Quant News - The latest research and news for quantitative traders

Most popular SSRN papers over the last 12 months:

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

The Siren Song of Factor Timing abstract

My Factor Philippic abstract

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

Classification-Based Financial Markets Prediction Using Deep Neural Networks abstract

Days to Cover and Stock Returns [2015] 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

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

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

The Effects of Usury Laws on Higher-Risk Borrowers abstract

Value Creation Thinking: Powerpoint Presentation abstract

Factor Investing with Smart Beta Indices 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

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

Stochastic Portfolio Theory: A Machine Learning Perspective abstract

Abnormal Stock Market Returns Around Peaks in VIX: The Evidence of Investor Overreaction? abstract

Just a One Trick Pony? An Analysis of CTA Risk and Return abstract

New Firm Formation and Industry Growth: Does Having a Market- or Bank-Based System Matter? abstract

Creating a More Efficient Financial System: Challenges for Bangladesh abstract

When the Walk is Not Random: Commodity Prices and Exchange Rates abstract

Asset Allocation: A Recommendation for Resolving the Collision between Theory and Practice abstract

Fiduciary Financial Advice to Retirement Savers: Don't Overlook the Prudent Investor Rule abstract

Demystifying Pairs Trading: The Role of Volatility and Correlation abstract

Spread, Volatility, and Volume Relationship in Financial Markets and Market Maker's Profit Optimization abstract

Can Sentiment Indicators Signal Market Reversals? abstract

Trend, Mean-Reversion or Random Walk? A Statistical Analysis of Price Behavior in Major Markets abstract

Restructuring Sovereign Debt after NML v. Argentina abstract

Fast Measurement of Market Volatility Using Ensemble Averaging abstract

International Financial Integration Through Equity Markets: Which Firms from Which Countries Go Global? abstract

Regulating Merchants of Liquidity: Market Making from Crowded Floors to High-Frequency Trading abstract

News Versus Sentiment: Predicting Stock Returns from News Stories abstract

Adaptive Time Series Momentum – Benchmark for Trend-Following Funds abstract

Non-GAAP Reporting: A Comparability Crisis abstract