量化交易领域有哪些经典学术论文？ - 知乎4449被浏览76750分享邀请回答/sol3/papers.cfm?abstract_id=9085693. Merton ICAPM:Merton, R. C. (1973). An intertemporal capital asset pricing model.Econometrica: Journal of the Econometric Society, 867-887.4. Fama French 3 Factor Model:4.1 Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56.4.2 Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.5. Carhart 4 Factor Model:Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.6. Fama French 5 Factor Model:Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model.Journal of Financial Economics, 116(1), 1-22.注：AQR出品的几个factor （QMJ等）会在第二部分提及。7. Good Literature Reviews: Harvey, C. R., Liu, Y., & Zhu, H. (2014). ... And the cross-section of expected returns (No. w20592). National Bureau of Economic Research.这篇文章收集了文献中的300多个factor（当然大多数都不make sense）加以分析第二部分：1. AQR部分1.1 Quality Minus Junk:Asness, C., Frazzini, A., & Pedersen, L. H. (2013). Quality minus junk.Available at SSRN.1.2 Buffet's Alpha:Frazzini, A., Kabiller, D., & Pedersen, L. H. (2013). Buffett's Alpha (No. w19681). National Bureau of Economic Research.1.3 Time Series Momentum:Moskowitz, T. J., Ooi, Y. H., & Pedersen, L. H. (2012). Time series momentum. Journal of Financial Economics, 104(2), 228-250.1.4 Value Momentum everywhere: Asness, C. S., Moskowitz, T. J., & Pedersen, L. H. (2013). Value and momentum everywhere. The Journal of Finance, 68(3), 929-985.2. 非AQR部分第三部分：IMPORTANT NOTICE： 针对本问题，这部分提到的策略只是作为文献回顾，并不提供任何投资建议！缘起：记得14年夏初某会议后的dinner上，某教授在喝的微醺大概说了以下的话（时间久远，大致的意思如下）：my strategies，even monkey can make millions当时同桌的还有Glasserman大神。我就借用“我的策略，Monkey也能赚钱”系列搜集一些脑洞大开的交易策略这类型的文章常见于 （iijournals）旗下的几大期刊，包括：Journal of Portfolio Management, Journal of Fixed Income, Journal of Derivatives等等。其中特别是Journal of Portfolio Management经常会有一些高质量的文章。3.1 Short volatility 策略缘起：我在回答之后，有知友私信我：“听说VIX年化收益率很高blabla”。正如Whaley教授在提到的，很多retail investor在投资VIX相关ETF的时候缺乏对这些ETF的基本认知，甚至并不了解标的物。一个在SSRN（还有seeking alpha上面）中泛滥的策略是所谓的short VIX策略。一个简单的实现办法是buy and hold inverse VIX ETF/ETN，比如XIV。这是XIV （inverse VIX ETN）从年的走势图:XIV的回报率：XIV是很liquid的ETN，B&H XIV的策略很容易实现。而且考虑到XIV很高的institutional ownership，似乎这是个不错的策略。But, be cautious!这个简单的策略的risk exposure是什么？如果attribute到factor model，他的factor是carry trade吗？为什么很多的retail investor 投资VIX相关ETF却损失很多？请看以下相关文献：相关文献：1. Whaley, R. E. (2013). Trading volatility: At what cost. Journal of Portfolio Management, 40(1), 95-108.2. Giot, P. (2005). Relationships between implied volatility indexes and stock index returns. The Journal of Portfolio Management, 31(3), 92-100.3. Whaley, R. E. (2000). The investor fear gauge. The Journal of Portfolio Management, 26(3), 12-17.3.2 预告：monkey's strategy for deep-in-the-money-option54629 条评论分享收藏感谢收起/zhi/people/726352 (二维码自动识别)28612 条评论分享收藏感谢收起查看更多回答2 个回答被折叠（）本站致力于发布最新最详细的大连数据报告，打造数字大连，宜居大连，环保大连。
> 量化交易领域经典的学术论文
分享一下知乎看到的非常不错的一篇总结量化交易领域经典的学术论文，从配对交易到回归到markov模型都有，也有趋势跟踪的，只可惜都是英文的，因为国外在这块的研究是远远领先于国内的，非常遗憾很少有高质量的中文的此类论文。我们也会陆续分享一些券商的量化研究报告。
如果感兴趣的领域也可以google或baidu（效果估计没那么好）搜索下找到这些论文下载就研究下，也可以使用我们的平台尝试下在A股的效果。
著作权归作者所有。
作者：郭小贤
来源：知乎
以下文献列表是Numerical Method Inc贡献的，我重新编辑整理了一下，其中不少与我收藏的重要文献重合，都是值得反复研读的。里面还有大家非常熟悉的Marco
Avellaneda，Andrew Lo等人。
An Introduction to High-Frequency Finance. Ramazan Gen?§ay, Michel Dacorogna, Ulrich A. Muller, Olivier Pictet, Richard Olsen. Academic Press. 2001.
Advanced Trading Rules, Second Edition. Emmanual Acar (Editor), Stephen Satchell (Editor). Butterworth-H 2nd edition (June 19, 2002).
Pairs Trading
Statistical Arbitrage in the U.S. Equities Market. Marco Avellaneda and Jeong-Hyun Lee. July 11, 2008.
A New Approach to Modeling and Estimation for Pairs Trading, Binh Do, Robert Faff, Kais Hamza, Working Paper, May 29, 2006.
Pairs Trading – A Cointegration Approach. Arlen David Schmidt, Finance Honors Thesis, University of Sydney, November 2008, Pages 1–130.
Does Simple Pairs Trading Still Work? Binh Do , Robert Faff. Financial Analysts Journal. July/August 2010, Vol. 66, No. 4, pp: 83–95.
Implementation of Pairs Trading Strategies. ?yvind Foshaug. Faculty of Science. Koortweg- de Vries Institute for Mathematics. Master of Science Thesis. 2010.
Pairs trading. Elliott, van der Hoek, and Malcolm. Quantitative Finance, 2005.
Optimal Pairs Trading: A Stochastic Control Approach. Mudchanatongsuk, S., Primbs, J.A., Wong, W. Dept. of Manage. Sci. & Eng., Stanford Univ., Stanford, CA.
Mean Reversion
Identifying small mean-reverting portfolios. Alexandre D’Aspremont. Quantitative Finance, Volume 11 Issue 3 2011.
Arbitrage Under Power. Michael Boguslavsky, Elena Boguslavskaya. 2004.
Identifying Small Mean Reverting Portfolios. Alexandre d’Aspremont. 2008.
Markov Models
Algorithmic Trading: Hidden Markov Models on Foreign Exchange Data. Patrik Idvall, Conny Jonsson. University essay from Link?pings universitet/Matem Link?pings
universitet/Matematiska institutionen. 2008.
Markov Switching Regimes in a Monetary Exchange Rate Model, Fr?mmel, Michael, MacDonald, Ronald, Menkhoff, Lukas, Economic Modelling, Vol. 22 (2005), 3, Pages 485–502.
Bayesian Adaptive Trading with a Daily Cycle. Robert Almgren, Julian Lorenz. The Journal of Trading. Fall 2006, Vol. 1, No. 4: pp. 38-46.
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
Time Series Analysis
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.
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.
Basket trading under co-integration with the logistic mixture autoregressive model. Xixin Cheng, Philip L. H. Yu, W. K. Li. Quantitative Finance, , First published on
09 December 2010.
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.
Trend Following/Momentum
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.
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
Thou shalt buy and hold. Albert Shiryaeva, Zuoquan Xu, Xun Yu Zhoubc. Quantitative Finance. Volume 8, Issue 8 December 2008 , pages 765 – 776.
Optimal Trend Following Trading Rules. Min Dai, Qing Zhang, Qiji Jim Zhu. 2011.
Technical Indicators
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,
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.
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.
News & Announcements
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,
Journal of Quantitative Finance. March, 2009.Short-term market reaction after extreme price changes of liquid stocks. Adám G. Zawadowski, Gy?rgy Andor, János Kertész, 2007. Journal
of Quantitative Finance. May, 2007.
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.
When are contrarian profits due to stock market overreaction? Andrew W. Lo and A. Craig MacKinlay. Review of Financial Studies 3(1990), 175–206.
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.
A Reality Check for Data Snooping. Halbert White. 2000. Econometrica. Issue 5, Volume 68, 2000.
A Test for Superior Predictive Ability. Peter Reinhard Hansen. 2005. Brown Univ. Dept. of Economics Working Paper No. 01-06.Risk ManagementExtreme Value Theory and Fat Tails in
Equity Markets. Blake LeBaron and Ritirupa Samanta. May, 2004.
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