Readings in Finance (Computational and Otherwise)
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.
Order Imbalance, Liquidity, and Market Returns.
Chordia, Roll, Subrahmanyam.
Trading Volume and Cross-Autocorrelations in Stock Returns.
Week of Oct 31 2005 Do Investor Sophistication and Trading Experience
Eliminate Behavioral Biases in Financial Markets? Feng, Seasholes.
Location Effects and Portfolio Tilting.
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.
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.
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
PROP QUANT SUMMER SPEAKER SERIES Individual Investor Trading
and Stock Returns. , Speaker Gideon Saar, Cornell.
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
Week of Oct 16 2006: Short Trades Which Shorts are Informed? Boehmer, Jones and
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
The Intuition Behind Black-Litterman
A STEP-BY-STEP GUIDE TO THE BLACK-LITTERMAN MODEL:
Incorporating user-specified confidence levels
Three Years of
Week of Dec 4 2006: Transaction Costs and Market Impact Models
Algorithm Selection: A Quantitative Approach
Implementation Shortfall --- One Objective, Many Algorithms
Adaptive Arrival Price
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?
Beyond the Numbers: An Analysis of Optimistic and Pessimistic
Language in Earnings Press Releases
Davis, Pigor, Sedor.
Annual Report Readability, Current Earnings, and
A Boosting-based System for Text Categorization
Week of Jan 15 2007: Liquidity Risk
Future Liquidity, Present Value:
Measuring and Pricing Liquidity Risk
Surprise! It's Illiquid:
The January 2006 Tokyo Stock Exchange Shutdown
Illiquidity and stock returns:
cross-section and time-series effects
Liquidity Risk and Expected Stock Returns.
Asset pricing with liquidity risk.