Readings in Finance (Computational and Otherwise)
Michael Kearns

Over a several-year period, I ran an occasional reading group in finance with a computational flavor, first at Lehman Brothers and then at Bank of America. Here is a collection of links and papers to some of the research we examined.


Links to Some (Much) Older Material

  • Some Machine Learning Readings
  • Some Multiplicative Update Readings


    Week of Sep 26 2005

  • Evolutionary Reinforcment Learning in FX Order Book and Order Flow Analysis. Bates, Dempster, Romahi.

    Week of Oct 3 2005

  • An Investigation of the Informational Role of Short Interest in the NASDAQ Market. Ramesh, Thiagarajan, Balachandran.

    Week of Oct 10 2005

  • Hedge Funds: Risk and Return. Malkiel, Saha.
  • Historical Hedge Fund Returns Fairly Represent Performance: Malkiel-Saha Fund Paper Flawed. Van, Song.
  • Hedge-Fund Leaders Fire Back After Study Questions Returns. Patterson, WSJ.
  • Style Analysis of Hedge Fund Returns: Actual Versus Self-Proclaimed. Ben-Dor, Dynkin, Gould.

    Week of Oct 24 2005

  • Order Imbalance and Individual Stock Returns. Chordia, Subrahmanyam.
  • Order Imbalance, Liquidity, and Market Returns. Chordia, Roll, Subrahmanyam.
  • Trading Volume and Cross-Autocorrelations in Stock Returns. Chrodia, Swaminathan.

    Week of Oct 31 2005

  • Do Investor Sophistication and Trading Experience Eliminate Behavioral Biases in Financial Markets? Feng, Seasholes.
  • Location Effects and Portfolio Tilting. Feng, Seasholes.
  • A Profile of Individual Investors in an Emerging Stock Market. Feng, Seasholes.
  • Correlated Trading and Location. Feng, Seasholes

    Week of Nov 3 2005

  • The Informational Content of an Open Limit Order Book. Cao, Hansch, Wang.

    Week of Nov 21 2005

  • Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications. Biais, Glosten, Spatt.

    Week of Nov 28 2005

  • Do Betas React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with Endogenous Threshold Parameter. Woodward, Anderson.

    Week of Dec 5 2005

  • Chapters from "Neoclassical Finance". Ross.

    Week of Dec 12 2005

  • (In)Stability Properties of Limit Order Dynamics. Even-Dar, Kakade, Kearns, Mansour.

    Week of Dec 19 2005

  • An Introduction to the Kalman Filter. Bishop, Welch.

    Week of Jan 9 2006

  • Filtering in Finance. Javaheri, Lautier, Galli.

    Week of Jan 16 2006

  • The Price Dynamics of Common Trading Strategies. Farmer, Joshi.

    Week of Jan 23 2006

  • On-Line Portfolio Selection Using Multiplicative Updates. Helmbold, Schapire, Singer, Warmuth.
  • Risk-Sensitive Online Learning. Even-Dar, Kearns, Wortman.

    Week of Jan 30 2006

  • A Market-Induced Mechanism for Stock Pinning. Avellaneda, Lipkin.

    Week of Feb 6 2006

  • Information-Based Trading in the Junk Bond Market. Zhou.

    Week of Feb 20 2006

  • Underreaction, Trading Volume, and Post-Earnings Announcement Drift. Choi, Kim.

    Week of Feb 27 2006

  • Information Uncertainty and Stock Returns. Zhang.

    Week of Mar 20 2006

  • Options Returns and the Cross-Sectional Predictability of Implied Volatility. Saretto.

    Week of Mar 27 2006

  • Fight the Fed Model. Asness.
  • Predicting Stock Returns Using Industry-Relative Firm Characteristics. Asness, Porter, Stevens.

    Week of Apr 17 2006

  • Fear and Greed in Financial Markets: A Clinical Study of Day-Traders. Lo, Repin, Steenbarger.

    Week of May 1 2006

  • Empirical Analysis of Limit Order Markets. Hollified, Miller, Sandas.

    Week of May 8 2006

  • Algorithms for Portfolio Management Based on the Newton Method. Agarwal, Hazan, Kale, Schapire.

    Week of May 22 2006

  • Order Flow and Prices. Boehmer, Wu.

    Week of June 19 2006

  • Does Trend Following Work On Stocks? Wilcox, Crittenden.

    Week of June 26 2006

  • Position Auctions. Varian.

    PROP QUANT SUMMER SPEAKER SERIES

  • Individual Investor Trading and Stock Returns. , Speaker Gideon Saar, Cornell.
  • Two-Sided Markets and Intertemporal Trade Clustering: Insights into Trading Motives. , Speaker Asani Sarkar, New York Federal Reserve..
  • Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market. , Speaker Ken Kavajecz, University of Wisconsin.
  • Information Acquistion in a Limit Order Market. , Speaker Christine Parlour, Berkeley.

    Week of Sep 18 2006

  • Market Maker Inventories and Stock Prices. Hendershott and Seasholes.

    Week of Sep 25 2006

  • How to Time the Commodity Market. Basu, Ooman and Stremme.

    Week of Oct 9 2006

  • Portfolio Optimization with Drawdown Constraints. Chekhlov, Uryasev and Zabarankin.

    Week of Oct 16 2006: Short Trades

  • Which Shorts are Informed? Boehmer, Jones and Zhang.
  • Can Short Sellers Predict Returns? Diether, Lee, Werner
  • Supply and Demand Shifts in the Shorting Market Cohen, Diether, Malloy.
  • Failure is an Option: Impediments to Short Selling and Options Prices Evans, Geczy, Musto, Reed.
  • Do Short Sale Transactions Precede Bad News Events? Daske, Richardson, Tuna.

    Week of Oct 31 2006: Regret to the Best vs. Regret to the Average

  • Paper to come...

    Week of Nov 13 2006: Black-Litterman

  • Global Portfolio Optimization Black, Litterman.
  • The Intuition Behind Black-Litterman Model Portfolios Goldman Sachs
  • A STEP-BY-STEP GUIDE TO THE BLACK-LITTERMAN MODEL: Incorporating user-specified confidence levels Idzorek.
  • Using the Black-Litterman Global Asset Allocation Model: Three Years of Practical Experience Goldman Sachs

    Week of Dec 4 2006: Transaction Costs and Market Impact Models

  • Algorithm Selection: A Quantitative Approach Yang, Jiu.
  • Implementation Shortfall --- One Objective, Many Algorithms
  • Adaptive Arrival Price Almgren, Lorenz.
  • Direct Estimation of Equity Market Impact Almgren, Thum, Hauptmann, Li.

    Week of Dec 12 2006: NLP and Quant Finance

  • Do Stock Market Investors Understand the Risk Sentiment of Corporate Annual Reports? Li.
  • Beyond the Numbers: An Analysis of Optimistic and Pessimistic Language in Earnings Press Releases Davis, Pigor, Sedor.
  • Annual Report Readability, Current Earnings, and Earnings Persistence Li.
  • BoosTexter: A Boosting-based System for Text Categorization Schapire, Singer.

    Week of Jan 15 2007: Liquidity Risk

  • Future Liquidity, Present Value: Measuring and Pricing Liquidity Risk Israelov.
  • Surprise! It's Illiquid: The January 2006 Tokyo Stock Exchange Shutdown Israelov.
  • Illiquidity and stock returns: cross-section and time-series effects Amihud.
  • Liquidity Risk and Expected Stock Returns. Pastor, Stambaugh.
  • Asset pricing with liquidity risk. Acharya, Pedersen.