Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange

Questions tagged [research]

For questions citing or requesting references to academic and/or professional research.

160 questions
29
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8 answers

What are the best Journals & Conferences in Quantitative Finance?

What are some of the most prominent journals, conferences and publishing venues in Quantitative Finance research? Where can I find information more information about them? (e.g. impact factor and categorization by topic) I went to ArXiv and found…
Amelio Vazquez-Reina
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17
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2 answers

Best written quantitative finance papers

I have some writing experience, but I want to take my writing skills to the next level. I am particularly interested in writing quantitative finance papers for journals like Journal of Portfolio management, Journal of Asset Management, Quantitative…
dikdirk
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14
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5 answers

What are the most crucial research areas currently in quantitative finance/interesting subfields?

What are some of the things that are currently being researched, or what are the big unanswered questions of quantitative finance that researchers are trying to solve? What are some interesting and extremely important topics being researched with…
user505999
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10
votes
7 answers

Is there a quantitative finance ranking system for universities?

I am a PhD student in stochastic analysis/control and had a MSc degree in Financial Mathematics. I am interested in determining there is a quantitative finance ranking system for universities like this. It's easy to find such a ranking for the Math…
SBF
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7
votes
2 answers

Reseach on when people/institutions sell?

I am curious to know if there have been studies on when selling occurs and if any useful patterns exist. I am particularly interested in the behavior of sellers when they are under water on their purchase since while an asset may theoretically be…
Rage With The Machine
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6
votes
3 answers

zero-sum active management riddle

Bill Sharpe proves that the average alpha from active management is zero (and after transaction costs the average active manager returns less than passive funds). One active manager's gain is offset by equal losses among some other active…
Ram Ahluwalia
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3
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0 answers

Are there any good academic articles about Feb 2018 correction?

Question pretty self-explanatory – I want to see if there have been any reputable papers released regarding the 2018 February market correction, since it happened quite recently. I do not need the paper to necessarily focus just on this event – any…
br0323
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3
votes
1 answer

What are the pros and cons of applying for a patent on a financial model or trading system?

I've never understood the purpose of patents in the financial industry. What would be the pros and cons of applying for a patent on some financial model or trading system? What would be the motivating factors behind this? What sort of protection…
pyCthon
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3
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2 answers

Reference for drawdown, look ahead bias and survivorship bias

I'm writing a PhD thesis and I am using terminology such as maximum drawdown, maximum drawdown duration, lookahead bias, and survivorship bias. Although I understand what these are, and they are documented well (on Investopedia, Wikipedia, and…
Kian
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3
votes
2 answers

Time Lag for Market Inefficiency

I recalled reading a academic paper that studied how long a market exploitation took to get priced into the market. I am trying to find that article. I remember it stating that the market priced in the exploitation on average around 30 days.
Ted Taylor of Life
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3
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0 answers

Triangular Arbitrage formula

i have 3 currencies AUD, USD and EU I am trying to work out the mathematical formula to work out if there is a spread/arbitrage opportunity as well as the maximum amount that can be conducted ( for instance, if transferring from USD to EUR is…
Anton
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2
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0 answers

Good Environment, Social, and Governance Indicators to correlate with financial performance of PE

I am trying to see if there is a correlation between the Environment, Social, and Governance (ESG) performance and the financial performance of Private Equity (PE) funds. Are there any suggestions for good indicators of ESG performance of Private…
Bastiaan Quast
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vote
0 answers

Where is the actual risk magazine?

On Risk.net I can see every issue and underneath each, there's just a bunch of links to articles on risk.net. See picture below. Okay great, but where is the actual magazine? Isn't that supposed to be an actual, unified magazine with an intro/outro…
JakcieJnr
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1 answer

Anyone know where I could find a free list of hedgefunds and their strategies...?

I am looking for a (free) list of hedgefunds with their strategies. I have found Barron's top 100 online but am having trouble finding a longer list. Any ideas of where to look?
belteshatzar
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2 answers

How do I use BIC (Bayesian Information Criterion) to estimated model AR (auto regressive) lag?

In financial research papers, I have seen several times that the lag length in an ARMA model has been determined using BIC. Do the researchers estimate the lag length before considering other variables? Would you compare the BIC values of the just…
Bob
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