Technical Papers on Trading
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- This topic has 44 replies, 7 voices, and was last updated 7 years, 6 months ago by Lawrence.
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- May 17, 2014 at 2:11 pm #206370LawrenceKeymaster
Do Day Traders Rationally Learn About Their Ability?
by Brad M. Barber, Yi-Tsung Lee, Yu-Jane Liu, Terrance Odean
http://www.usc.edu/schools/business/FBE/seminars/papers/F_12-9-11_ODEANpaper.pdfMay 17, 2014 at 2:12 pm #206371LawrenceKeymasterFear and Greed in Financial Markets: A Clinical Study of Day-Traders
Andrew W. Lo, Dmitry V. Repin, and Brett N. Steenbarger
http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.145.9549&rep=rep1&type=pdfJune 12, 2014 at 6:11 pm #206391LawrenceKeymasterA New Hybrid Model for Intraday Spot Foreign Exchange Trading Accounting for Heavy Tails and Volatility Clustering
by Anna Serbinenko and Svetlozar T. Rachev
http://statistik.econ.kit.edu/download/technical_reports/2_new_fx_model.pdfJune 12, 2014 at 10:01 pm #206392MidKnightMemberIf they wrote those models in English it would be a LOT more helpful and educational
June 16, 2014 at 3:48 pm #206394LawrenceKeymaster@MidKnight said:
If they wrote those models in English it would be a LOT more helpful and educational
Even if someone try to explain what they are trying to do in the paper (i.e. like the one above), it will still be math equations and code fragments.
August 24, 2014 at 9:50 pm #206403MidKnightMemberIntraday momentum
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2440866Abstract
In this paper, using intraday data from January 4, 1999 to December 31, 2012, we document an intraday momentum pattern that the first half-hour return on the market predicts the last half-hour return on the market. The predictability is both statistically and economically significant, and is stronger on more volatile days, recession days and some macroeconomic news release days. We interpret the trading behavior of daytraders and informed traders
as the economic driving forces behind the intraday momentum.August 26, 2014 at 9:34 am #206404LawrenceKeymaster@MidKnight said:
Intraday momentum
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2440866Abstract
In this paper, using intraday data from January 4, 1999 to December 31, 2012, we document an intraday momentum pattern that the first half-hour return on the market predicts the last half-hour return on the market. The predictability is both statistically and economically significant, and is stronger on more volatile days, recession days and some macroeconomic news release days. We interpret the trading behavior of daytraders and informed traders
as the economic driving forces behind the intraday momentum.Validation of my use of 30-min open range. XD
December 4, 2014 at 9:34 am #206405LawrenceKeymasterFlow Toxicity and Liquidity in a High Frequency World
David Easley, Marcos M. Lopez de Prado, Maureen O’Hara
http://www.stern.nyu.edu/cons/groups/content/documents/webasset/con_035928.pdfFebruary 16, 2015 at 10:45 am #206409LawrenceKeymasterHow to Game Your Sharpe Ratio
Richard Spurgin, Clark University 2001
The Journal of Alternative Investments Winter 2001
* the official version is now only available from IIJ at $99 if you are purchasing individual articleI have a printed copy on hand, not sure if it is okay to scan it and host it here (my guess is not).
If you can find it from the library, do that instead.Anyone can find an online version please post the link.
This paper is pretty much the cornerstone for all the MBAs and Quant-minded individuals who have no ability to beat the markets but good at scheming people. Not so coincidentally, several years after the paper was published, all kinds of cover-up scheme leading to blow up of financial firms that are exposed, were using one form or another the strategy explained in this paper to make these firms’ trading returns look great before they bite the dust.
In short, several special form of derivatives are employed to smooth out the performance and boost sharpe ratio significantly. This makes the fund looks good on paper but in reality the smoothed out sharpe ratio has just hidden the real inherited risk that the fund is taking. When sh#t hit the fan, the fund is still wiped out as quickly as it should be.
p.s. another discovery from my weekend clean up
February 20, 2015 at 11:53 am #206410Minty415ParticipantDoes the Tail Wag the Dog? How Options Affect Stock Price Dynamics
December 13, 2014
David C. Yang [Harvard University] and Fan Zhang [PrepScholar Education]http://scholar.harvard.edu/files/dcyang/files/dcyang_jmp_web_0.pdf
April 8, 2015 at 9:21 am #206412LawrenceKeymasterWhy Do Markets Crash? Bitcoin Data Offers Unprecedented Insights
by Jonathan Donier and Jean-Philippe Bouchaud
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2583743June 17, 2015 at 9:16 pm #206415MidKnightMember(Why) Does Order Flow Forecast Exchange Rates
by Della Corte et al
http://www.cafr-sif.com/2011/paper/2-Does%20Order%20Flow%20Forecast%20Exchange%20Rates.pdfAugust 28, 2015 at 2:20 pm #206425LawrenceKeymasterGlobal Liquidity, Capital Inflows and House Prices in ASEAN Economies
by Matthew S. Yiu and Sahminan Sahminan
http://www.hkimr.org/uploads/publication/420/wp-no-14_2015-final-.pdfAugust 28, 2015 at 2:26 pm #206426LawrenceKeymasterChina’s Capital and “Hot” Money Flows: An Empirical Investigation
by Tao Cai, Vinh Q. T. Dang and Jennifer Lai
http://www.hkimr.org/uploads/publication/422/wp-no-16_2015-final-.pdfOctober 11, 2016 at 10:52 am #206432LawrenceKeymasterArticle on bond markets
http://www.bloomberg.com/news/articles/2016-10-11/nobel-prize-winner-wants-you-to-stop-treating-bonds-like-stocksThe original technical paper by Bengt Holmstrom
http://www.bis.org/publ/work479.pdfIf what he says is correct, all government bonds including the US ones, should be priced at most 50% of their face values like a pawn shop. XD
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