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

The Enduring Effect of Time-Series Momentum on Stock Returns Over Nearly 100-Years 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

The Flash Crash: A New Deconstruction 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

The Harm in Selecting Funds that Have Recently Outperformed abstract

Risk Everywhere: Modeling and Managing Volatility abstract

Rentabilidad de los Fondos de Pensiones en España. 2000-2015 (Return of Pension Funds in Spain. 2000-2015) abstract

The Economics of Disclosure and Financial Reporting Regulation: Evidence and Suggestions for Future Research abstract

Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting 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

Rethinking Margin Period of Risk 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

Sell in May and Go Away in the Equity Index Futures Markets abstract

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

The Effects of Usury Laws on Higher-Risk Borrowers abstract

Gold and Silver Manipulation: What Can Be Empirically Verified? abstract

How Prevalent and Profitable are Latency Arbitrage Opportunities on U.S. Stock Exchanges? abstract

Trend Without Hiccups - A Kalman Filter Approach abstract

Value Creation Thinking: Powerpoint Presentation abstract

Funding Value Adjustments abstract

On the Profitability of Optimal Mean Reversion Trading Strategies abstract

Backtest Overfitting in Financial Markets 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

The Value of Low Volatility abstract