Quant Mashup - @Quantivity [Academic Paper] Optimal Delta Hedging for Options [@Quantivity] The “practitioner Black-Scholes delta” for hedging options is a delta calculated from the Black-Scholes-Merton model (or one of its extensions) with the volatility parameter set equal to the implied volatility. As has been pointed out by a number of researchers, this delta does not minimize the(...) [Academic Paper] Positive Skewness, Anti-leverage, Reverse Volatility Asymmetry, Short Sale Constraints: Chinese Markets [@Quantivity] There are some statistical anomalies in the Chinese stock market, i.e., positive return skewness, anti-leverage effect (positive returns induce higher volatility than negative returns); and reverse volatility asymmetry (contemporaneous return-volatility correlation is positive). In this paper, we(...) [Academic Paper] Measuring Tail Risks at High Frequency [@Quantivity] Measuring Tail Risks at High Frequency [Academic Paper] Pairwise Correlations [@Quantivity] Pairwise Correlations [Academic Paper] Value, Size, Momentum and the Average Correlation of Stock Returns [@Quantivity] Value, Size, Momentum and the Average Correlation of Stock Returns [Academic Paper] The Factor Structure of Time-Varying Discount Rates [@Quantivity] The Factor Structure of Time-Varying Discount Rates [Academic Paper] Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk [@Quantivity] Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk [Academic Paper] Benchmarking Benchmarks: Much Ado About Nothing [@Quantivity] Benchmarking Benchmarks: Much Ado About Nothing [Academic Paper] Generalized Recovery [@Quantivity] Generalized Recovery [Academic Paper] Tail-Risk Protection Trading Strategies [@Quantivity] Tail-Risk Protection Trading Strategies [Academic Paper] Basis-Momentum [@Quantivity] Basis-Momentum [Academic Paper] Option Return Predictability [@Quantivity] Option Return Predictability [Academic Paper] Low Risk Anomalies? [@Quantivity] Low Risk Anomalies? [Academic Paper] In Search of Alpha - Trading on Limited Investor Attention [@Quantivity] In Search of Alpha - Trading on Limited Investor Attention [Academic Paper] Average Skewness Matters! [@Quantivity] Average Skewness Matters! [Academic Paper] Ninety Years of Media Coverage and the Cross-Section of Stock Returns [@Quantivity] Ninety Years of Media Coverage and the Cross-Section of Stock Returns [Academic Paper] Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns [@Quantivity] Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns [Academic Paper] Stop-Loss Strategies with Serial Correlation, Regime Switching, and Transactions Costs [@Quantivity] Stop-loss strategies are commonly used by investors to reduce their holdings in risky assets if prices or total wealth breach certain pre-specified thresholds. We derive closed-form expressions for the impact of stop-loss strategies on asset returns that are serially correlated, regime switching,(...) [Academic Paper] Dissecting Investment Strategies in the Cross Section and Time Series [@Quantivity] We contrast the time-series and cross-sectional performance of three popular investment strategies: carry, momentum and value. While considerable research has examined the performance of these strategies in either a directional or cross-asset settings, we offer some insights on the market conditions(...) [Academic Paper] Rethinking Performance Evaluation [@Quantivity] We show that the standard equation-by-equation OLS used in performance evaluation ignores information in the alpha population and leads to severely biased estimates for the alpha population. We propose a new framework that treats fund alphas as random effects. Our framework allows us to make(...) [Academic Paper] Note on Correlation of First Differences of Averages in a Random Chain [@Quantivity] Note on Correlation of First Differences of Averages in a Random Chain [Academic Paper] Multi-Scale and Hidden Resolution Time Series Models [@Quantivity] Multi-Scale and Hidden Resolution Time Series Models [Academic Paper] Multi-scale Random Field Models [@Quantivity] Multi-scale Random Field Models [Academic Paper] Multi-Scale Stochastic Modeling of Dynamics of a Time-Averaged Variable [@Quantivity] Multi-Scale Stochastic Modeling of Dynamics of a Time-Averaged Variable [Academic Paper] Risk Premia: Asymmetric Tail Risks and Excess Returns [@Quantivity] Risk Premia: Asymmetric Tail Risks and Excess Returns [Academic Paper] Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling [@Quantivity] Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling [Academic Paper] Anchoring Adjusted Capital Asset Pricing Model [@Quantivity] Anchoring Adjusted Capital Asset Pricing Model [Academic Paper] Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets [@Quantivity] Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets [Academic Paper] Over or Under? Momentum, Idiosyncratic Volatility and Overreaction [@Quantivity] Over or Under? Momentum, Idiosyncratic Volatility and Overreaction [Academic Paper] Networks of Equities in Financial Markets [@Quantivity] Networks of Equities in Financial Markets [Academic Paper] Network Perspective of the Stock Market [@Quantivity] Network Perspective of the Stock Market [Academic Paper] Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships [@Quantivity] Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships [Academic Paper] Evolution of Worldwide Stock Markets, Correlation Structure and Correlation Based Graphs [@Quantivity] Evolution of Worldwide Stock Markets, Correlation Structure and Correlation Based Graphs [Academic Paper] Equity Returns at Turn of the Month [@Quantivity] Equity Returns at Turn of the Month [Academic Paper] Momentum and Risk Adjustment [@Quantivity] Momentum and Risk Adjustment [Academic Paper] Market Condition and Momentum [@Quantivity] Market Condition and Momentum [Academic Paper] Extreme Events in Stock Market Fundamental Factors [@Quantivity] Extreme Events in Stock Market Fundamental Factors [Academic Paper] Measuring Multiscaling in Financial Time Series [@Quantivity] Measuring Multiscaling in Financial Time Series [Academic Paper] Understanding Systematic Risk: A High-Frequency Approach [@Quantivity] Understanding Systematic Risk: A High-Frequency Approach [Academic Paper] Robust Gaussian Filtering [@Quantivity] Robust Gaussian Filtering [Academic Paper] k-Shape: Efficient and Accurate Clustering of Time Series [@Quantivity] k-Shape: Efficient and Accurate Clustering of Time Series [Academic Paper] Robeco: Expected Returns 2016 - 2020 (via @ZipperTheory) [@Quantivity] Robeco: Expected Returns 2016 - 2020 (via @ZipperTheory) [Academic Paper] Acceleration Effect and Gamma Factor in Asset Pricing (improved Momentum) [@Quantivity] Acceleration Effect and Gamma Factor in Asset Pricing (improved Momentum) [Academic Paper] Supply and Demand of S&P 500 Put Options [@Quantivity] Supply and Demand of S&P 500 Put Options [Academic Paper] Low-Beta Investment Strategies [@Quantivity] Low-Beta Investment Strategies [Academic Paper] Persistency of the Momentum Effect: The Role of Consistent Winners and Losers [@Quantivity] Persistency of the Momentum Effect: The Role of Consistent Winners and Losers [Academic Paper] Principal Component Analysis of High Frequency Data [@Quantivity] Principal Component Analysis of High Frequency Data [Academic Paper] Large-Dimensional Factor Modeling Based on High-Frequency Observations [@Quantivity] Large-Dimensional Factor Modeling Based on High-Frequency Observations [Academic Paper] Passive Hedge Funds (via @carlfischer101) [@Quantivity] Passive Hedge Funds (via @carlfischer101) [Academic Paper] Dynamic Mode Decomposition for Financial Trading Strategies [@Quantivity] Dynamic Mode Decomposition for Financial Trading Strategies Page12
[Academic Paper] Optimal Delta Hedging for Options [@Quantivity] The “practitioner Black-Scholes delta” for hedging options is a delta calculated from the Black-Scholes-Merton model (or one of its extensions) with the volatility parameter set equal to the implied volatility. As has been pointed out by a number of researchers, this delta does not minimize the(...)
[Academic Paper] Positive Skewness, Anti-leverage, Reverse Volatility Asymmetry, Short Sale Constraints: Chinese Markets [@Quantivity] There are some statistical anomalies in the Chinese stock market, i.e., positive return skewness, anti-leverage effect (positive returns induce higher volatility than negative returns); and reverse volatility asymmetry (contemporaneous return-volatility correlation is positive). In this paper, we(...)
[Academic Paper] Measuring Tail Risks at High Frequency [@Quantivity] Measuring Tail Risks at High Frequency
[Academic Paper] Value, Size, Momentum and the Average Correlation of Stock Returns [@Quantivity] Value, Size, Momentum and the Average Correlation of Stock Returns
[Academic Paper] The Factor Structure of Time-Varying Discount Rates [@Quantivity] The Factor Structure of Time-Varying Discount Rates
[Academic Paper] Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk [@Quantivity] Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk
[Academic Paper] Benchmarking Benchmarks: Much Ado About Nothing [@Quantivity] Benchmarking Benchmarks: Much Ado About Nothing
[Academic Paper] Tail-Risk Protection Trading Strategies [@Quantivity] Tail-Risk Protection Trading Strategies
[Academic Paper] In Search of Alpha - Trading on Limited Investor Attention [@Quantivity] In Search of Alpha - Trading on Limited Investor Attention
[Academic Paper] Ninety Years of Media Coverage and the Cross-Section of Stock Returns [@Quantivity] Ninety Years of Media Coverage and the Cross-Section of Stock Returns
[Academic Paper] Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns [@Quantivity] Dash for Cash: Month-End Liquidity Needs and the Predictability of Stock Returns
[Academic Paper] Stop-Loss Strategies with Serial Correlation, Regime Switching, and Transactions Costs [@Quantivity] Stop-loss strategies are commonly used by investors to reduce their holdings in risky assets if prices or total wealth breach certain pre-specified thresholds. We derive closed-form expressions for the impact of stop-loss strategies on asset returns that are serially correlated, regime switching,(...)
[Academic Paper] Dissecting Investment Strategies in the Cross Section and Time Series [@Quantivity] We contrast the time-series and cross-sectional performance of three popular investment strategies: carry, momentum and value. While considerable research has examined the performance of these strategies in either a directional or cross-asset settings, we offer some insights on the market conditions(...)
[Academic Paper] Rethinking Performance Evaluation [@Quantivity] We show that the standard equation-by-equation OLS used in performance evaluation ignores information in the alpha population and leads to severely biased estimates for the alpha population. We propose a new framework that treats fund alphas as random effects. Our framework allows us to make(...)
[Academic Paper] Note on Correlation of First Differences of Averages in a Random Chain [@Quantivity] Note on Correlation of First Differences of Averages in a Random Chain
[Academic Paper] Multi-Scale and Hidden Resolution Time Series Models [@Quantivity] Multi-Scale and Hidden Resolution Time Series Models
[Academic Paper] Multi-Scale Stochastic Modeling of Dynamics of a Time-Averaged Variable [@Quantivity] Multi-Scale Stochastic Modeling of Dynamics of a Time-Averaged Variable
[Academic Paper] Risk Premia: Asymmetric Tail Risks and Excess Returns [@Quantivity] Risk Premia: Asymmetric Tail Risks and Excess Returns
[Academic Paper] Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling [@Quantivity] Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling
[Academic Paper] Anchoring Adjusted Capital Asset Pricing Model [@Quantivity] Anchoring Adjusted Capital Asset Pricing Model
[Academic Paper] Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets [@Quantivity] Idiosyncratic Volatility, Momentum, Liquidity, and Expected Stock Returns in Developed and Emerging Markets
[Academic Paper] Over or Under? Momentum, Idiosyncratic Volatility and Overreaction [@Quantivity] Over or Under? Momentum, Idiosyncratic Volatility and Overreaction
[Academic Paper] Networks of Equities in Financial Markets [@Quantivity] Networks of Equities in Financial Markets
[Academic Paper] Network Perspective of the Stock Market [@Quantivity] Network Perspective of the Stock Market
[Academic Paper] Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships [@Quantivity] Emergence of Statistically Validated Financial Intraday Lead-Lag Relationships
[Academic Paper] Evolution of Worldwide Stock Markets, Correlation Structure and Correlation Based Graphs [@Quantivity] Evolution of Worldwide Stock Markets, Correlation Structure and Correlation Based Graphs
[Academic Paper] Equity Returns at Turn of the Month [@Quantivity] Equity Returns at Turn of the Month
[Academic Paper] Extreme Events in Stock Market Fundamental Factors [@Quantivity] Extreme Events in Stock Market Fundamental Factors
[Academic Paper] Measuring Multiscaling in Financial Time Series [@Quantivity] Measuring Multiscaling in Financial Time Series
[Academic Paper] Understanding Systematic Risk: A High-Frequency Approach [@Quantivity] Understanding Systematic Risk: A High-Frequency Approach
[Academic Paper] k-Shape: Efficient and Accurate Clustering of Time Series [@Quantivity] k-Shape: Efficient and Accurate Clustering of Time Series
[Academic Paper] Robeco: Expected Returns 2016 - 2020 (via @ZipperTheory) [@Quantivity] Robeco: Expected Returns 2016 - 2020 (via @ZipperTheory)
[Academic Paper] Acceleration Effect and Gamma Factor in Asset Pricing (improved Momentum) [@Quantivity] Acceleration Effect and Gamma Factor in Asset Pricing (improved Momentum)
[Academic Paper] Supply and Demand of S&P 500 Put Options [@Quantivity] Supply and Demand of S&P 500 Put Options
[Academic Paper] Persistency of the Momentum Effect: The Role of Consistent Winners and Losers [@Quantivity] Persistency of the Momentum Effect: The Role of Consistent Winners and Losers
[Academic Paper] Principal Component Analysis of High Frequency Data [@Quantivity] Principal Component Analysis of High Frequency Data
[Academic Paper] Large-Dimensional Factor Modeling Based on High-Frequency Observations [@Quantivity] Large-Dimensional Factor Modeling Based on High-Frequency Observations
[Academic Paper] Passive Hedge Funds (via @carlfischer101) [@Quantivity] Passive Hedge Funds (via @carlfischer101)
[Academic Paper] Dynamic Mode Decomposition for Financial Trading Strategies [@Quantivity] Dynamic Mode Decomposition for Financial Trading Strategies