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JOURNAL ARTICLES (ELECTRONIC/ONLINE)

  1. Bailey, D.H., Borwein, J.M., Lopez de Prado, M. and Zhu, Q.J. (2014a) The Probability of Backtest Overfitting. [Online] Social Science Research Network 2326253. Available from SSRN: http://ssrn.com/abstract=2326253 [Accessed: December 3, 2014].
  2. Bailey, D.H., Borwein, J.M., Lopez de Prado, M. and Zhu, Q.J. (2014b) Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance. Notices of the American Mathematical Society. 61(5), May 2014. p. 458–471. [Online] Social Science Research Network. Abstract 2308569. Available from: http://ssrn.com/abstract=2308569 [Accessed: December 3, 2104].
  3. Beaudan, P. (2013) Telling the Good from the Bad and the Ugly: How to Evaluate Backtested Investment Strategies. [Online] Social Science Research Network. Abstract 2346600. Available from: http://ssrn.com/abstract=2346600 [Accessed: December 3, 2014].
  4. Burns, P. (2006) Random Portfolios for Evaluating Trading Strategies. [Online] Social Science Research Network. Abstract 881735. Available from: http://ssrn.com/abstract=881735 [Accessed: December 3, 2014].
  5. Fodor, A., Krieger, K. and Doran J.S. (2010) Do Option Open-Interest Changes Foreshadow Future Equity Returns? [Online] Social Science Research Network, Abstract 1634065. Available from: http://ssrn.com/abstract=1634065 [Accessed December 8, 2014].
  6. Garleanu, N., Pedersen, L.H. and Poteshman, A.M. (2009) Demand-Based Option Pricing. EFA 2005 Moscow Meeting Paper. [Online] SSRN, Abstract 676501. Available from: http://ssrn.com/abstract=676501 [Accessed: December 8, 2014].
  7. Harvey, C.R., Liu, Y. and Zhu, H. (2014) …and the Cross-Section of Expected Returns. [Online] Social Science Research Network. Abstract 2249314. Available from: http://ssrn.com/abstract=2249314 [Accessed: December 3, 2014].
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BOOKS

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UNPUBLISHED MANUSCRIPTS/WORKING PAPER SERIES

  1. Beneish, M.D. and Nichols, D.C. (2009) Identifying Overvalued Equity. Johnson School Research Paper Series No. 09-09. [Online] SSRN. Abstract 1134818. Available from: http://ssrn.com/abstract=1134818 [Accessed: December 8, 2014].
  2. Bradshaw, M.T., Hutton, A.P., Marcus, A.J. and Tehranian, H. (2010) Opacity, Crash Risk, and the Option Smirk Curve. Working Paper. Boston College. [Online] SSRN Abstract 1640733. Available from: http://ssrn.com/abstract=1640733 [Accessed: December 8, 2014].
  3. Treynor, J. (1962) Toward a Theory of Market Value of Risky Assets. Unpublished manuscript.
  4. Van Buskirk, A. (2011) Volatility Skew, Earnings Announcements and the Predictability of Crashes. Working Paper Series. [Online] SSRN. Abstract 1740513. Available from: http://ssrn.com/abstract=1740513 [Accessed: December 8, 2014].

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ONLINE BLOGS

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PUBLIC REPORTS

  1. Options Clearing Corporation (2013) Annual Report 2013. [Online] Available from: http://www.optionsclearing.com/components/docs/about/annual-reports/occ_2013_annual_report.pdf [Accessed December 4, 2014].
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