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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
Menkhoff et al. (2012)Carry Trades and Global Foreign Exchange Volatility
Journal of Finance
Forex and carryFreeTechnical0
Easley et al. (2012)Flow Toxicity and Liquidity in a High-frequency World
Review of Financial Studies
Market microstructureFreeTechnical0
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
Lustig et al. (2011)Common Risk Factors in Currency Markets
Review of Financial Studies
Forex and carryFreeTechnical0
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
Coates & Herbert (2008)Endogenous Steroids and Financial Risk Taking on a London Trading Floor
Proceedings of the National Academy of Sciences
Prop and professional tradersFreeEasy read0
Fung et al. (2008)Hedge Funds: Performance, Risk, and Capital Formation
Journal of Finance
Prop and professional tradersFreeTechnical0
Lustig & Verdelhan (2007)The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
American Economic Review
Forex and carryFreeTechnical0
Faber (2007)A Quantitative Approach to Tactical Asset Allocation
Journal of Wealth Management
Technical analysisFreeEasy read0
Erb & Harvey (2006)The Strategic and Tactical Value of Commodity Futures
Financial Analysts Journal
Futures and commoditiesFreeModerate0
Gorton & Rouwenhorst (2006)Facts and Fantasies about Commodity Futures
Financial Analysts Journal
Futures and commoditiesFreeEasy read0
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
Gürkaynak et al. (2005)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements
International Journal of Central Banking
Macro and the FedFreeTechnical0
Lo et al. (2005)Fear and Greed in Financial Markets: A Clinical Study of Day-Traders
American Economic Review (Papers and Proceedings)
Behavioral financeFreeEasy read0
Lo (2004)The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective
Journal of Portfolio Management
Market efficiencyFreeModerate0
Berk & Green (2004)Mutual Fund Flows and Performance in Rational Markets
Journal of Political Economy
Prop and professional tradersFreeTechnical0
Andersen et al. (2003)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
American Economic Review
Macro and the FedFreeTechnical0
Barberis & Thaler (2003)A Survey of Behavioral Finance
Handbook of the Economics of Finance
Behavioral financeFreeModerate0
Malkiel (2003)The Efficient Market Hypothesis and Its Critics
Journal of Economic Perspectives
Market efficiencyFreeEasy read0
Lo (2002)The Statistics of Sharpe Ratios
Financial Analysts Journal
Systematic trading and backtestingFreeModerate0
Evans & Lyons (2002)Order Flow and Exchange Rate Dynamics
Journal of Political Economy
Forex and carryFreeTechnical0
Lo & Repin (2002)The Psychophysiology of Real-Time Financial Risk Processing
Journal of Cognitive Neuroscience
Prop and professional tradersFreeModerate0
Lo et al. (2000)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
Journal of Finance
Technical analysisFreeTechnical0
Lo & MacKinlay (1990)When Are Contrarian Profits Due to Stock Market Overreaction?
Review of Financial Studies
Mean reversion and overreactionFreeTechnical0
Lo & MacKinlay (1988)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
Review of Financial Studies
Mean reversion and overreactionFreeTechnical0
Poterba & Summers (1988)Mean Reversion in Stock Prices: Evidence and Implications
Journal of Financial Economics
Mean reversion and overreactionFreeTechnical0
Shiller (1981)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
American Economic Review
Market efficiencyFreeTechnical0