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量化交易领域有哪些经典学术论文?2016-05-09 16:33

量化交易领域有哪些经典学术论文?
2015-08-10
1. 我会陆续更新第三部分,每次争取更新文献中一种好玩简单的策略,相关的文章和可能的解释。
2. 评论区知友提到为什么独立AQR部分。最开始的原因其实只是出于个人喜好。。 不过我觉得AQR的文章和他们的投资风格很统一,而且他们文章相对更会关注到implementability。
3. 如果说很多这方面的学术论文,特别是实证研究的,有什么共同点的话,那么大概可以总结为两类:1. your alpha is some sort of beta;2. there is some alpha not captured by current factor model

如果一个交易策略真的赚钱,那么可能发表出来不是一个明智的决定。学界和业界的区别在于,业界会关注策略是否可以implement,而学界关注于理论的资产定价模型,很多论文中提到的策略是作为对理论模型的实证检验。所以按照题主提到的,相关的论文可以大致分为理论基础:资产定价模型和各种return anomaly (“alpha”)。

我觉得可以大致把文献分成下面三类:
  • 第一, 诸神们挖的坑:Asset Pricing Models - Alpha的理论基础
  • 第二,填坑系列
- Special Issue: Research from AQR
  • 第三,“我的策略,Monkey也能赚钱”系列 (整理中)
  • 第四,Performance Measures(马上更新)


第一部分:
1. CAPM:
1.1 Markowitz, H. (1952). Portfolio selection*. The journal of finance, 7(1), 77-91.
PORTFOLIO SELECTION
1.2 Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The review of economics and statistics, 13-37.
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets on JSTOR
1.3 Lintner, J. (1965). Security Prices, Risk, and Maximal Gains from Diversification*. The Journal of Finance, 20(4), 587-615.
SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION
1.4 Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk*. The journal of finance, 19(3), 425-442.
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK
1.5 Sharpe, W. F. (1963). A simplified model for portfolio analysis. Management science, 9(2), 277-293.
Management Science: INFORMS
2. Black CAPM:
2.1 Jensen M C, Black F, Scholes M S. The capital asset pricing model: Some empirical tests[J]. 1972.
papers.ssrn.com/sol3/pa
3. Merton ICAPM:
Merton, R. C. (1973). An intertemporal capital asset pricing model.Econometrica: Journal of the Econometric Society, 867-887.

An Intertemporal Capital Asset Pricing Model on JSTOR
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.
Common risk factors in the returns on stocks and bonds
4.2 Fama, E. F., & French, K. R. (1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.
The Cross-Section of Expected Stock Returns
5. Carhart 4 Factor Model:
Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.

On Persistence in Mutual Fund Performance
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.

A five-factor asset pricing model
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.

. . . and the Cross-Section of Expected Returns
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Institutional Investor Journals: Home (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Vix的值是如何计算来的?为什么每个相关ETF与其的改变差别很大 - bh lin 的回答回答之后,有知友私信我:“听说VIX年化收益率很高blabla”。

正如Whaley教授在papers.ssrn.com/sol3/pa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2011到2015年的走势图:

量化交易领域有哪些经典学术论文?


XIV的回报率:

量化交易领域有哪些经典学术论文?



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.
Relationships Between Implied Volatility Indexes and Stock Index Returns: The Journal of Portfolio Management
3. Whaley, R. E. (2000). The investor fear gauge. The Journal of Portfolio Management, 26(3), 12-17.
The Investor Fear Gauge: The Journal of Portfolio Management

3.2 预告:monkey's strategy for deep-in-the-money-option =========================================================
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。


General
  • An Introduction to High-Frequency Finance. Ramazan Gençay, Michel Dacorogna, Ulrich A. Muller, Olivier Pictet, Richard Olsen. Academic Press. 2001.
  • Advanced Trading Rules, Second Edition. Emmanual Acar (Editor), Stephen Satchell (Editor). Butterworth-Heinemann; 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. Øyvind 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 Linköpings universitet/Matematiska institutionen; Linköpings universitet/Matematiska institutionen. 2008.
  • Markov Switching Regimes in a Monetary Exchange Rate Model, Frömmel, Michael, MacDonald, Ronald, Menkhoff, Lukas, Economic Modelling, Vol. 22 (2005), 3, Pages 485–502.
Bayesian
  • 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 2257-2279.
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, 1469-7696, 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 1575–1585.
  • 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, Pages 1729-1753.
  • 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, 2009. Journal of Quantitative Finance. March, 2009.
  • 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.
Misc
  • 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 Management
  • Extreme Value Theory and Fat Tails in Equity Markets. Blake LeBaron and Ritirupa Samanta. May, 2004.
=========================================================
Quantitative Finance: Most Frequently Read Articles
这是《Quantitative Finance》杂志的 “最多阅读量” 文章排行榜。前十都很值得一看,并且都值得看不止一遍。
都是逻辑超级清晰并且 能!看!懂!的好文章。

这些文章还是相当有名的,比如排名第一的那篇Stylized Facts感觉…… 已经无人不知了吧。 =========================================================
幾乎推翻所有p-quant論文, 兩篇
papers.ssrn.com/sol3/pa
為啥80%的金融論文是錯的
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2308659
偽數學跟偽統計, 讓大部分對沖基金破產 =========================================================
传送门
一、收集的quant文献
链接: 百度云 请输入提取密码 密码: ft5w
二、现代金融学最经典的十几篇基石性文献
链接: 百度云 请输入提取密码 密码: eajh

-- 20150811 经典文献
Anomalies- The Equity Premium Puzzle-Siegel&Thaler,JEP1997(股权溢价之谜).pdf
Capital Asset Prices- A Theory of Market Equilibrium under Conditions of Risk-Sharpe,JF1964(CAPM).pdf
Common risk factors in the returns on stocks and bonds-Fama&French,JFE1993(三因子模型).pdf
Efficient Capital Markets- A Review of Theory and Empirical Work-Fama,JF1970(有效市场假设EMH).pdf
Equilibrium in a Capital Asset Market-Mossin,Econometrica1966(CAPM).pdf
Existence of an Equilibrium for a Competitive Economy-Arrow&Debreu,Econometrica1954(Arrow-Debreu均衡).pdf
Market efficiency, long-term returns, and behavioral finance-Fama,JFE1998(EMH).pdf
Multifactor Explanations of Asset Pricing Anomalies-Fama&French,JF1996(三因子模型).pdf
Portfolio Selection-Markowitz,JF1952(均值-方差模型).pdf
Proof that properly anticipated prices fluctuate randomly-Samuelson,Industrial Management Review1965(EMH).pdf
Security Prices, Risk, and Maximal Gains From Diversification-Lintner,JF1965(CAPM).pdf
The Arbitrage Theory of Capital Asset Pricing-Ross,JET1976(APT).pdf
The Cost of Capital, Corporation Finance and the Theory of Investment-Modigliani&Miller,AER1958(MM定理).pdf
The Pricing of Options and Corporate Liabilities-Black&Scholes,JPE1973(B-S模型).pdf
Theory of Rational Option Pricing-Merton,Bell JEMS1973(B-S模型拓展).pdf

-- 第一次答案
忘记哪里收集到了, 贴出来,一起辨识下:
[ABN-AMRO] A Breathrough in Synthetic Credit Investments.pdf
[Adelson & Jacob Consulting] The Need to See Past the Data.pdf
[Advances in Futures and Options Research, Barone-Adesi] On the Valuation of American Put Options on Dividend-Paying Stocks.pdf
[Agder University College, Koekebakker] Electricity Term Structure Modelling.pdf
[Aite Group] Trends in OTC Equity Derivatives - Where do we go from here.pdf
[Amen] Introduction To Foreign Exchange.ppt
[Andrew Davidson & Co] An Implied Prepayment Model for MBS.pdf
[Andrew Davidson & Co] Divide and Conquer - Exploring New OAS Horizons.pdf
[Andrew Davidson & Co] Fixed-Rate Agency MBS Prepayments and Model Enhancements.pdf
[Andrew Davidson & Co] Interest Rate Modeling - A Conscientious Choice.pdf
[Andrew Davidson & Co] LOANDYNAMICS - AD&CO's Approach to Modeling Credit Risk.pdf
[Andrew Davidson & Co] The Relationship Between the Yield Curve and Mortgage Current Coupon.pdf
[Applied Mathematical Finance, Chung] Pricing Quanto Equity Swaps in a Stochastic Interest Rate Economy.pdf
[Applied Mathematical Finance, Hagan] Interpolation Methods for Curve Construction.pdf
[Applied Mathematical Finance, West] Calibration of the SABR Model in Illiquid Markets.pdf
[Applied Spectroscopy, Lodder] Quantile Analysis - A Method for Characterizing Data Distributions.pdf
[ASX Australian Exchange] A Guide to the Pricing Conventions of SFE Interest Rate Products.pdf
[AVT] Initial Estimating and Refining Volatility.pdf
[AXA Investment] Why the Implied Correlation of Dispersion Has to be Higher Than the Correlation Swap Strike.pdf
[Bae] Managing Global Financial Risk Using Currency Futures and Currency Options.pdf
[Bank of America, Andersen] Efficient Simulation of the Heston Stochastic Volatility Model.pdf
[Bank of America-Merrill Lynch] The Big Bang - A Guide to the Standardized CDS Contract.pdf
[Bank of America] An Introduction to Agency MBS Derivatives.pdf
[Bank of America] Credit Strategy - Monolines - A Potential CDS Settlement Disaster.pdf
[Bank of America] Fixed-Rate IO Mortgages.pdf
[Bank of America] Guide to Credit Default Swaptions.pdf
[Bank of America] Hybrid ARM MBS - Valuation and Risk Measures.pdf
[Bank of America] Introduction to Agency CMO Structures.pdf
[Bank of America] Introduction to Cross Currency Swaps.pdf
[Bank of America] Option Prices Imply a Dividend Yield - Examining Recent Trading in JPM.pdf
[Bank of America] Outlook for the RMBS Market in 2007.pdf
[Bank of America] Prepayments on Agency Hybrid ARM MBS.pdf
[Bank of America] Pricing Mortgage-back Securities.pdf
[Bank of America] Residential Mortgages - Prepayments and Prepayment Modeling.pdf
[Bank of America] The Agency ARM MBS Sector.pdf
[Bank of America] Trust IO-PO Market.pdf
[Bank of America] Understanding Mortgage Dollar Rolls.pdf
[Bank of Canada, Bolder] Yield Curve Modelling at the Bank of Canada.pdf
[Bank of Canada, Ron] A Practical Guide to Swap Curve Construction.pdf
[Barclays] BESA South Africa Government Inflation-linked Bond Index Guide.pdf
[Barclays] CDS Curve Trading Handbook 2008.pdf
[Barclays] Convertible Bonds - A Technical Introduction.pdf
[Barclays] Correlation Modelling - From Vanilla to Exotic.pdf
[Barclays] Dividend Swap Indices - Access to Equity Income Streams Made Easy.pdf
[Barclays] European Alpha Anticipator - Decoding the Fed and Monolines.pdf
[Barclays] Forward Starting Equity.pdf
[Barclays] Global Inflation-Linked Products - A User's Guide.pdf
[Barclays] Inflation Derivatives - A User's Guide.pdf
[Barclays] The Barclays Capital Guide to Cash Flow Collaterialized Debt Obligations .pdf
[Barra] Global Equity - Risk Model Handbook.pdf
[Barra] Single Country Equity - Risk Model Handbook.pdf
[Bear Stearns] Across the Curve in Rates and Structured Products and Across the Grade in Credit Products Outlook 2007.pdf
[Bear Stearns] Bear Stearns Quick Guide to Non-Agency Mortgage-Back Securities.pdf
[Bear Stearns] Introduction to Asset-Backed CDS.pdf
[Bear Stearns] RMBS Residuals - A Primer.pdf
[Bear Stearns] S&P 500 Index Variance - Buying Earnings Volatility.pdf
[Bear Stearns] The Outlook for Fixed Income 2007.pdf
[Bear Stearns] Understanding CMO Toggle Floaters.pdf
[Bear Stearns] Variance Swaps - An Introduction.pdf
[Benth] Analytical Approximation for the Price Dynamics of Spark Spread Options.pdf
[Bloomberg Magazine, Berger] Modeling Future Interest Rates - Taming the Unknownable.pdf
[Bloomberg Magazine, Carr] The Innovator.pdf
[Bloomberg Magazine, Carr] The Value of Volatiliity.pdf
[Bloomberg, Baver] Variance Gamma Option Model.pdf
[Bloomberg, Berger] Modeling Interest Rates - Fundamental Issues.pdf
[Bloomberg, Berger] Stochastic Interest Rates - A Crucial Correlation.pdf
[Bloomberg, Carr] Hedging Variance Options on Continuous Semimartingales.pdf
[Bloomberg, Dupire] Modelling Volatility Skews.ppt
[Bloomberg, Konikov] Basket Default Swaps.pdf
[Bloomberg, Stein] FX Market Behavior and Valuation.pdf
[Bloomberg, Stein] Mortgage Backed Valuation.pdf
[Bloomberg, Stein] Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals.pdf
[Bloomberg, Yekutieli] Implementation of the Hestom Model for the Pricing of FX Options.pdf
[Bloomberg] Credit Default Swaps.pdf
[BNP Paribas, Atlan] Hybrid Equity-Credit Modelling.pdf
[BNP Paribas] Conditions et tarifs - Produits et services pour les particuliers.pdf
[BNP Paribas] Corridor Variance Swaps - A Cheaper Way to Buy Volatility.pdf
[BNP Paribas] DivDax. Trade 2009-2010 dividend swap.pdf
[BNP Paribas] European Volatility Tracker - Feb 2006.pdf
[BNP Paribas] Guide to Structured Products.pdf
[BNP Paribas] Index Variance Arbitrage.pdf
[BNP Paribas] Inflation Linked Bond Markets - 2009 Real Rate & Curve Modeling.pdf
[BNP Paribas] Quantitative Option Strategy.pdf
[BNP Paribas] Smile Trading.pdf
[BNP Paribas] Structured Retail Products.pdf
[BNP Paribas] The Bermuda Triangle of Super Senior Risk.pdf#p#分页标题#e#
[BNP Paribas] The High Yield Handbook, Part 1.pdf
[BNP Paribas] The High Yield Handbook, Part 2.pdf
[BNP Paribas] Understanding Credit Derivatives Vol. 1 - Market Overview.pdf
[BNP Paribas] Understanding Credit Derivatives Vol. 2 - CDS Basics.pdf
[BNP Paribas] Understanding Credit Derivatives Vol. 4 - CDS Pricing.pdf
[BNP Paribas] Understanding Credit Derivatives Vol. 5 - First-to-Default Baskets.pdf
[BNP Paribas] US Index Option Strategies.pdf
[BNP Paribas] Volatility Investing Handbook.pdf
[BNP Paribas] What Future for Dividends in Europe.pdf
[Bond Exchange of South Africa] Bond Pricing Formula - Specifications.pdf
[Bond Market Association] An Analysis and Description of Pricing and Information Sources in the Securitized and Structured Finance Markets.pdf
[Booz Allen Hamilton] The M&A Collar Handbook - How to Manage Equity Risk.pdf
[Borak] FFT Based Option Pricing.pdf
[Borovkova] Analysis and Modelling of Electricity Futures Prices.pdf
[Bowling Green State University, Bae] Managing Global Financial Risk Using Currency Futures and Currency Options.pdf
[CARR Futures, Burghardt] The Convexity Bias in Eurodollar Futures.pdf
[Carr Futures, Burghardt] The Convexity Bias in Eurodollar Futures.pdf.bc!
[Carr Futures, Panos] Trading the Unemployment Report.pdf
[CBOT] CBOT Electricity Futures and Options Reference and Applications Guide.pdf
[CBOT] CBOT Soybean Crush Reference Guide.pdf
[Center for Futures Education] The Fundamentals and Techniques of Trading Commodity Spreads.pdf
[CFA Institute] Global Investment Performance Standards (GIPS) - Corrections.pdf
[CFA Institute] Global Investment Performance Standards (GIPS).pdf
[Chris] Market Risk for Volatility and Variance Swaps.pdf
[Citibank] A General Review of CDO Valuation Methods.pdf
[Citibank] Convertible Bonds - A Guide.pdf
[Citibank] Correlation Trading Strategies.pdf
[Citibank] CPDOs - The New Best Seller.pdf
[Citibank] General Review of CDO Valuation Methods.pdf
[Citibank] Guide to Mortgage-Back Securities.pdf
[Citibank] Index-Linked Investment Products.pdf
[Citibank] Interest Rates Workbook.pdf
[Citibank] Introducing the Experimental Prepayment Model.pdf
[Citibank] Latin America Training and Development Center - Asset Backed Finance.pdf
[Citibank] Latin America Training and Development Center - Basic Corporate Finance.pdf
[Citibank] Latin America Training and Development Center - Basic Treasury.pdf
[Citibank] Latin America Training and Development Center - Basics of Trade Services and Trade Finance.pdf
[Citibank] Latin America Training and Development Center - Debt Financing.pdf
[Citibank] Latin America Training and Development Center - Equity Financing.pdf
[Citibank] Latin America Training and Development Center - Financial Statement Analysis.pdf
[Citibank] Latin America Training and Development Center - Futures.pdf
[Citibank] Latin America Training and Development Center - Interest Rates.pdf
[Citibank] Latin America Training and Development Center - Introduction to Risk Management.pdf
[Citibank] Mortgage Basics Overview.ppt
[Citibank] Total Rate of Return Indexes - April 2005 Performance.pdf
[Citibank] Using Asset Swap Spreads to Identify Goverment Bond Relative-Value.pdf
[Citibank] Valuing Fixed-Rate IO Mortgages.pdf
[City Credit Capital, Patten] An Introduction to Contracts for Difference.pdf
[CK Locke and Partners] CFD Trading Manual.pdf
[CME] Interest Rate Products - Advanced Topics.pdf
[Columbia University, Derman] Trading Volatility as an Asset Class.pdf
[Columbia University, Zhao] Bayesian Adaptive Portfolio Optimization.pdf
[Commodities Now, Sikorski] EU Emissions Trading - What Does It Mean for an Electricity Generator.pdf
[Computing, Spath] Exponential Spline Interpolation.pdf
[Convertible Bonds, Berger] Valuing Options on Dividend-Paying Stocks.pdf
[Copenhagen Business School, Nielsen] Dividends in the Theory of Derivative Securities Pricing.pdf
[Cotton] Stochastic Volatility Corrections for Interest Rate Derivatives.pdf
[Courant Institute, Carr] Trading Autocorrelation.pdf
[Courant Institute, Friz] Valuation of Volatility Derivatives as an Inverse Problem.pdf
[Creative Computing, Stineman] A Consistently Well-Behaved Method of Interpolation.pdf
[Credit Suisse] CFBS's Starter Kit for Non-Agency Residential Mortgage-Backed Securities.pdf
[Credit Suisse] Credit Portfolio Modeling Handbook.pdf
[Credit Suisse] Credit Suisse’s Guide to Global Fixed Income Indices.pdf
[Credit Suisse] Fixed-Rate Alt-A MBS - Commonly Asked Questions Answered.pdf
[Credit Suisse] Institutional Considerations - The next move on the MBS 'chessboard'.pdf
[Credit Suisse] Institutional Considerations in the MBS Markets.pdf
[Credit Suisse] Option Market Feedback - What can the option markets tell investors and modelers.pdf
[CSMA] CMBS Total Rate of Return Swaps.pdf
[DerivativeFitch] Considerations for Rating Commodities-Linked Credit Obligations.pdf
[DerivativeFitch] First Generation CPDO - Case Study on Performance and Ratings.pdf
[Derivatives Consulting Group] Introduction to Equity Derivatives.pdf
[Derivatives Strategy, Leib] The Art of Option Writing - August 2000.pdf
[Derivatives Week] Variance Swap Volatility and Option Strategies.pdf
[Deutsche Bank] Asset Valuation & Allocation Models.pdf
[Deutsche Bank] Credit Derivatives - Issues & Trends.pdf
[Deutsche Bank] Credit Derivatives and Structured Credit.pdf
[Deutsche Bank] Depositary Receipts Handbook.pdf
[Deutsche Bank] FAS 133 Amendments.pdf
[Deutsche Bank] High-Yield Credit Derivatives.pdf
[Deutsche Bank] Modeling Variance Swap Curves - Theory and Application.pdf
[Deutsche Bank] Pricing Exotic FX & Equity Derivatives.pdf
[Deutsche Bank] Quantitative Credit Strategy - Aug, 25 2006.pdf
[Deutsche Bank] The Arbitrage CDO Market.pdf
[Deutsche Borse Group] Guide to the Volatility Indices of Deutsche Borse.pdf
[Diko] Risk Premia in Electricity Forward Prices.pdf
[Dresdner Kleinwort Wasserstein] Structured Products Vicious Circle - How Structured Products Exaggerate Long-Dated Implied Volume Moves.pdf
[Dresdner Kleinwort, Bossu] A New Approach for Modelling and Pricing Correlation Swaps.pdf
[Dresdner Kleinwort, Bossu] Equity Correlation Swaps - A New Approach for Modelling & Pricing.pdf
[Dresdner Kleinwort, Bossu] Introduction to Volatility Trading and Variance Swaps.pdf
[Dresdner Kleinwort, Clark] Numerical Methods for Stochastic Volatility - Fourier Methods, PDEs and Monte Carlo.pdf
[Dresdner Kleinwort] A New Approach For Modeling and Pricing Correlation Swaps.pdf
[Dubai International Financial Centre] A Guide to Islamic Finance In or From the DIFC.pdf
[Duff & Phelps Credit Rating Co] DCR Rates Asian Diversified Funding Bond CBO.pdf
[Duff & Phelps Credit Rating Co] DCR Rates First-Ever Weather-Linked Notes.pdf
[Duff & Phelps Credit Rating Co] DCR's Criteria for Rating Cash Flow CDOs.pdf
[Econometrica, Cox] A Theory of the Term Structure of Interest Rates.pdf
[Econometrica, Heath] Bond Pricing and the Term Structure of Interest Rates - A New Methodology for Contingent Claims Valuation.pdf
[Econometrica, Phillips] Optimal Inference in Cointegrated Systems.pdf
[Economic Modeling, Johansen] Modelling of Cointegration in the Vector Autoregressive Model.pdf
[EDHEC Risk and Asset Management Research Centre] The Amaranth Collapse - What Happened and What Have We Learned Thus Far.pdf
[Egar Technology, Ioffe] Variance Swap Pricing.pdf
[Egar Technology] How to Extend Modern Portfolio Theory to Make Money from Trading Equity Options.pdf
[Egar Technology] Weather Derivatives.pdf
[Erasmus University, Hallerback] An Improved Estimator for Black-Scholes-Merton Implied Volatility.pdf
[Eurex] Interest Rate Derivatives - Fixed Income Trading Strategies.pdf
[Eurex] Volatility and its Measurements - The Design of a Volatility Index and the Execution of its Historical Time Series at the Deutsche Borse AG.pdf
[European Central Bank] The Euro Bond Market Study - December 2004.pdf
[European Securitisation Forum] European Securitisation - A Resource Guide.pdf
[FEA] Power Price Simulation using Hybrid Models.pdf
[FEA] Valuing Generation Assets and Tolling Agreements using the Power Sector Model.pdf
[Federal Reserve Bank of Alanta, Fernández-Villaverde] A, B, C’s (and D’s) for Understanding VARs.pdf
[Federal Reserve Bank of Chicago] Structured Notes.pdf
[Federal Reserve Bank of Clevland, Haubrich] Swaps and the Swaps Yield Curve.pdf
[Federal Reserve Bank of New York, Fernald] The Pricing and Hedging of Index Amortizing Rate Swaps.pdf
[Federal Reserve Bank of New York, Fleming] Repurchase Agreements with Negative Interest Rates.pdf
[Federal Reserve Bank of New York, Kambhu] Trading Risk and Volatility in Interest Rate Swap Spreads.pdf
[Federal Reserve Bank of San Fransico, Poole] Using T-Bill Futures to Gauge Interest-Rate Expectations.pdf
[Federal Reserve Board, Gurkaynak] The US Treasury Yield Curve - 1961 to the Present.pdf
[Finance and Stochastics, Fusai] An Exact Analytical Soltion for Discrete Barrier Options.pdf
[FitchRatings] Asset-Backed Commercial Paper Explained.pdf
[FitchRatings] Credit Policy - 2006 European SF Outlook Chart.pdf
[FitchRatings] Hybrid Securities - An Emperical View.pdf
[FitchRatings] Rating Securitizations Above the Sovereign Ceiling.pdf
[FitchRatings] Structured Finance in Latin America’s Domestic Markets.pdf
[FitchRatings] Synthetic Overview for CMBS Investors.pdf
[FitchRatings] UK Non-Conforming RMBS - Catching a Cold.pdf
[FOW, Smith] Adding a Floor to Equity Cliquets.pdf
[Frankfurt MathFinance Institute, Kuhn] Israeli Options as Composite Exotic Options.pdf
[Futures Magazine, Gould] Comparing Price, Volume & Open Interest.pdf
[Ganatra] Implementation of Variance Swaps in Dispersion Trading Strategies.pdf
[Glass] Fourier Transform Techniques in Stochastic Volatility BGM.pdf
[Glenwood Capital Investments] Variance Swaps and Non-Constant Vega.pdf
[Global Derivatives 2005, Dupire] Exploring Volatility Derivatives - New Advances in Modelling.pdf
[Goldman Sachs, Black] Fixed Income Research - Global Asset Allocation with Equities, Bonds, and Currencies.pdf
[Goldman Sachs] A Mortgage Product Primer.pdf
[Goldman Sachs] Alt-A Market - An Introduction.pdf
[Goldman Sachs] Dividends and Dividend Swaps.pdf
[Goldman Sachs] Fixed Income Research - The Investment Implications of an Inverted Yield Curve.pdf
[Goldman Sachs] Hedge Funds - Have You Missed the Boat.pdf
[Goldman Sachs] How to Value and Hedge Options on Foreign Indexes.pdf
[Goldman Sachs] Introduction to Mortgage-Backed Securities and Other Securitized Assets.pdf
[Goldman Sachs] Speculators, Index Investors, and Commodity Prices.pdf
[Goldman Sachs] Understanding US Economic Statistics.pdf
[Goldman Sachs] Valuing Convertible Bonds as Derivatives.pdf
[Goteborg University, Kjaer] On the Pricing of Cliquet Options with Global Floor and Cap.pdf
[Hagan] Credit Derivatives.pdf
[Harvard Business School, Donahue] Note On Commodity Futures.pdf
[Harvard Business School] Note on Commodity Futures.pdf
[Henrard] Bonds Futures and Their Options - More than the Cheapest-to-Deliver; Quality Option and Marginning.pdf
[HSBC] European Meltdown - Europe Fiddles as Rome Burns.pdf
[Humboldt–University, Molgedey] Extracting Factors for Interest Rate Scenarios.pdf
[HVB Group] Credit Derivatives Accounting.pdf
[HVB Group] Trading the DAX in CDS Format and Playing Equity versus Debt.pdf
[IBM Research Report, Glasserman] Importance Sampling in the Heath-Jarrow-Morton Framework.pdf
[IEEE Transactions on Power Systems, Denton] Managing Market Risk in Energy.pdf
[IMF Staff Papers, Sarno] Purchasing Power Parity and the Real Exchange Rate.pdf
[Imperial College, Albanese] Pricing Equity Default Swaps.pdf
[Investopedia] Advanced Bond Concepts.pdf
[ISDA, Altman] Analyzing and Explaining Default Recovery Rates.pdf
[ISDA] 2002 ISDA Equity Derivatives Definitions.pdf
[ISDA] 2003 ISDA Credit Derivative Definitions.pdf
[ISDA] EMU and Market Conventions - Recent Developments.pdf
[Islamic Development Bank] Understanding Islamic Finance - A Study of the Securities Market in an Islamic Framework.pdf
[Islamic Research and Training Institute, Mannan] Understanding Islamic Finance - A Study of the Securities Market in an Islamic Framework.pdf
[ISMA Centre, Alexander] Principal Component Analysis of Volatility Smiles and Skews.pdf
[ITO33, Henrotte] Variance Swaps.pdf
[Jackel] Stochastic Volatility Models - Past, Present and Future.pdf
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[Journal of Applied Corporate Finance, Black] How to Use the Holes in Black-Scholes.pdf
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[Journal of Derivatives, Broadie] Pricing and Hedging Volatility Derivatives.pdf
[Journal of Derivatives, Hull] The Valuation of Credit Default Swap Options.pdf
[Journal of Derivatives, Hull] Valuation of a CDO and an nth to Default CDS without Monte Carlo Simulation.pdf
[Journal of Derivatives, Kjaer] Fast Pricing of Cliquet Options with Global Floor.pdf
[Journal of Derivatives, Milevsky] A Closed-Form Approximation for Valuing Basket Options.pdf
[Journal of Discrete Algorithms, Gerbessiotis] An Architecture Independent Study of Parallel Segment Trees.pdf
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[Journal of Econometrics, Phillips] Understanding Spurious Regressions in Econometics.pdf
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[Journal of Finance, Black] Interest Rates as Options.pdf
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[Journal of Portfolio Management, Neuberger] The Log Contract.pdf
[Journal of Risk, Rebonato] Evolving Yield Curves in the Real-World Measures - A Semi-Parametric Approach.pdf
[JP Morgan, Bossu] Arbitrage Pricing of Equity Correlation Swaps.pdf
[JP Morgan, Bossu] Fundamental Relationship Between an Index's Volatility and the Correlation and Average Volatility of Its Components.pdf
[JP Morgan, Matytsin] Modelling Volatility and Volatility Derivatives.pdf
[JP Morgan, Sim] Agency Hybrid ARM Prepayment Model.pdf
[JP Morgan] A Framework for Valuing Financial Hybrids.pdf
[JP Morgan] Abritrage Pricing of Equity Correlation Swaps.pdf
[JP Morgan] Agency Hybrid ARM Prepayment Model.pdf
[JP Morgan] All You Ever Wanted to Know About Corporate Hybrids But Were Afraid to Ask.pdf
[JP Morgan] An Introduction to CFXOs (Foreign Exchange L inked Credit Obligations).pdf
[JP Morgan] CDO Handbook.pdf
[JP Morgan] Corporate Quantitative Weekly.pdf
[JP Morgan] Correlation Vechicles - Techniques for Trading Equity Correlation.pdf
[JP Morgan] Credit Correlation - A Guide.pdf
[JP Morgan] Depositary Receipts Reference Guide.pdf
[JP Morgan] Exploring the TUI Hybrid.pdf
[JP Morgan] Fixed Income Correlation Trading using Swaptions.pdf
[JP Morgan] Fundamental Relationship Between an Index's Volatility and the Correlation and Average Volaility of its Components.pdf
[JP Morgan] Global Data Watch - August 2006.pdf
[JP Morgan] Hybrid Capital - Moody's Proposes a New Methodology for Hybrids - A non-event for most hybrids and $ Tier I.pdf
[JP Morgan] Hybrid Primer.pdf
[JP Morgan] Institutional Hedging Activity.pdf
[JP Morgan] Introducing the JPMorgan Cross Sectional Volatility Model & Report.pdf
[JP Morgan] Just What You Need to Know About Variance Swaps.pdf
[JP Morgan] MBS Primer.pdf
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[JP Morgan] Oil & Gas Basics.pdf
[JP Morgan] Option Trading and Variance Swaps.pdf
[JP Morgan] Par Credit Default Swap Spread Approximation from Default Probabilities.pdf
[JP Morgan] Profiting from Market Signals.pdf
[JP Morgan] Relative Value Single Stock Volatility.pdf
[JP Morgan] RiskMetrics - Technical Document.pdf
[JP Morgan] The JP Morgan Guide to Credit Derivatives.pdf
[JP Morgan] The JP Morgan Prepayment Model - It's All About Economics.pdf
[JP Morgan] The Price of Credit.pdf
[JP Morgan] Variance Swaps.pdf
[JP Morgan] VDAX-NEW, VSTOXX and VSMI Futures.pdf
[JP Morgan] Volatility, Leverage, and Returns.pdf
[JP Morgan] Which Trade - Choosing Tactical Positions Across Asset Classes.pdf
[JPMorgan] Credit Derivatives - A Primer (1998 Edition).pdf
[JPMorgan] Credit Derivatives - A Primer (2005 Edition).pdf
[JPMorgan] Credit Derivatives 2003 - Advanced Credit Derivatives Valuation - Bridging Credit Default Swaps and Corporate Bonds.pdf
[JPMorgan] Introducing Base Correlations.pdf
[JPMorgan] Introducing Standard First to Default Baskets.pdf
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[King's College, Shaw] Eco-mputational Finance - Differential Equations for Monte Carlo Recycling.pdf
[Klassen] Pricing Variance Swaps with Cash Dividends.pdf
[Leger] Monte Carlo for the Newbies.pdf
[Lehman Brothers, Harmstone] Investing in Implied Volatility.pdf
[Lehman Brothers, Johnston] Callable Securities - An Introduction.pdf
[Lehman Brothers, Modukuri] Mortgage Convexity Risk.pdf
[Lehman Brothers, O'Kane] Credit Spreads Explained.pdf
[Lehman Brothers, O'Kane] Introduction to Default Swaps.pdf
[Lehman Brothers, Pedersen] Explaining the Lehman Brothers Option Adjusted Spread of a Corporate Bond.pdf
[Lehman Brothers, Reddy] An Introduction to Floating Rate CMOs.pdf
[Lehman Brothers, Tuckman] Interest Rate Parity, Money Market Baisis Swaps, and Cross-Currency Basis Swaps.pdf
[Lehman Brothers, Vankudre] Treasury Inflation-Protection Securities - Opportunities and Risks.pdf
[Lehman Brothers, Zhou] The Swap Curve.pdf
[Lehman Brothers] A Guide to the Lehman Global Family of Fixed Income Indices.pdf
[Lehman Brothers] ABS Outlook 2007 - The Path of Divergence.pdf
[Lehman Brothers] An Introduction to the Non-Agency CMO market.pdf
[Lehman Brothers] Base Correlation Explained.pdf
[Lehman Brothers] Changes to TBA Deliverable.pdf
[Lehman Brothers] CMBS Outlook 2007 - At Both Ends of the Risk-Reward Spectrum.pdf
[Lehman Brothers] Credit Derivatives Explained - Market, Products, and Regulations.pdf
[Lehman Brothers] Credit Derivatives Primer.pdf
[Lehman Brothers] Currency Hedging in Fixed Income Portfolios.pdf
[Lehman Brothers] Defining the TBA Deliverable.pdf
[Lehman Brothers] Equity-Linked Notes - An Introduction.pdf
[Lehman Brothers] Estimating Implied Default Probabilities from Credit Bond Prices.pdf
[Lehman Brothers] Focus - Israel Back to Basics.pdf
[Lehman Brothers] Guide to Agency and Government-Related Securities.pdf
[Lehman Brothers] Guide to Exotic Credit Derivatives.pdf
[Lehman Brothers] Hybrid ARM Handbook.pdf
[Lehman Brothers] Hybrid ARMS - Unlocking Value in the New Index.pdf
[Lehman Brothers] Interest Rate Futures.pdf
[Lehman Brothers] Interest Rate Parity, Money Market Basis Swaps, and Cross-Currency Basis Swaps.pdf
[Lehman Brothers] Introduction to Asset Swaps,pdf.pdf
[Lehman Brothers] Introduction to Bond Math.pdf
[Lehman Brothers] Introduction to Catastrophe-Linked Securities.pdf
[Lehman Brothers] Introduction to Investment Banking.pdf
[Lehman Brothers] Introduction to Variable Rate Financing.pdf
[Lehman Brothers] Modelling Credit - Theory and Practice.pdf
[Lehman Brothers] Mortgage Convexity Risk.pdf
[Lehman Brothers] Mortgage Options - A Primer.pdf
[Lehman Brothers] Mortgage Outlook for 2007 - Bracing for a Credit Downturn.pdf
[Lehman Brothers] Non-Agency Hybrids - A Primer.pdf
[Lehman Brothers] Optionalising Carry Trades.pdf
[Lehman Brothers] Quantitative Credit Research Quarterly - Quarter 1 2007.pdf
[Lehman Brothers] Quantitative Credit Research Quarterly - Quarter 3 2001.pdf
[Lehman Brothers] Securitized Products Outlook 2007 - Bracing for a Credit Downturn.pdf
[Lehman Brothers] Securitized Products Outlook for 2007 - Bracing for a Credit Downturn (Presentation).pdf
[Lehman Brothers] Structured Credit Strategy - Annual 2004.pdf
[Lehman Brothers] The Hybrid ARM Handbook.pdf
[Lehman Brothers] The Restructuring Clause in Credit Default Swap Contracts.pdf
[Lehman Brothers] The Shape of Implied Loss Distributions.pdf
[Lehman Brothers] The Specified Pool Handbook.pdf
[Lehman Brothers] Trading the Cash-CDS Basis in the Current Environment.pdf
[Lehman Brothers] Treasury Inflation-Protection Securities - Opportunities and Risks.pdf
[Lehman Brothers] Understanding Hedge Fund Performance.pdf
[Lehman Brothers] Valuation of Credit Default Swaps.pdf
[Leiden University, Pietersz] The LIBOR Market Model Master's Thesis.pdf
[LIFFE] LIFFE Options - A Guide to Trading Strategies.pdf
[London Business School, Bunn] Forecasting Electricity Prices.pdf
[Longstaff] Electricity Forward Prices - A High Frequency Empirical Analysis.pdf
[MacKenzie] Risk, Financial Crises, and Globalization - Long-Term Capital Management and the Sociology of Arbitrage.pdf
[Marketing Science, Morton] Modelling Retail Customer Behavior at Merrill Lynch.pdf
[Mathematical Finance, Gallucio] Theory and Calibration of Swap Market Models.pdf
[MathFinance AG, Wystup] Foreign Exchange Symmetries.pdf
[Merrill Lynch, Balland] Forward Smile.pdf
[Merrill Lynch, Gatheral] Consistent Modeling of SPX and VIX Options.pdf
[Merrill Lynch, Youssfi] Convexity Adjustment for Volatility Swaps.ppt
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[Merrill Lynch] CDS Physical Settlement.pdf
[Merrill Lynch] Concepts in Technical Analysis - A Handbook on the Basics.pdf
[Merrill Lynch] Correlation Trading.pdf
[Merrill Lynch] Credit Derivative Handbook 2003.pdf
[Merrill Lynch] Credit Derivatives Handbook 2000.pdf
[Merrill Lynch] Credit Derivatives Handbook 2006 - Volume 1.pdf
[Merrill Lynch] Credit Derivatives Handbook 2006 - Volume 2.pdf
[Merrill Lynch] Currency Forecasting - Theory & Practice.pdf#p#分页标题#e#
[Merrill Lynch] Icelandic Banks - Not What You Are Thinking.pdf
[Merrill Lynch] Industry Overview - A weaker Q2 for Rates Businesses.pdf
[Merrill Lynch] Introduction to Securitisation.pdf
[Merrill Lynch] Pricing Cancellable LCDS.pdf
[Merrill Lynch] Size and Structure of the World Bond Market 2002.pdf
[Merrill Lynch] The B2B Market Maker Book.pdf
[Merrill Lynch] The Merrill Lynch Guide to Understanding Financial Reports.pdf
[Merrill Lynch] The Mortgage Investor - Year Ahead 2007.pdf
[Misiorek] Point and Interval Forecasting of Spot Electricity Prices - Linear vs. Non-Linear Time Series Models.pdf
[Moody's, Park] The Impact of Subprime Residential Mortgage-Backed Securities on Moody's-Rated Structured Finance CDOs - A Preliminary Review.pdf
[Moody's] Bank-Loan Loss Given Default.pdf
[Moody's] Corporate Default and Recovery Rates, 1920-2007.pdf
[Moody's] Modeling Default Risk.pdf
[Moody's] Moody's Approach to Rating ith-to-Default Basket Credit-Linked Notes.pdf
[Moody's] Piercing the Country Ceiling - An Update.pdf
[Moody's] Rating Preferred Stock and Hybrid Securities.pdf
[Moody's] The Binomial Expansion Method Applied to CBO-CLO Analysis.pdf
[Moody's] The Relative Stability of Cash-Flow vs. Market-Value CDO Ratings.pdf
[Moody's] Understanding the Risks in Credit Default Swaps.pdf
[Morgan Stanley, Carr] Towards a Theory of Volatility Trading.pdf
[Morgan Stanley] CDO Market Insights - Ratings Actions - Something Had to Give.pdf
[Morgan Stanley] CDO Market Insights - Sub-Prime in Prime Time.pdf
[Morgan Stanley] Credit Derivatives Insights - Single Name Instruments & Strategies, 3rd Ed.pdf
[Morgan Stanley] Credit Derivatives Strategy - Successors and the Case of the Missing Deliverables.pdf
[Morgan Stanley] Structured Credit Insights 2006.pdf
[Morgan Stanley] Swaps.pdf
[Morgan Stanley] The Layman's Guide to Implied Correlation.pdf
[Morgan Stanley] Whay Hedge Funds Make Sense.pdf
[Mount Lucas Management] The Mechanics of the Commodity Futures Markets - What They Are and How They Function.pdf
[NASDAQ OMX] Corporate Actions Practice Guide.pdf
[National Chiao Tung University, Dai] An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options.pdf
[NERC] NERC Operating Manual - June 2004.pdf
[New York University Credit Seminar, Levi] A Relationship Between Default Probability and Equity Volatility.pdf
[New York University, Avellaneda] Pricing and Hedging Derivative Securities in Markets with Uncertain Volatilities.pdf
[New York University, Avellaneda] Reconstructing Volatility - New Techniques for Understanding the Implied Volatility of Multi-asset Options.pdf
[New York University, Avellaneda] Weighted Monte-Carlo Methods for Multi-asset Equity Derivatives - Theory and Practice.pdf
[Nielsen] Pricing Asian Options.pdf
[NIKHEF Theory Group, Weinzierl] Introduction to Monte Carlo Methods.pdf
[Nomura] A Journey to the Alt-A Zone - A Brief Primer on Alt-A Mortgage Loans.pdf
[Nomura] ABS Credit Migrations 2004.pdf
[Nomura] ABS Credit Migrations.pdf
[Nomura] ABS Gold Coast Report - Coverage of Selected Sessions of ABS East 2003.pdf
[Nomura] ABX Index - The Constituent Breakdown.pdf
[Nomura] Basel II and Banks - Key aspects and likely market impact.pdf
[Nomura] CDO-CDS Update 01-09-2007.pdf
[Nomura] CDO-CDS Update 02-21-2006.pdf
[Nomura] Constant Maturity CDS (CMCDS) - A Guide.pdf
[Nomura] Correlation Primer.pdf
[Nomura] Credit Default Swap (CDS) Primer.pdf
[Nomura] Economics in Focus - December 2005.pdf
[Nomura] Holiday Special - December 2008.pdf
[Nomura] Home Equity ABS Basics.pdf
[Nomura] How the Events of 9-11 Affect Thinking about Risk.pdf
[Nomura] Jumbo MBS - Where's the Credit Enhancement.pdf
[Nomura] Jumbo MBS Credit Enhancement - More of the Same, or Less.pdf
[Nomura] MBS Basics.pdf
[Nomura] Model Risk Update - Margins of Error and Scenario Analysis.pdf
[Nomura] One Reason Why CDOs and ABS Backed bby Aircraft, Franchise Loans and 12b-1 Fees Performed Poorly in 2002.pdf
[Nomura] Oops… They Did It Again - Jumbo MBS Credit Enhancement Levels Keep Falling.pdf
[Nomura] Report from Boca Raton 2005 - Coverage of Selected Sessions of ABS East 2005.pdf
[Nomura] Report from Orlando 2006 - Coverage of Selected Sessions of ABS East 2006.pdf
[Nomura] Report from Orlando 2007 - Coverage of Selected Sessions of ABS East 2007.pdf
[Nomura] Report from Paradise Island - Coverage of Selected Sessions of ABS East 2002.pdf
[Nomura] Sub-prime Suprise... Not!.pdf
[Nomura] Synthetic ABS Nuances.pdf
[Nomura] Synthetic CMBS Primer.pdf
[Nomura] Temporal Aspects of CMBS Downgrades and Surveillance.pdf
[Nomura] Tranching Credit Risk - Examples with CDOs and the iTraxx Index.pdf
[Nordic Risk Summer 2008, Soklakov] Information Derivatives.pdf
[Norma Fixed Income Research] Synthetic CMBS Primer.pdf
[Northwestern University, Watson] Vector Autoregressions and Cointegration.pdf
[NYBOT] The US Dollar Index Futures Contract.pdf
[NYMEX] Crack Spread Handbook.pdf
[Odegaard] Financial Numerical Recipes in C++.pdf
[Oesterreichische NationalBank] Financial Instruments - Structed Products Handbook.pdf
[Penn State University, Shapiro] Soft Computing and Financial Engineering.pdf
[Piterbarg] EuroDollar Futures Convexity Adjustments in Stochastic Volatlity Models.pdf
[Plunkett Research, Plunkett] Plunkett's Energy Industry Almanac.pdf
[Proceedings of the 2004 Winter Simulation Conference, L'Ecuyer] Quasi-Monte Carlo Methods in Finance.pdf
[Proceedings of the 2004 Winter Simulation Conference, Lemieux] Randomized Quasi-Monte Carlo - A Tool for Improving the Efficiency of Simulations in Finance.pdf
[Proceedings of the 2004 Winter Simulation Conference, Staum] Efficent Simulations for Option Pricing.pdf
[Prudential Financial Research] Stock Valuation Models.pdf
[Prudential Securities] Forward Rates - What Are They and Why Should I Care.pdf
[Quantitative Finance, Carr] Optimal Positioning in Derivative Securities.pdf
[Quantitative Finance, Cont] Dynamics of Implied Volatility Surfaces.pdf
[Quantitative Finance, Fouque] Variance Reduction for Monte Carlo Simulation in a Stochastic Volatility Environment.pdf
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[RBS Greenwich Capital] U.S. Government 2007 Outlook.pdf
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[Risk Magazine, Bergomi] Smile Dynamics III.pdf
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[Risk Magazine, Burghardt] One Good Turn.pdf
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[Risk Magazine, Frishling] A Discrete Question.pdf
[Risk Magazine, Fruchard] Basis for Change.pdf
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[Risk Magazine, Overhaus] Himalaya Options.pdf
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[Risk Magazine, Ren] Calibrating and Pricing with Embedded Local Volatility Models.pdf
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[Salomon Brothers] Anatomy of Prepayments - The Salomon Brothers Prepayment Model.pdf
[Salomon Brothers] Understanding the Yield Curve, Part 1 - Overview of Forward Rate Analysis.pdf
[Salomon Brothers] Understanding the Yield Curve, Part 2 - Market's Rate Expectation and Forward Rates.pdf
[Salomon Brothers] Understanding the Yield Curve, Part 3 - Does Duration Extension Enhance Long-Term Expected Returns.pdf
[Salomon Brothers] Understanding the Yield Curve, Part 4 - Forecasting US Bond Returns.pdf
[Salomon Brothers] Understanding the Yield Curve, Part 5 - Convexity Bias and the Yield Curve.pdf
[Salomon Brothers] Understanding the Yield Curve, Part 6 - A Framework for Analysing Yield Curve Trades .pdf
[Salomon Brothers] Understanding the Yield Curve, Part 7 - The Dynamic of the Shape of the Yield Curve.pdf
[Salomon Smith Barney] An Introduction to CMO Cashflow Structures.pdf
[Salomon Smith Barney] Exotic Equity Derivatives Manual.pdf
[Salomon Smith Barney] Introductory Guide to Equity Options.pdf
[Salomon Smith Barney] Principles of Principal Components - A Fresh Look at Risk, Hedging and Relative Value.pdf
[Sapient Derivatives Consulting Group] The DCG Quick Reference Guide to Credit Event Terminology.pdf
[Schoutens] Moment Swaps.pdf
[Serletis] Measuring and Testing Natural Gas and Electricity Markets Volatility - Evidence from Alberta's Deregulated Markets.pdf
[Societe Generale, Sooben] Fitting Linkers into a Portfolio.pdf
[Societe Generale] Explanatory Note About the Exceptional Fraud - January 2008.pdf
[Societe Generale] Pricing and Hedging Correlation Products.pdf
[Societe Generale] Quantitative Strategy - Looking for Value in the Sub-Insurance Market.pdf
[Societe Generale] Quantitative Strategy - Pricing Bespoke CDOs - Latest Developments.pdf
[Société Générale] Investment in Power Generation - A Banker's Perspective.pdf
[Standard & Poor's] A Guide to the Loan Market.pdf
[Standard & Poor's] Annual Global Corporate Default Study - Corporate Defaults Poised to Rise in 2005.pdf
[Standard & Poor's] CDO Spotlight - Overview of Modeling Methodology for Commodity CDO Structures.pdf
[Standard & Poor's] CMBS Property Evaluation Criteria.pdf
[Standard & Poor's] Trade Receivable Criteria.pdf
[Stanford University, Lee] Robust Replication of Volatility Derivatives.pdf
[Stevenson] Risk Management and the Role of Spot Price Predictions in the Australian Retail Electricity Market.pdf
[STOXX] Dow Jones STOXX Index Guide - Version 13.pdf
[Sungard] Guidelines for Pricing and Risk Managing Credit Derivatives.pdf
[Super Computer Consulting, Nelken] Weather Derivatives - Pricing and Hedging.pdf
[SwiftStandards] Category 1 - Customer Payments & Cheques (MT100 - MT199).pdf
[SwiftStandards] Category 2 - Financial Insitution Transfers (MT200 - MT299).pdf
[SwiftStandards] Category 3 - Treasury Markets Foreign Exchange, Money Markets & Derivatives (MT300 - MT341) Volume 1.pdf
[SwiftStandards] Category 3 - Treasury Markets Foreign Exchange, Money Markets & Derivatives (MT350 - MT399) Volume 2.pdf
[SwiftStandards] Category 4 - Collections & Cash Letters.pdf
[SwiftStandards] Category 5 - Securities Markets (MT500 - MT518) Volume 1.pdf
[SwiftStandards] Category 5 - Securities Markets (MT519 - MT543) Volume 2.pdf
[SwiftStandards] Category 5 - Securities Markets (MT544 - MT567) Volume 3.pdf
[SwiftStandards] Category 5 - Securities Markets (MT568 - MT599) Volume 4.pdf
[SwiftStandards] Category 6 - Treasury Markets Precious Metals (MT600 - MT699).pdf
[SwiftStandards] Category 6 - Treasury Markets Syndications (MT643 - MT699).pdf
[SwiftStandards] Category 7 - Documetary Credits & Guarantees (MT700 - MT799).pdf
[SwiftStandards] Category 8 - Travellers Cheques (MT800 - MT899).pdf
[SwiftStandards] Category 9 - Cash Management & Customer Status (MT900 - MT999).pdf
[SwiftStandards] Category n - Common Group Messages (MTn90 - MTn99).pdf
[SWX Swiss Exchange] Accrued Interest & Yield Calculations and Determination of Holiday Calendars.pdf
[Technische Universitat Chemnitz, Kluge] Pricing Derivatives in Stochastic Volatility Models using the Finite Difference Method.pdf
[Technische Universiteit Eindhoven, Kreuk] Trading the Difference Between Realised and Implied Volatility.pdf
[The Bell Journal of Economics and Management Science, Merton] Theory of Rational Option Pricing.pdf
[The Bond Market Association] An Investors Guide to Collateralized Mortgage Obligations.pdf
[The Bond Market Association] An Investors Guide to Pass-Through and Collateralized Mortgage Securities.pdf
[The Bond Market Association] The Asset-Backed Market in 1999 and the Outlook for 2000.pdf
[The Canadian Journal of Economics, Johnson] Cointegration, Error, and Purchasing Power Parity between Canada and the United States.pdf
[The Journal of Derivatives, Hull] Efficent Procedures for Valuing European and American Path-Dependent Options.pdf
[The Journal of Derivatives, Hull] Numerical Procedures for Implementing Term Structure Models I - Single-Factor Models.pdf
[The Journal of Derivatives, Hull] Numerical Procedures for Implementing Term Structure Models II - Two-Factor Models.pdf
[The Journal of Futures Markets, Gray] Canonical Valuation of Options in the Presense of Stochastic Volatility.pdf
[The Journal of Political Economy, Black] The Pricing of Options and Corporate Liabilities.pdf
[The Review of Economics and Statistics, Enders] Arima and Cointegration Tests of PPP under Fixed and Flexible Exchange Rate Regimes.pdf
[The Review of Financial Studies, Heston] A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options.pdf
[UBS Investment Bank] UBS Bloomberg Constant Maturity Commodity Index (CMCI) Family.pdf
[UBS Investment Bank] Understanding the Inflation Derivatives Market Dynamics - Practical Trading Insights.pdf
[UBS Investment] CDPO an Asset Class on its Own or a Glorified Bearish Rated Equity.pdf
[UBS Warburg] CDO Insight.pdf
[Universidad de Montevideo, Ruibal] Forecasting the Mean and the Variance of Electricity Prices in Deregulated Markets.pdf
[Universidad de Valencia, Lucia] Electricity Prices and Power Derivatives - Evidence from the Nordic Power Exchange.pdf
[Universidad Torcuato Di Tella, Merener] Swap Rate Variance Swaps.pdf
[Universitat Berlin, Buhler] Volatility Markets - Consistent Modeling, Hedging, and Practical Implementation.pdf
[University of Calgary, Ware] The Valuation of Swing Options in Electricity Markets.pdf
[University of California, Evans] An Introduction to Stochastic Differential Equations - Version 1.2.pdf
[University of California, Silverman] Solution of the Black Scholes Equation using the Green's Function of the Diffusion Equation.pdf
[University of California, Stoft] Primer on Electricity Futures and Other Derivatives.pdf
[University of Chicago, Lee] Corridor Variance Swap.pdf
[University of Chicago, Lee] Gamma Swap.pdf
[University of Chicago, Lee] Weighted Variance Swap.pdf
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[University of London, Jacquier] Variance Dispersion and Correlation Swaps.pdf
[University of London, Jacquier] Volatility Seminar - Some notes on Variance Swaps and Volatility Derivatives.pdf
[University of Manitoba, Barua] Fast Fourier Transform for Option Pricing - Improved Mathematical Modeling and Design of an Efficient Parallel Algorithm.pdf
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[University of Pittsburgh, Ruibal] On the Variance of Electricity Prices in Deregulated Markets.ppt
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[University of Tokyo, Osajima] The Asymptotic Expansion Formula of Implied Volatility for Dynamic SABR Model and FX Hybrid Model.pdf
[University of Toronto, Surkov] Parallel Option Pricing with Fourier Space Time-stepping Method on Graphics Processing Units.pdf
[University of Twente, Vellekoop] Cash Dividends and Futures Prices on Discontinuous Filtrations.pdf
[University of Waterloo, Forsyth] Numerical Methods and Volatility Models for Valuing Cliquet Options.pdf
[University of Waterloo, Windcliff] Pricing Methods and Hedging Strategies for Volatility Derivatives.pdf
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[US Navy] Mathematics, Basic Math, and Algebra.pdf
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[Worchester Polytechic Institute, Acheampong] Pricing Mortgage-Back Securities using Prepayment.pdf
[Workshop on Computational Methods for Pricing and Hedging Exotic Options, Dixon] Calibrating Spread Options using a Seasonal Forward Model.pdf
[Yale University, Welch] A First Course in Corporate Finance.pdf
[YieldCurve] CDO-Note - Synthetic CDO Note Pricing Model Fact Sheet.pdf
[York University, Swishchuk] Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatility.pdf
[York University, Swishchuk] Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatility.ppt =========================================================
举手 !老师!这个问题我知道,我要回答!

第一篇 投资者的心态分析
举个例子 来赌博 两个选择 我给你本金的150%或者让你选择
A: 1块钱一次 90%可能性还你2块钱 好事情啊
B: 100块钱一次 90%可能性还你200块钱 也好啊
C: 10万一次 90%可能性还你一倍,10%血本无归 大哥我选15万现金 不赌了
数学期望1.5比1.8啊 傻子才选1.5 我怎么在场景C傻逼了呢?
这就讲到了量化功利方程
文献如下
Elton, Gruber, Brown and Goetzmann (2003) “Ch. 10 Utility Analysis”, Modern portfolio theory and investment analysis.

这个说的是投资者在面对风险和相应收益的时候如何选择投资策略 精确到每一个标准差和每一个百分比的回报率

他提出了几个基本假设

1钱总是越多越好的

2 每额外的一个百分比收入比不上前一个所带来的好处 (比如你非常非常非常口渴,喝了第一杯水感觉我操好爽,再和一杯,啊舒服,再喝一杯,嗯差不多了,再喝一杯,日,有点涨,再喝一杯,妈的想吐)

3人都是风险厌恶的 在相同回报之下希望风险最小 有人撕逼说赌博和投资的区别 可能这就是区别之一 数学期望一样的情况下 投资者希望标准差小 赌徒希望标准差大

4 风险越高 希望的回报就要越高 而且还要加倍的增长不然宁愿投资低风险低收益的资产

5研究了投资者在钱多或者钱少情况下的风险偏好 亏欠的人容易搞个大新闻

因为第一个一块钱和第二个一块钱对于投资者的价值是不一样的 他们提出了很多功利方程,来量化当确定了投资回报和投资风险时候,这个投资的价值到底有多大。然后几个投资比大小,来让投资者确定去投哪一个

量化交易领域有哪些经典学术论文?


这个W就是回报的实实在在的钱 算出来的是对于投资者来说的价值 跟出现的概率做一个数学期望 就是整个项目对于投资者的总价值 拿去跟其他的比较

然后他拿去实际测量了 感觉还不错 基本上所有人都是风险厌恶型投资者(就是投资一样选波动最小的,波动越大,要求的平均回报率必须更高,高的多得多) 这奠定了以后的很多金融定价模型的基础

注意 风险这个概念在金融里面不是说什么大跌 是波动 往上涨往下跌都是风险 稳定不动的收益才叫无风险

文献网址

http://opac.library.usyd.edu.au:80/record=b3632103~S4




等我填坑,第二个是收益/风险最优解

这个话题我能写一个月 (≧∇≦)

Kritzman, M. (2011) “The graceful aging of mean-variance optimization”, Journal of Portfolio

Management, Vol. 37 Issue 2, pp. 3-5. http://opac.library.usyd.edu.au:80/record=b4152264~S4
Michaud, R.O. (1989) “The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?”, Financial

Analysts Journal, Jan-Feb, pp. 31-42. http://opac.library.usyd.edu.au:80/record=b4152266~S4

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