Quantitative Trading Literature

Revision for “Quantitative Trading Literature” created on April 15, 2015 @ 16:25:52

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Quantitative Trading Literature
We collect a list of papers that are useful for learning about algorithmic trading and fostering further research.
<h1 id="general">General</h1>
<li><a class="ext-link" href="http://numericalmethod.com/blog/publications/"><span class="icon">​</span>Numerical Method Inc. publications</a></li>
<li>An Introduction to High-Frequency Finance. Ramazan Gençay, Michel Dacorogna, Ulrich A. Muller, Olivier Pictet, Richard Olsen. Academic Press. 2001.</li>
<li>Advanced Trading Rules, Second Edition. Emmanual Acar (Editor), Stephen Satchell (Editor). Butterworth-Heinemann; 2nd edition (June 19, 2002).</li>
<h1 id="pairstrading">Pairs Trading</h1>
<li>A New Approach to Modeling and Estimation for Pairs Trading, Binh Do, Robert Faff, Kais Hamza, Working Paper, May 29, 2006.</li>
<li>Pairs Trading – A Cointegration Approach. Arlen David Schmidt, Finance Honors Thesis, University of Sydney, November 2008, Pages 1–130.</li>
<li>Does Simple Pairs Trading Still Work? Binh Do , Robert Faff. Financial Analysts Journal. July/August 2010, Vol. 66, No. 4, pp: 83–95.</li>
<li>Implementation of Pairs Trading Strategies. Øyvind Foshaug. Faculty of Science. Koortweg- de Vries Institute for Mathematics. Master of Science Thesis. 2010.</li>
<li>Pairs trading. Elliott, van der Hoek, and Malcolm. Quantitative Finance, 2005.</li>
<h1 id="meanreversion">Mean Reversion</h1>
<li>When are contrarian profits due to stock market overreaction? Andrew W. Lo and A. Craig MacKinlay. Review of Financial Studies 3(1990), 175–206.</li>
<li>Identifying small mean-reverting portfolios. Alexandre D’Aspremont. Quantitative Finance, Volume 11 Issue 3 2011.</li>
<li>Statistical Arbitrage in the U.S. Equities Market. Marco Avellaneda and Jeong-Hyun Lee. July 11, 2008.</li>
<li>Optimal Pairs Trading: A Stochastic Control Approach. Mudchanatongsuk, S., Primbs, J.A., Wong, W. Dept. of Manage. Sci. & Eng., Stanford Univ., Stanford, CA.</li>
<li>Arbitrage Under Power. Michael Boguslavsky, Elena Boguslavskaya. 2004.</li>
<li>Identifying Small Mean Reverting Portfolios. Alexandre d’Aspremont. 2008.</li>
<h1 id="Markovmodels">Markov Models</h1>
<li>Algorithmic Trading: Hidden Markov Models on Foreign Exchange Data. Patrik Idvall, Conny Jonsson. University essay from Linköpings universitet/Matematiska institutionen; Linköpings universitet/Matematiska institutionen. 2008.</li>
<li>Markov Switching Regimes in a Monetary Exchange Rate Model, Frömmel, Michael, MacDonald, Ronald, Menkhoff, Lukas, Economic Modelling, Vol. 22 (2005), 3, Pages 485–502.</li>
<h1 id="Bayesian">Bayesian</h1>
<li>Bayesian Adaptive Trading with a Daily Cycle. Robert Almgren, Julian Lorenz. The Journal of Trading. Fall 2006, Vol. 1, No. 4: pp. 38-46.</li>
<li>On the short-term predictability of exchange rates: A BVAR time-varying parameters approach. Nicholas Sarantis. Journal of Banking & Finance, Volume 30, Issue 8, August 2006, Pages 2257-2279.</li>
<h1 id="timeseriesanalysis">Time Series Analysis</h1>
<li>Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance. Michel Fliess. Cédric Join. Published – Presented, IAR-ACD08 (23rd IAR Workshop on Advanced Control and Diagnosis), 2008, Coventry, United Kingdom.</li>
<li>A Trading Strategy Based on the Lead-Lag Relationship between the FTSE 100 Spot Index and the LIFFE Traded FTSE Futures Contract. Brooks, C., A.G. Rew and S. Ritson. International Journal of Forecasting 17, 31-44. 2001.</li>
<li>Basket trading under co-integration with the logistic mixture autoregressive model. Xixin Cheng, Philip L. H. Yu, W. K. Li. Quantitative Finance, 1469-7696, First published on 09 December 2010.</li>
<li>Towards a non-linear trading strategy for financial time series. Fernanda Strozzia, and José-Manuel Zaldívar Comenges. Chaos, Solitons & Fractals. Volume 28, Issue 3, May 2006, Pages 601-615.</li>
<h1 id="trendfollowingmomentum">Trend Following/Momentum</h1>
<li>A Test of Momentum Trading Strategies in Foreign Exchange Markets: Evidence from the G7, Robert J. Bianchi, Michael E. Drew, and John Polichronis, Global Business and Economics Review, Vol. 7 (2005), 2-3, Pages 155–179.</li>
<li>A Momentum Trading Strategy Based on the Low Frequency Component of the Exchange Rate, Richard D. F. Harris and Fatih Yilmaz, Journal of Banking and Finance, 33 (2009), 9, Pages 1575–1585.</li>
<li><a class="ext-link" href="http://momentum.behaviouralfinance.net/"><span class="icon">​</span>collection of papers on momentum</a></li>
<li>Thou shalt buy and hold. Albert Shiryaeva, Zuoquan Xu, Xun Yu Zhoubc. Quantitative Finance. Volume 8, Issue 8 December 2008 , pages 765 – 776.</li>
<li>Optimal Trend Following Trading Rules. Min Dai, Qing Zhang, Qiji Jim Zhu. 2011.</li>
<h1 id="technicalindicators">Technical Indicators</h1>
<li>A dynamic analysis of moving average rules. Carl Chiarella, Xue-Zhong He, and Cars Hommes. Journal of Economic Dynamics and Control, Volume 30, Issues 9-10, September-October 2006, Pages 1729-1753.</li>
<li>Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan. Wing-Keung Wong, Jun Du, Terence Tai-Leung Chong. 2005.</li>
<li>A comparison of MA and RSI returns with exchange rate intervention. Thomas C. Shik, Terence Tai-Leung Chong. Applied Economics Letters, Volume 14, Issue 4 – 6 April 2007 , pages 371 – 383.</li>
<h1 id="newsannouncements">News & Announcements</h1>
<li>Does beta react to market conditions? Estimates of ‘bull’ and ‘bear’ betas using a nonlinear market model with an endogenous threshold parameter. George Woodward, Heather Anderson, 2009. Journal of Quantitative Finance. March, 2009.</li>
<li>Short-term market reaction after extreme price changes of liquid stocks. Adám G. Zawadowski, György Andor, János Kertész, 2007. Journal of Quantitative Finance. May, 2007.</li>
<h1 id="misc">Misc</h1>
<li>Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model. Yang K. Lu, Pierre Perron. 2009. Journal of Empirical Finance, Elsevier, vol. 17(1), pages 138-156.</li>
<li>Predictability of nonlinear trading rules in the U.S. stock market. Terence Tai-Leung Chonga, Tau-Hing Lama. 2010. Journal of Quantitative Finance. Issue 9, Volume 10, 2010.</li>
<li>A Reality Check for Data Snooping. Halbert White. 2000. Econometrica. Issue 5, Volume 68, 2000.</li>
<li>A Test for Superior Predictive Ability. Peter Reinhard Hansen. 2005. Brown Univ. Dept. of Economics Working Paper No. 01-06.</li>
<h1 id="riskmanagement">Risk Management</h1>
<li>Extreme Value Theory and Fat Tails in Equity Markets. Blake LeBaron and Ritirupa Samanta. May, 2004.</li>

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