Quant Mashup - Quantpedia New related paper to #12 - Pairs Trading with Stocks [Quantpedia]This paper tests the Pairs Trading strategy as proposed by Gatev, Goetzmann and Rouwenhorts (2006). It investigates if the profitability of pairs opening after an above average volume day in one of the assets are distinct in returns characteristics and if the introduction of a limit on the days the(...) New related paper to #20 - Volatility Risk Premium Effect [Quantpedia]#20 - Volatility Risk Premium Effect Authors: Israelov, Nielsen Title: Still Not Cheap: Portfolio Protection in Calm Markets Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2579232 Abstract: Recent equity volatility is near all-time lows. Option prices are also low. Many analysts suggest(...) New related paper to #21 - Momentum Effect in Commodities and #22 - Term Structure Effect in Commodities [Quantpedia]#21 - Momentum Effect in Commodities #22 - Term Structure Effect in Commodities Authors: Bakshi, Bakshi, Rossi Title: Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2589057 Abstract: We show that a model(...) Quantpedia's Master lists - Historical Data and Backtesting Software [Quantpedia]Dear visitors, We have launched a new subpage on Quantpedia.com which will contain master lists of tools for quantitative traders. We have started with a comprehensive lists of backtesting software and historical data sources: http://quantpedia.com/Links/Backtesters(...) New related paper to #5 - FX Carry Trade [Quantpedia]Investors based in different countries earn different returns on same strategies because the same risks covary differently with countries' stochastic discount factors (SDFs). We document that investors in low-interest-rate countries earn more than those in high-interest-rate countries on(...) New related paper to #21 - Momentum Effect in Commodities and #22 - Term Structure Effect in Commodities [Quantpedia]The aim of this paper is to investigate the impact of the financialization of commodity markets on the profitability of strategies based on momentum and term structure. The performance of an array of portfolios from double-sorts on non-commercial traders’ participation, historical returns and term(...) New related paper to #12 - Pairs Trading with Stocks [Quantpedia]Pairs trading is a well-acknowledged speculative investment strategy that is widely used in the financial markets, and distance method is the most commonly implemented pairs trading strategy by traders and hedge funds. However, this approach, which can be seen as a standard linear correlation(...) New related paper to #5 - FX Carry Trade and #8 - FX Momentum [Quantpedia]#5 - FX Carry Trade #8 - FX Momentum Authors: Olszweski, Zhou Title: Strategy diversification: Combining momentum and carry strategies within a foreign exchange portfolio Link: http://apps.olin.wustl.edu/faculty/zhou/O_Z_JHDF_2014.pdf Abstract: Hedge funds, such as managed futures, typically use two(...) New related paper to #12 - Pairs Trading with Stocks and #55 - Pairs Trading with Country ETFs [Quantpedia]#12 - Pairs Trading with Stocks #55 - Pairs Trading with Country ETFs Authors: Leung, Li Title: Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2222196 Abstract: Motivated by the industry practice of pairs trading, we(...) New related paper to #44 - Paired Switching [Quantpedia]#44 - Paired Switching Authors: Schizas, Thomakos Title: Market timing using asset rotation on exchange traded funds: a meta-analysis on trading performance Link: http://businessperspectives.org/journals_free/imfi/2013/imfi_en_2013_02cont_Schizas.pdf Abstract: The ultimate goal of any “paper”(...) New related paper to #100 - Trading WTI/BRENT Spread [Quantpedia]Related research paper has been included into existing free strategy review. #100 - Trading WTI/BRENT Spread Authors: Lubnau Title: Spread trading strategies in the crude oil futures market Link: http://econstor.eu/bitstream/10419/96520/1/783913591.pdf Abstract: This article explores whether common(...) New related paper to #33 - Post-Earnings Announcement Effect [Quantpedia]Related research paper has been included into existing free strategy review. #33 - Post-Earnings Announcement Effect Authors: Kwon, Kim Title: Investment Horizon of Shareholders and Post-Earnings-Announcement Drift Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2545189 Abstract: We(...) New related paper to FX strategies #5, #8 and #9 - A New Look at Currency Investing [Quantpedia]Related research paper has been included into existing free strategy reviews. #5 - FX Carry Trade #8 - FX Momentum #9 - FX Value – PPP Strategy Authors: Pojarliev, Levich Title: A New Look at Currency Investing Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2571391 Abstract: The authors(...) New related paper to #83 - Pre-Holiday Effect - The Pan-European Holiday Effect [Quantpedia]#83 - Pre-Holiday Effect Authors: Carchano, Tornero Title: The Pan-European Holiday Effect Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2556949 Abstract: The construction of a single European block in the context of financial markets has caused the different national stock exchanges of(...)