Quant News - The latest research and news for quantitative traders






Most popular SSRN papers over the last 12 months:

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Understanding Modern Portfolio Construction abstract

'P' Versus 'Q': Differences and Commonalities between the Two Areas of Quantitative Finance abstract

The Siren Song of Factor Timing abstract

The Market for Financial Adviser Misconduct abstract

My Factor Philippic abstract

The Market Portfolio is NOT Efficient: Evidences, Consequences and Easy to Avoid Errors abstract

All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort of Trading Algorithms abstract

Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks abstract

Classification-Based Financial Markets Prediction Using Deep Neural Networks abstract

Days to Cover and Stock Returns [2015] abstract

How to Combine a Billion Alphas abstract

Revisiting the Profitability of Market Timing with Moving Averages abstract

How Rigged are Stock Markets? Evidence from Microsecond Timestamps abstract

The Wisdom of Twitter Crowds: Predicting Stock Market Reactions to FOMC Meetings via Twitter Feeds abstract

Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits abstract

Stock portfolio design and backtest overfi tting abstract

Predicting Stock Market Returns Using the Shiller CAPE — An Improvement Towards Traditional Value Indicators? abstract

Statistical Industry Classification abstract

From 'Blockchain Hype' to a Real Business Case for Financial Markets abstract

Securities Clearance and Settlement Systems: A Guide to Best Practices abstract

Crash Beliefs from Investor Surveys abstract

It Takes a Village to Maintain a Dangerous Financial System abstract

Conflicts of Interest in Self-Regulation: Can Demutualized Exchanges Successfully Manage Them? abstract

Market Risk Premium Used in 71 Countries in 2016: A Survey with 6,932 Answers abstract

What's Hot in Finance (2011-2015)? abstract

Sticky Expectations and Stock Market Anomalies abstract

Financial Reporting Quality of Chinese Reverse Merger Firms: The Reverse Merger Effect or the China Effect? abstract

An Analysis of Index Option Writing with Monthly and Weekly Rollover abstract

The Effects of Usury Laws on Higher-Risk Borrowers abstract

Trend Without Hiccups - A Kalman Filter Approach abstract

Value Creation Thinking: Powerpoint Presentation abstract

Funding Value Adjustments abstract

Factor Investing with Smart Beta Indices abstract

Factor-Based Investing abstract

Following the Money: Lessons from the Panama Papers, Part 1: Tip of the Iceberg abstract

Quantitative Style Investing abstract

Tax Uncertainty and Retirement Savings Diversification abstract

Volatility Modelling and Trading abstract

Covered Interest Rate Parity Deviations in the Post-Crisis World abstract

Dark Pools, High-Frequency Trading, and the Financial Transaction Tax: A Solution or Complication? abstract

Lecture Notes on Risk Management & Financial Regulation abstract

Annual Report Readability, Tone Ambiguity, and the Cost of Borrowing abstract

Quality Investing – Industry Versus Academic Definitions abstract

Do the Rich Know Better? – University Endowment Return Inequality Revisited abstract

Market Discipline under Systemic Risk: Evidence from Bank Runs in Emerging Economies abstract

Long-Only Style Investing: Don't Just Mix, Integrate abstract

Sports Betting As a New Asset Class: Can a Sports Trader Beat Hedge Fund Managers from 2010-2016? abstract

Limitations of Quantitative Claims About Trading Strategy Evaluation abstract

IFRS – Ten Years Later abstract

Stochastic Portfolio Theory: A Machine Learning Perspective abstract