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Research library

The papers that actually matter for traders, each with a plain-English summary, what you can use from it, and what it does not prove. Most link to free full texts on SSRN, NBER or arXiv.

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CitationPaperTopicAccessDifficultyScore
Getmansky et al. (2015)Hedge Funds: A Dynamic Industry in Transition
Annual Review of Financial Economics
Prop and professional tradersFreeModerate0
Brogaard et al. (2014)High-Frequency Trading and Price Discovery
Review of Financial Studies
Market microstructureFreeModerate0
Frazzini & Pedersen (2014)Betting Against Beta
Journal of Financial Economics
Factors and anomaliesFreeModerate0
Bailey & Prado (2014)The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality
Journal of Portfolio Management
Systematic trading and backtestingFreeModerate0
Bailey et al. (2014)Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
Notices of the American Mathematical Society
Systematic trading and backtestingFreeModerate0
Bailey & Prado (2014)Drawdown-Based Stop-Outs and the 'Triple Penance' Rule
Journal of Risk
Risk and position sizingFreeModerate0
Barber et al. (2014)The Cross-Section of Speculator Skill: Evidence from Day Trading
Journal of Financial Markets
Retail trader performanceFreeModerate0
Novy-Marx (2013)The Other Side of Value: The Gross Profitability Premium
Journal of Financial Economics
Factors and anomaliesFreeModerate0
Asness et al. (2013)Value and Momentum Everywhere
Journal of Finance
Momentum and trendFreeModerate0
Savor & Wilson (2013)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
Journal of Financial and Quantitative Analysis
Macro and the FedFreeModerate0
Tang & Xiong (2012)Index Investment and the Financialization of Commodities
Financial Analysts Journal
Futures and commoditiesFreeModerate0
Menkhoff et al. (2012)Currency Momentum Strategies
Journal of Financial Economics
Forex and carryFreeModerate0
Novy-Marx (2012)Is Momentum Really Momentum?
Journal of Financial Economics
Momentum and trendFreeModerate0
Moskowitz et al. (2012)Time Series Momentum
Journal of Financial Economics
Momentum and trendFreeModerate0
Mou (2011)Limits to Arbitrage and Commodity Index Investment: Front-Running the Goldman Roll
SSRN Working Paper
Futures and commoditiesFreeModerate0
Brunnermeier et al. (2008)Carry Trades and Currency Crashes
NBER Macroeconomics Annual
Forex and carryFreeModerate0
Nakamoto (2008)Bitcoin: A Peer-to-Peer Electronic Cash System
Self-published whitepaper
CryptoFreeModerate0
Thorp (2006)The Kelly Criterion in Blackjack, Sports Betting, and the Stock Market
Handbook of Asset and Liability Management, Volume 1 (Elsevier)
Risk and position sizingFreeModerate0
Erb & Harvey (2006)The Strategic and Tactical Value of Commodity Futures
Financial Analysts Journal
Futures and commoditiesFreeModerate0
Lo (2004)The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective
Journal of Portfolio Management
Market efficiencyFreeModerate0
Barberis & Thaler (2003)A Survey of Behavioral Finance
Handbook of the Economics of Finance
Behavioral financeFreeModerate0
Lo & Repin (2002)The Psychophysiology of Real-Time Financial Risk Processing
Journal of Cognitive Neuroscience
Prop and professional tradersFreeModerate0
Lo (2002)The Statistics of Sharpe Ratios
Financial Analysts Journal
Systematic trading and backtestingFreeModerate0