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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
Jensen et al. (2023)Is There a Replication Crisis in Finance?
Journal of Finance
Factors and anomaliesFreeTechnical0
Gu et al. (2020)Empirical Asset Pricing via Machine Learning
Review of Financial Studies
Systematic trading and backtestingFreeTechnical0
Kang et al. (2020)A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets
Journal of Finance
Futures and commoditiesFreeTechnical0
Vince (2019)Expectation and Optimal f: Expected Growth with and without Reinvestment for Discretely-Distributed Outcomes of Finite Length
SSRN Working Paper
Risk and position sizingFreeTechnical0
Bailey et al. (2017)The Probability of Backtest Overfitting
Journal of Computational Finance
Systematic trading and backtestingFreeTechnical0
Johnson (2017)Risk Premia and the VIX Term Structure
Journal of Financial and Quantitative Analysis
VolatilityFreeTechnical0
Bondarenko (2014)Why Are Put Options So Expensive?
Quarterly Journal of Finance
OptionsFreeTechnical0
Szymanowska et al. (2014)An Anatomy of Commodity Futures Risk Premia
Journal of Finance
Futures and commoditiesPaywalledTechnical0
Neely et al. (2014)Forecasting the Equity Risk Premium: The Role of Technical Indicators
Management Science
Technical analysisFreeTechnical0
Savor & Wilson (2014)Asset Pricing: A Tale of Two Days
Journal of Financial Economics
Macro and the FedFreeTechnical0
Gorton et al. (2013)The Fundamentals of Commodity Futures Returns
Review of Finance
Futures and commoditiesFreeTechnical0
Easley et al. (2012)Flow Toxicity and Liquidity in a High-frequency World
Review of Financial Studies
Market microstructureFreeTechnical0
Menkhoff et al. (2012)Carry Trades and Global Foreign Exchange Volatility
Journal of Finance
Forex and carryFreeTechnical0
Lustig et al. (2011)Common Risk Factors in Currency Markets
Review of Financial Studies
Forex and carryFreeTechnical0
Jagannathan et al. (2010)Do Hot Hands Exist among Hedge Fund Managers? An Empirical Evaluation
Journal of Finance
Prop and professional tradersPaywalledTechnical0
Zhu & Zhou (2009)Technical Analysis: An Asset Allocation Perspective on the Use of Moving Averages
Journal of Financial Economics
Technical analysisPaywalledTechnical0
Corsi (2009)A Simple Approximate Long-Memory Model of Realized Volatility
Journal of Financial Econometrics
VolatilityPaywalledTechnical0
Bollerslev et al. (2009)Expected Stock Returns and Variance Risk Premia
Review of Financial Studies
VolatilityPaywalledTechnical0
Carr & Wu (2009)Variance Risk Premiums
Review of Financial Studies
OptionsPaywalledTechnical0
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
Kosowski et al. (2006)Can Mutual Fund 'Stars' Really Pick Stocks? New Evidence from a Bootstrap Analysis
Journal of Finance
Prop and professional tradersPaywalledTechnical0
Hansen (2005)A Test for Superior Predictive Ability
Journal of Business and Economic Statistics
Systematic trading and backtestingPaywalledTechnical0
Chekhlov et al. (2005)Drawdown Measure in Portfolio Optimization
International Journal of Theoretical and Applied Finance
Risk and position sizingPaywalledTechnical0
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
Berk & Green (2004)Mutual Fund Flows and Performance in Rational Markets
Journal of Political Economy
Prop and professional tradersFreeTechnical0
Bakshi et al. (2003)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options
Review of Financial Studies
OptionsPaywalledTechnical0
Bakshi & Kapadia (2003)Delta-Hedged Gains and the Negative Market Volatility Risk Premium
Review of Financial Studies
OptionsPaywalledTechnical0
Andersen et al. (2003)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
American Economic Review
Macro and the FedFreeTechnical0
Evans & Lyons (2002)Order Flow and Exchange Rate Dynamics
Journal of Political Economy
Forex and carryFreeTechnical0