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.