Alexander, Carol. 2001. Market Models: A Guide to Financial Data Analysis . West Sussex: John Wiley & Sons Ltd.
Bailey, David, J. Borwein, Marcos López de Prado, and J. Zhu. 2014. “Pseudo-mathematics and financial charlatanism: The effects of backtest overfitting on out-of-sample performance.” Notices of the American Mathematical Society 61 (5) (May): 458–471. https://ssrn.com/abstract=2308659 .
Bailey, David, and Marcos López de Prado. 2012. “The Sharpe Ratio Efficient Frontier.” Journal of Risk 15 (2): Winter 2012/13. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1821643 .
Chan, Ernest. 2006a. “A ‘Highly Improbable’ Event? A Historical Analysis of the Natural Gas Spread Trade That Bought Down Amaranth.” Quantitative Trading blog, October 2, http://epchan.blogspot.com/2006/10/highly-improbable-event.html .
Chan, Ernest. 2006b. “Reader Suggests a Possible Trading Strategy with the GLD–GDX Spread.” Quantitative Trading . November 17. http://epchan.blogspot.com/2006/11/reader-suggested-possible-trading.html .
Chan, Ernest. 2013. Algorithmic Trading: Winning Strategies and Their Rationale . Wiley.
Chan, Ernest. 2017. “Paradox Resolved: Why Risk Decreased Expected Log Return but Not Expected Wealth.” Quantitative Trading . May 4. http://epchan.blogspot.com/2017/05/paradox-resolved-why-risk-decreases.html .
Chan, Ernest. 2020. “What Is the Probability of Your Profit?” PredictNow.ai. https://www.predictnow.ai/blog/what-is-the-probability-of-profit-of-your-next-trade-introducing-predictnow-ai/ .
Clark, Nicola. 2008. “French Bank Says Its Controls Failed for 2 Years.” New York Times, February 21. http://www.nytimes.com/2008/02/21/business/worldbusiness/21bank.html?ex=1361336400&en=cf84f3776a877eac&ei=5124&partner=permalink&exprod=permalink .
Duhigg, Charles. 2006. “Street Scene; A Smarter Computer to Pick Stock.” New York Times , November 24.
Economist . 2007a. “This Year's Model .” December 13. www.economist.com/finance/displaystory.cfm?story_id=10286619 .
Economist . 2007b. “Too Much Information .” July 12. www.economist.com/finance/displaystory.cfm?story_id=9482952 .
Economist . 2019. “March of the Machines. The Stock Market Is Now Run by Computers, Algorithms, and Passive Managers.” October 5. www.economist.com/briefing/2019/10/05/the-stockmarket-is-now-run-by-computers-algorithms-and-passive-managers .
Fama, Eugene, and Kenneth French. 1992. “The Cross-Section of Expected Stock Returns.” Journal of Finance XLVII (2): 427–465.
Fielden, Sandy. 2006. “Seasonal Surprises.” Energy Risk . September. https://www.risk.net/infrastructure/1523742/seasonal-surprises .
Gershgorn. 2017. “The Data That Transformed AI Research—and Possibly the World.” Qz . https://qz.com/1034972/the-data-that-changed-the-direction-of-ai-research-and-possibly-the-world/ .
Grinold, Richard, and Ronald Kahn. 1999. Active Portfolio Management . New York: McGraw-Hill.
Heston, Steven, and Ronnie Sadka. 2007. “Seasonality in the Cross-Section of Expected Stock Returns.” AFA 2006 Boston Meetings Paper, July. lcb1.uoregon.edu/rcg/seminars/seasonal072604.pdf .
Kahneman, Daniel. 2011. Thinking, Fast and Slow . Farrar, Straus and Giroux.
Khandani, Amir E., and Andrew Lo. 2007. “What Happened to the Quants in August 2007? ” MIT. https://web.mit.edu/Alo/www/Papers/august07.pdf .
Kochkodin, Brandon. 2021. “How Wall Street Bets Pushed GameStop Shares to the Moon .” Bloomberg. www.bloomberg.com/news/articles/2021-01-25/how-wallstreetbets-pushed-gamestop-shares-to-the-moon?sref=MqSE4VuP .
Lewis, Michael. 2014. Flash Boys . W.W. Norton.
Lo, Andrew, 2019. Adaptive Markets: Financial Evolution at the Speed of Thought . Princeton University Press.
López de Prado, Marcos. 2018. Advances in Financial Machine Learning . Wiley.
Lowenstein, Roger. 2000. When Genius Failed: The Rise and Fall of Long-Term Capital Management . Random House.
Lux, Hal. 2000. “The Secret World of Jim Simons.” Institutional Investor Magazine , November 1.
Markoff, John. 2007. “Faster Chips Are Leaving Programmers in Their Dust.” New York Times , December 17. www.nytimes.com/2007/12/17/technology/17chip.html?ex=1355634000&en=a81769355deb7953&ei=5124&partner=permalink&exprod=permalink .
Oldfield, Richard. 2007. Simple but Not Easy . Doddington Publishing.
Peters, O., and M. Gell-Mann 2016. “Evaluating Gambles Using Dyanmics.” Chaos 26: 023103. https://doi.org/10.1063/1.4940236 .
Phillips, Daniel. 2020. “Investment Strategy Commentary: Value Stocks: Trapped or Spring-Loaded?” Northern Trust, September 24. https://www.northerntrust.com/canada/insights-research/2020/investment-management/value-stocks .
Poundstone, William. 2005. Fortune's Formula . New York: Hill and Wang.
Ritter, Jay. 2003. “Behavioral Finance.” Pacific-Basin Finance Journal 11 (4) September: 429–437.
Schiller, Robert. 2008. “Economic View; How a Bubble Stayed under the Radar.” New York Times, March 2. www.nytimes.com/2008/03/02/business/02view.html?ex=1362286800&en=da9e48989b6f937a&ei=5124&partner=permalink&exprod=permalink .
Sharpe, William. 1994. “The Sharpe Ratio.” Journal of Portfolio Management , Fall. https://jpm.pm-research.com/content/21/1/49 .
Singal, Vijay. 2006. Beyond the Random Walk . Oxford University Press.
Taleb, Nassim. 2007. The Black Swan: The Impact of the Highly Improbable . Random House.
Thaler, Richard. 1994. The Winner's Curse . Princeton, NJ: Princeton University Press.
Thorp, Edward. 1997. “The Kelly Criterion in Blackjack, Sports Betting, and the Stock Market.” Handbook of Asset and Liability Management , Volume I, Zenios and Ziemba (eds.). Elsevier 2006. www.EdwardOThorp.com .
Toepke, Jerry. 2004. “Fill 'Er Up! Benefit from Seasonal Price Patterns in Energy Futures.” Stocks, Futures and Options Magazine , March 3 (3). www.sfomag.com/issuedetail.asp?MonthNameID=March&yearID=2004 .
Uhlenbeck, George, and Leonard Ornstein. 1930. “On the Theory of Brownian Motion.” Physical Review 36: 823–841.
..................Content has been hidden....................
You can't read the all page of ebook, please click
here login for view all page.