscapes of Crashes abstract

Contrarian Factor Timing is Deceptively Difficult

Long Memory and Data Frequency in Financial Markets

Commodity Connectedness

Perfect hedging in rough Heston models abstract

Systemic Risk, Maximum Entropy and Interbank Contagion abstract

Fractal Optimization as Generator of Market Neutral Long-Short Portfolio

Short-time near-the-money skew in rough fractional volatility models abstract

Stock Returns and the Cross-Section of Investor Attention

Safe Withdrawal Rates: A Guide for Early Retirees

The More We Know About Fundamentals, the Less We Agree on Price: Evidence from Earnings Announcements

Factor Investing and Asset Allocation: A Business Cycle Perspective

Investor Sentiment Dynamics and the Cross-Section of Stock Returns

Benchmark Relative and Absolute Return are the Same Thing* (*Conditions Apply)

Private Information in Futures Markets: An Experimental Study

Multi-Period Portfolio Optimization with Cone Constraints and Discrete Decisions

Swap Valuation with Dual Curves - Approximations

The Long-Term Performance of IPOs, Revisited


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