Resources

Any collection of papers in this field will have a great deal of overlap. The most frequently cited papers will show up in many collections. I have tried to collect some of those resources here, and made use of them for inspiration, additional sources, and cross-checking.

Any analyst working in the field of predicting financial markets should be reading and replicating almost constantly, looking for ideas which may be applied to their organizational constraints.

Recent work by Ilmanen (2011) has done a tremendous job of examining factor risk premia, covering over 100 pages in 13 different case studies. The book is also the most complete compilation I am aware of on this topic. Jacobs (2014) does a cursory pass through “one hundred anomalies”, and while their methodology is not described in enough detail to evaluate whether their results should be considered trustworthy, they do cover many of the classic strategies which appear in the literature.

Quantpedia has done some categorization work and collected papers into 50 publicly available “strategies”, and many more available only on a subscription basis.

AQR, managed by Cliff Asness, publishes much of its research in various blogs and in “Research Notes”.
For factor investing, this is a gold mine.

France’s Capital Fund Management publish a tremendous amount of research in peer-reviewed journals, and on their web site.

Pfaff (2012) is a superb resource for R packages for many analytical techniques that will be useful in examining papers in this field.

The Market Technicians Association is a professsional educational and networking organization that focuses mostly on traditional technical analysis, and leans towards chartists. The archives of their journal and the papers submitted for consideration for the annual Charles Dow Award may provide useful ideas and papers for replication. In this vein, structured write-ups of many classic technical analysis strategies may be found here.

Algorithmic Finance is a peer-reviewed open access journal that publishes many papers relevant to trading strategy development.

Earning Fees

Providing Capital

Real Estate

Citation Title
Derwall et al. (2009) REIT momentum and the performance of real estate mutual funds
Feng, Price, and Sirmans (2014) The Relation between Momentum and Drift: Industry-Level Evidence from Equity Real Estate Investment Trusts (REITs)
Hung and Glascock (2010) Volatilities and momentum returns in real estate investment trusts
D. E. Huerta and Rivas (2010) Has a profitable momentum strategy for REITs disappeared?
Bond and Xue (2014) The Cross Section of Expected Real Estate Returns: Insights from Investment-Based Asset Pricing

Carry

Citation Title
Christiansen, Ranaldo, and Söderlind (2011) The time-varying systematic risk of carry trade strategies
Cochrane (2000) New Facts in Finance
Brunnermeier, Nagel, and Pedersen (2008) Carry Trades and Currency Crashes
Jurek (2008) Crash Neutral Currency Carry Trades
Brunnermeier and Pedersen (2009) Market Liquidity and Funding Liquidity
Menkhoff et al. (2012) Carry trades and global foreign exchange volatility
Clarida, Davis, and Pedersen (2009) Currency carry trade regimes: Beyond the Fama regression

Asset Allocation

Citation Title
M. T. Faber and Richardson (2009) The Ivy Portfolio
M. Faber (2016) The Trinity Portfolio: A Long-Term Investing Framework Engineered for Simplicity, Safety, and Outperformance
H. Liu (2004) Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets
Skaf and Boyd (2008) Multi-period portfolio optimization with constraints and transaction costs

Tactical Asset Allocation

Citation Title
Bookstaber and Langsam (2000) Portfolio Insurance Trading Rules
Martellini and Milhau (2009) Measuring the benefits of dynamic asset allocation strategies in the presence of liability constraints
Y. Han, Yang, and Zhou (2013) A new anomaly: The cross-sectional profitability of technical analysis
M. T. Faber (2013) A quantitative approach to tactical asset allocation
Roncalli (2013) Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation

Factor Models, general

Citation Title
Amenc et al. (2017) Accounting for Cross-Factor Interactions in Multifactor Portfolios without Sacrificing Diversification and Risk Control
Piela (2013) Evaluation of Efficiency and Explanatory Power of the CAPM and the Fama-French Asset Pricing Models: Evidence from the US Equity Markets
Simlai (2012) Endogenous Information, Risk Characterization, and the Predictability of Average Stock Return
Zaremba (2014) Country Selection Strategies Based on Value, Size and Momentum
Olszweski and Zhou (2013) Strategy diversification: Combining momentum and carry strategies within a foreign exchange portfolio
Hammerschmid (2017) Commodity Return Predictability
Y. Liu, Tsyvinski, and Wu (2022) Common risk factors in cryptocurrency
Bianchi and Babiak (2021) A factor model for cryptocurrency returns
W. Han et al. (2021) Cryptocurrency factor portfolios: Performance, decomposition and pricing models
Harvey and Liu (2019) A census of the factor zoo
Fama and French (2020) Comparing cross-section and time-series factor models

Value

Citation Title
Schiller (2000) Irrational Exuberance (introduces Cyclically Adjusted PE Ratio)
M. T. Faber (2012) Global Value: Building Trading Models with the 10 Year CAPE
Klement (2012) Does the Shiller-PE Work in Emerging Markets?
Frazzini, Kabiller, and Pedersen (2013) Buffett’s Alpha
Angelini et al. (2012) Value Matters: Predictability of Stock Index Returns
Ellahie, Katz, and Richardson (2013) Risky Value
C. S. Asness, Moskowitz, and Pedersen (2013) Value and Momentum Everywhere
C. Asness et al. (2015) Fact, Fiction, and Value Investing

Momentum (Fama/French)

Citation Title
Foltice and Langer (2014) Profitable Momentum Trading Strategies for Individual Investors
Siganos (2010) Can small investors exploit the momentum effect?
Andreu, Swinkels, and Tjong-A-Tjoe (2013) Can Exchange Traded Funds be Used to Exploit Country and Industry Momentum?
Ammann, Moellenbeck, and Schmid (2011) Feasible Momentum Strategies in the US Stock Market
Hurst, Ooi, and Pedersen (2012) A Century of Evidence on Trend Following Investing

Momentum/Trend Models

Citation Title
Wilcox and Crittenden (2005) Does Trend-Following Work on Stocks?
Fung and Hsieh (2001) The risk in hedge fund strategies: Theory and evidence from trend followers
James (2003) Simple trend-following strategies in currency trading
Szakmary, Shen, and Sharma (2010) Trend-following trading strategies in commodity futures: A re-examination
Clare et al. (2013) Breaking into the blackbox: Trend following, stop losses and the frequency of trading–The case of the S&P500
Wojtow (2012) Theoretical basis and a practical example of trend following
Baltas and Kosowski (2012) Improving time-series momentum strategies: The role of trading signals and volatility estimators
Baltas and Kosowski (2013) Momentum Strategies in Futures Markets and Trend-following Funds
Greyserman and Kaminski (2014) Trend Following with Managed Futures: The Search for Crisis Alpha
Hurst, Ooi, and Pedersen (2010) Understanding Managed Futures
C. Asness et al. (2014) Fact, Fiction, and Momentum Investing
Levine and Pedersen (2015) Which Trend is Your Friend?
Zakamulin and Giner (2022) Optimal Trend Following Rules in Two-State Regime-Switching Models
Nguyen, Liu, and Parikh (2020) Exploring the short-term momentum effect in the cryptocurrency market
Dobrynskaya (2021) Cryptocurrency Momentum and Reversal

Time Series Momentum

Citation Title
Zhou and Zhu (2013) An Equilibrium Model of Moving-Average Predictability and Time-Series Momentum
Moskowitz, Ooi, and Pedersen (2012) Time series momentum
Dudler, Gmuer, and Malamud (2014) Risk Adjusted Time Series Momentum
Zakamulin (2016) Revisiting the Profitability of Market Timing with Moving Averages
Huang et al. (2020) Time series momentum: Is it there?

Cross Sectional

Citation Title
Jegadeesh and Titman (2002) Cross-sectional and Time-Series Determinants of Momentum Returns
Gorton, Hayashi, and Rouwenhorst (2013) Fundamentals of Commodity Futures Returns
C. S. Asness, Moskowitz, and Pedersen (2013) Value and Momentum Everywhere
Stivers and Sun (2010) Cross-sectional return dispersion and time variation in value and momentum premiums
Daniel and Titman (1997) Evidence on the characteristics of cross sectional variation in stock returns
S. Kim (2021) Time-series residual momentum strategies
Fama and French (2020) Comparing cross-section and time-series factor models

Frequency Based/Technicals

Citation Title
Lo, Mamaysky, and Wang (2000) Foundations of Technical Analysis
Kaminski and Lo (2014) When do Stop Loss Rules Stop Losses?
Glabadanidis (2013) Market Timing with Moving Averages
Bruder et al. (2011) Trend filtering methods for momentum strategies
Ehlers (2001) Rocket Science for Traders
Qi and Wu (2006) Technical trading-rule profitability, data snooping, and reality check: evidence from the foreign exchange market
Smith (1997) The scientist and engineer’s guide to digital signal processing
Baxter and King (1999) Measuring business cycles: approximate band-pass filters for economic time series
Marshall, Cahan, and Cahan (2008) Can commodity futures be profitably traded with quantitative market timing strategies?
Neely et al. (2014) Forecasting the equity risk premium: the role of technical indicators

Statistical Arbitrage

Citation Title
Meucci (2009) Review of statistical arbitrage, cointegration, and multivariate Ornstein-Uhlenbeck
Alexander and Dimitriu (2002) The cointegration alpha: Enhanced index tracking and long-short equity market neutral strategies
Alexander and Dimitriu (2005) Indexing and Statistical Arbitrage
Avellaneda and Lee (2010) Statistical Arbitrage in US Equity Markets
Khandania and Lo (2007) What Happened to the Quants in August 2007
Gatev, Goetzmann, and Rouwenhorst (2006) Pairs trading: Performance of a relative-value arbitrage rule
Cohen and Frazzini (2008) Economic links and predictable returns
Cohen, Frazzini, and Malloy (2008) The Small World of Investing: Board Connections and Mutual Fund Returns
Vidyamurthy (2004) Pairs Trading: quantitative methods and analysis
Pole (2011) Statistical arbitrage: algorithmic trading insights and techniques
Krauss (2016) Statistical arbitrage pairs trading strategies: Review and outlook
Makarov and Schoar (2020) Trading and arbitrage in cryptocurrency markets

#Algorithmic Trading and Electronic Market Making

Citation Title
Kirilenko and Lo (2013) Moore’s Law Versus Murphy’s Law: Algorithmic trading and its discontents
R. L. Kissell (2006) Algorithmic Trading Strategies
Johnson (2010) Algorithmic Trading and DMA
R. Kissell (2013) The science of algorithmic trading and portfolio management
Obizhaeva and Wang (2013) Optimal trading strategy and supply/demand dynamics
Rossi and Tinn (2014) Man or machine? Rational trading without information about fundamentals
Golub, Glattfelder, and Olsen (2017) The Alpha Engine: Designing an Automated Trading Algorithm
R. Kissell (2020) Algorithmic Trading Methods
Velu, Hardy, and Nehren (2020) Algorithmic Trading and Quantitative Strategies

Liquidity Provision

Citation Title
Hasbrouck (2006) Empirical Market Microstructure
Amihud and Mendelson (1991) Liquidity, asset prices and financial policy
Acharya and Pedersen (2005) Asset pricing with Liquidity Risk
Amihud, Mendelson, and Pedersen (2006) Liquidity and Asset Prices
Campbell, Grossman, and Wang (1993) Trading volume and serial correlation in stock returns
Grossman and Miller (1988) Liquidity and Market Structure
Abergel, Huré, and Pham (2017) Algorithmic trading in a microstructural limit order book model

Market Making

Citation Title
Lo, Mamaysky, and Wang (2001) Asset prices and trading volume under fixed transactions costs
Amihud and Mendelson (1980) Dealership market: Market-making with inventory
Brockman and Chung (2002) Commonality in Liquidity: Evidence from an Order-Driven Market Structure
Manaster and Mann (1996) Life in the pits: Competitive market making and inventory control
Manaster and Mann (1999) Sources of Market-making Profits: Man Does Not Live by Spread Alone
Bouchard, Dang, and Lehalle (2011) Optimal control of trading algorithms: a general impulse control approach
Labadie, Lehalle, et al. (2010) Optimal algorithmic trading and market microstructure
P. R. Locke and Mann (2005) Professional Trader Discipline and Trade Disposition
P. Locke and Onayev (2007) Order Flow, Dealer Profitability, and Price Formation
Carmona and Webster (2012) High Fequency Market Making
Lehalle (2013) Market Microstructure Knowledge Needed for Controlling Intraday Trading Processes
Guéant, Lehalle, and Fernandez-Tapia (2013) Dealing with the inventory risk: a solution to the market making problem
Guéant (2017) Optimal market making

Volatility Arbitrage

Citation Title
Chicheportiche and Bouchaud (2014) The fine-structure of volatility feedback I: multi-scale self-reflexivity
Barucci et al. (2003) The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
Wu (2001) The determinants of asymmetric volatility
Campbell and Hentschel (1992) No news is good news: An asymmetric model of changing volatility in stock returns
Carr and Wu (2011) Leverage effect, volatility feedback, and self-exciting market disruptions
Bollerslev, Litvinova, and Tauchen (2006) Leverage and volatility feedback effects in high-frequency data
Chicheportiche and Bouchaud (2014) The fine-structure of volatility feedback I: Multi-scale self-reflexivity
Zhang and Li (2020) Is idiosyncratic volatility priced in cryptocurrency markets?

Regime models

Citation Title
Hamilton (1989) A new approach to the economic analysis of nonstationary time series and the business cycle
Hamilton (1996) Specification testing in Markov-switching time-series models
C.-J. Kim and Nelson (1999a) Has the US economy become more stable? A Bayesian approach based on a Markov-switching model of the business cycle
C.-J. Kim and Nelson (1999b) State Space Models with Regime Switching
Taylor (2000) Change-point analysis: a powerful new tool for detecting changes
Matteson and James (2014) A nonparametric approach for multiple change point analysis of multivariate data
Killick, Fearnhead, and Eckley (2012) Optimal detection of changepoints with a linear computational cost
Zakamulin and Giner (2022) Optimal Trend Following Rules in Two-State Regime-Switching Models
Ardia et al. (2019) Markov-switching GARCH models in R: The MSGARCH package
Zakamulin and Giner (2022) Optimal Trend Following Rules in Two-State Regime-Switching Models

Machine learning, books

Citation Title
Domingos (2015) The Master Algorithm
Hyndman et al. (2008) Forecasting with exponential smoothing: the state space approach
Japkowicz and Shah (2011) Evaluating learning algorithms: a classification perspective
Hastie, Tibshirani, and Friedman (2009) The elements of statistical learning: Data mining, inference, and prediction. Second Edition
Kuhn and Johnson (2019) Feature engineering and selection: A practical approach for predictive models
Kuhn, Johnson, et al. (2013) Applied predictive modeling
Dixon, Halperin, and Bilokon (2020) Machine Learning in Finance
Coqueret and Guida (2020) Machine Learning for Factor Investing
López de Prado (2018) Advances in Financial Machine Learning

Machine learning, general

Citation Title
Diebold and Mariano (2012) Comparing Predictive Accuracy
Domingos (2012) A few useful things to know about machine learning
Romahi and Shen (2000) Dynamic financial forecasting with automatically induced fuzzy associations
Borodin, El-Yaniv, and Gogan (2004) Can we learn to beat the best stock?
R. Huerta, Corbacho, and Elkan (2013) Nonlinear support vector machines can systematically identify stocks with high and low future returns
Fogarasi and Levendovszky (2013) Sparse, mean reverting portfolio selection using simulated annealing
Kearns and Nevmyvaka (2013) Machine learning for market microstructure and high frequency trading
Bacoyannis et al. (2018) Idiosyncrasies and challenges of data driven learningin electronic trading
Bracke et al. (2019) Machine learning explainability in finance: an application to default risk analysis

Where do these models go?

References

Abergel, Frédéric, Côme Huré, and Huyên Pham. 2017. “Algorithmic Trading in a Microstructural Limit Order Book Model.” arXiv Preprint arXiv:1705.01446.
Acharya, Viral V, and Lasse Heje Pedersen. 2005. “Asset Pricing with Liquidity Risk.” Journal of Financial Economics 77 (2): 375–410. http://mpra.ub.uni-muenchen.de/24768/1/MPRA_paper_24768.pdf.
Alexander, Carol, and Anca Dimitriu. 2002. “The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies.” http://papers.ssrn.com/sol3/papers.cfm?abstract_id=315619.
———. 2005. “Indexing and Statistical Arbitrage.” The Journal of Portfolio Management 31 (2): 50–63. http://financelab.nctu.edu.tw/FinMathStatConf/Paper/JPM05Alexander.pdf.
Amenc, Noël, Frédéric Ducoulombier, Mikheil Esakia, Felix Goltz, and Sivagaminathan Sivasubramanian. 2017. “Accounting for Cross-Factor Interactions in Multifactor Portfolios Without Sacrificing Diversification and Risk Control.” The Journal of Portfolio Management 43 (5): 99–114.
Amihud, Yakov, and Haim Mendelson. 1980. “Dealership Market: Market-Making with Inventory.” Journal of Financial Economics 8 (1): 31–53. http://pages.stern.nyu.edu/~lpederse/courses/LAP/papers/InventoryRisk/AmihudMendelson80.pdf.
———. 1991. “Liquidity, Asset Prices and Financial Policy.” Financial Analysts Journal, 56–66. http://pages.stern.nyu.edu/~lpederse/courses/LAP/papers/Information,OrderFlow/BrunnermeierPedersen.pdf.
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Ammann, Manuel, Marcel Moellenbeck, and Markus M Schmid. 2011. “Feasible Momentum Strategies in the US Stock Market.” Journal of Asset Management 11 (6): 362–74. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1694700.
Andreu, Laura, Laurens Swinkels, and Liam Tjong-A-Tjoe. 2013. “Can Exchange Traded Funds Be Used to Exploit Industry and Country Momentum?” Financial Markets and Portfolio Management 27 (2): 127–48. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1150972.
Angelini, Natascia, Giacomo Bormetti, Stefano Marmi, and Franco Nardini. 2012. “Value Matters: Predictability of Stock Index Returns.” Available at SSRN 2031406. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2031406.
Ardia, David, Keven Bluteau, Kris Boudt, Leopoldo Catania, and Denis-Alexandre Trottier. 2019. “Markov-Switching GARCH Models in r: The MSGARCH Package.” Journal of Statistical Software 91 (4).
Asness, Clifford S, Tobias J Moskowitz, and Lasse Heje Pedersen. 2013. “Value and Momentum Everywhere.” The Journal of Finance 68 (3): 929–85. https://noppa.oulu.fi/noppa/kurssi/721383s/materiaali/721383S_value_and_momentum_everywhere.pdf.
Asness, Clifford, Andrea Frazzini, Ronen Israel, and Tobias Moskowitz. 2014. “Fact, Fiction, and Momentum Investing.” The Journal of Portfolio Management 40 (5): 75–92.
———. 2015. “Fact, Fiction, and Value Investing.” The Journal of Portfolio Management 42 (1): 34–52.
Avellaneda, Marco, and Jeong-Hyun Lee. 2010. “Statistical Arbitrage in the US Equities Market.” Quantitative Finance 10 (7): 761–82. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1153505.
Bacoyannis, Vangelis, Vacslav Glukhov, Tom Jin, Jonathan Kochems, and Doo Re Song. 2018. “Idiosyncrasies and Challenges of Data Driven Learningin Electronic Trading.” https://arxiv.org/pdf/1811.09549.pdf.
Baltas, Akindynos-Nikolaos, and Robert Kosowski. 2012. “Improving Time-Series Momentum Strategies: The Role of Trading Signals and Volatility Estimators.” SSRN eLibrary. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2140091.
———. 2013. “Momentum Strategies in Futures Markets and Trend Following Funds.” https://workspace.imperial.ac.uk/business-school/Public/RiskLab/wp11.pdf.
Barucci, Emilio, Paul Malliavin, Maria Elvira Mancino, Roberto Renò, and Anton Thalmaier. 2003. “The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability.” Mathematical Finance 13 (1): 17–35. http://www.researchgate.net/profile/Emilio_Barucci/publication/4726437_The_Price-Volatility_Feedback_Rate_An_Implementable_Mathematical_Indicator_of_Market_Stability/links/0046352b49ca670e65000000.pdf.
Baxter, Marianne, and Robert G King. 1999. “Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series.” Review of Economics and Statistics 81 (4): 575–93. http://pages.stern.nyu.edu/~dbackus/GE_asset_pricing/ms/Filters/BaxterKing%20bandpass%20NBER%205022.pdf.
Bianchi, Daniele, and Mykola Babiak. 2021. “A Factor Model for Cryptocurrency Returns.” CERGE-EI Working Paper Series, no. 710.
Bollerslev, Tim, Julia Litvinova, and George Tauchen. 2006. “Leverage and Volatility Feedback Effects in High-Frequency Data.” Journal of Financial Econometrics 4 (3): 353–84. http://public.econ.duke.edu/~boller/Published_Papers/jofe_06.pdf.
Bond, Shaun, and Chen Xue. 2014. “The Cross Section of Expected Real Estate Returns: Insights from Investment-Based Asset Pricing.”
Bookstaber, Richard, and Joseph A Langsam. 2000. “Portfolio Insurance Trading Rules.” Journal of Futures Markets 20 (1): 41–57.
Borodin, Allan, Ran El-Yaniv, and Vincent Gogan. 2004. “Can We Learn to Beat the Best Stock.” Journal of Artificial Intelligence Research, 579–94. http://www.jair.org/media/1336/live-1336-2275-jair.pdf.
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Brunnermeier, Markus K, Stefan Nagel, and Lasse H Pedersen. 2008. “Carry Trades and Currency Crashes.” NBER Macroeconomics Annual 23 (1). http://inctpped.ie.ufrj.br/spiderweb/dymsk_3/3-6S%20Brunnermeier-Nagel-Pedersen.pdf.
Brunnermeier, Markus K, and Lasse Heje Pedersen. 2009. “Market Liquidity and Funding Liquidity.” Review of Financial Studies 22 (6): 2201–38. http://archive.nyu.edu/fda/bitstream/2451/26638/2/S-AM-05-06.pdf.
Campbell, John Y, Sanford J Grossman, and Jiang Wang. 1993. “Trading Volume and Serial Correlation in Stock Returns.” The Quarterly Journal of Economics 108 (4): 905–039. http://pages.stern.nyu.edu/~lpederse/courses/LAP/papers/InventoryRisk/AmihudMendelson80.pdf.
Campbell, John Y, and Ludger Hentschel. 1992. “No News Is Good News: An Asymmetric Model of Changing Volatility in Stock Returns.” Journal of Financial Economics 31 (3): 281–318. http://dash.harvard.edu/bitstream/handle/1/3220232/campbell_nonews.pdf?...
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Carr, Peter, and Liuren Wu. 2011. “Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions.” Bloomberg Portfolio Research Paper, no. 2009-03. http://faculty.baruch.cuny.edu/lwu/papers/ncev_ovbb.pdf.
Chicheportiche, Rémy, and Jean-Philippe Bouchaud. 2014. “The Fine-Structure of Volatility Feedback i: Multi-Scale Self-Reflexivity.” Physica A: Statistical Mechanics and Its Applications 410: 174–95. http://arxiv.org/pdf/1206.2153v2.pdf.
Christiansen, Charlotte, Angelo Ranaldo, and Paul Söderlind. 2011. “The Time-Varying Systematic Risk of Carry Trade Strategies.” Journal of Financial and Quantitative Analysis 46 (04): 1107–25. file:///home/brian/Downloads/ccy.pdf.
Clare, Andrew, James Seaton, Peter N Smith, and Stephen Thomas. 2013. “Breaking into the Blackbox: Trend Following, Stop Losses and the Frequency of Trading–the Case of the s&P500.” Journal of Asset Management 14 (3): 182–94. http://www.york.ac.uk/media/economics/documents/discussionpapers/2012/1211.pdf.
Clarida, Richard, Josh Davis, and Niels Pedersen. 2009. “Currency Carry Trade Regimes: Beyond the Fama Regression.” Journal of International Money and Finance 28 (8): 1375–89. http://core.kmi.open.ac.uk/download/pdf/6403385.pdf.
Cochrane, John H. 2000. “New Facts in Finance.” Economic Perspectives. Federal Reserve Bank of Chicago. http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.205.3892&rep=rep1&type=pdf.
Cohen, Lauren, and Andrea Frazzini. 2008. “Economic Links and Predictable Returns.” The Journal of Finance 63 (4): 1977–2011. http://aida.econ.yale.edu/~af227/pdf/Economic%20Links%20and%20Predictable%20Returns%20-%20Cohen%20and%20Frazzini.pdf.
Cohen, Lauren, Andrea Frazzini, and Christopher Malloy. 2008. “The Small World of Investing: Board Connections and Mutual Fund Returns.” Journal of Political Economy 116 (5): 951–79.
Coqueret, Guillaume, and Tony Guida. 2020. Machine Learning for Factor Investing. Chapman & Hall. http://mlfactor.com/.
Daniel, Kent, and Sheridan Titman. 1997. “Evidence on the Characteristics of Cross Sectional Variation in Stock Returns.” The Journal of Finance 52 (1): 1–33. http://www.researchgate.net/profile/Narasimhan_Jegadeesh/publication/5216887_Cross-Sectional_and_Time-Series_Determinants_of_Momentum_Returns/links/0a85e5383ba5d2941e000000.pdf.
Derwall, Jeroen, Joop Huij, Dirk Brounen, and Wessel Marquering. 2009. “REIT Momentum and the Performance of Real Estate Mutual Funds.” Financial Analysts Journal, 24–34. http://arno.unimaas.nl/show.cgi?fid=16110.
Diebold, Francis X, and Robert S Mariano. 2012. “Comparing Predictive Accuracy.” Journal of Business & Economic Statistics. http://www.est.uc3m.es/esp/nueva_docencia/comp_col_get/lade/tecnicas_prediccion/Practicas0708/Comparing%20Predictive%20Accuracy%20(Dielbold).pdf.
Dixon, Matthew F, Igor Halperin, and Paul Bilokon. 2020. Machine Learning in Finance. Springer.
Dobrynskaya, Victoria. 2021. “Cryptocurrency Momentum and Reversal.” Available at SSRN 3913263.
Domingos, Pedro. 2012. “A Few Useful Things to Know about Machine Learning.” Communications of the ACM 55 (10): 78–87.
———. 2015. The Master Algorithm: How the Quest for the Ultimate Learning Machine Will Remake Our World. Penguin Books.
Dudler, Martin, Bruno Gmuer, and Semyon Malamud. 2014. “Risk Adjusted Time Series Momentum.” Available at SSRN 2457647. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2457647.
Ehlers, John F. 2001. Rocket Science for Traders: Digital Signal Processing Applications. Vol. 112. John Wiley & Sons.
Ellahie, Atif, Michael Katz, and Scott A Richardson. 2013. “Risky Value.” Available at SSRN. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2325524.
Faber, Mebane. 2016. “The Trinity Portfolio: A Long-Term Investing Framework Engineered for Simplicity, Safety, and Outperformance.” CQR June 2016. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2801856.
Faber, Mebane T. 2012. “Global Value: Building Trading Models with the 10 Year CAPE.” Cambria Quantitative Research, no. 5. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2129474.
———. 2013. “A Quantitative Approach to Tactical Asset Allocation.” http://papers.ssrn.com/sol3/papers.cfm?abstract_id=962461.
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