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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
Bekaert & Wu (2000)Asymmetric Volatility and Risk in Equity Markets
Review of Financial Studies
VolatilityPaywalledTechnical0
Lo et al. (2000)Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation
Journal of Finance
Technical analysisFreeTechnical0
White (2000)A Reality Check for Data Snooping
Econometrica
Systematic trading and backtestingPaywalledTechnical0
Daniel et al. (1998)Investor Psychology and Security Market Under- and Overreactions
Journal of Finance
Behavioral financePaywalledTechnical0
Andersen & Bollerslev (1998)Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts
International Economic Review
VolatilityPaywalledTechnical0
Barberis et al. (1998)A Model of Investor Sentiment
Journal of Financial Economics
Behavioral financePaywalledTechnical0
Easley et al. (1996)Liquidity, Information, and Infrequently Traded Stocks
Journal of Finance
Market microstructurePaywalledTechnical0
Grossman & Zhou (1993)Optimal Investment Strategies for Controlling Drawdowns
Mathematical Finance
Risk and position sizingPaywalledTechnical0
Bessembinder (1992)Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets
Review of Financial Studies
Futures and commoditiesPaywalledTechnical0
Hasbrouck (1991)Measuring the Information Content of Stock Trades
Journal of Finance
Market microstructurePaywalledTechnical0
Lo & MacKinlay (1990)When Are Contrarian Profits Due to Stock Market Overreaction?
Review of Financial Studies
Mean reversion and overreactionFreeTechnical0
Lehmann (1990)Fads, Martingales, and Market Efficiency
Quarterly Journal of Economics
Mean reversion and overreactionPaywalledTechnical0
Fama & French (1988)Permanent and Temporary Components of Stock Prices
Journal of Political Economy
Mean reversion and overreactionPaywalledTechnical0
Poterba & Summers (1988)Mean Reversion in Stock Prices: Evidence and Implications
Journal of Financial Economics
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
Bollerslev (1986)Generalized Autoregressive Conditional Heteroskedasticity
Journal of Econometrics
VolatilityPaywalledTechnical0
Glosten & Milgrom (1985)Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders
Journal of Financial Economics
Market microstructurePaywalledTechnical0
Kyle (1985)Continuous Auctions and Insider Trading
Econometrica
Market microstructurePaywalledTechnical0
Fama (1984)Forward and Spot Exchange Rates
Journal of Monetary Economics
Forex and carryPaywalledTechnical0
Engle (1982)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Econometrica
VolatilityPaywalledTechnical0
Shiller (1981)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?
American Economic Review
Market efficiencyFreeTechnical0
Grossman & Stiglitz (1980)On the Impossibility of Informationally Efficient Markets
American Economic Review
Market efficiencyPaywalledTechnical0
Merton (1973)Theory of Rational Option Pricing
Bell Journal of Economics and Management Science
OptionsPaywalledTechnical0
Black & Scholes (1973)The Pricing of Options and Corporate Liabilities
Journal of Political Economy
OptionsPaywalledTechnical0
Samuelson (1971)The 'Fallacy' of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
Proceedings of the National Academy of Sciences
Risk and position sizingFreeTechnical0
Jr. (1956)A New Interpretation of Information Rate
Bell System Technical Journal
Risk and position sizingPaywalledTechnical0