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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
Han et al. (2013)A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
Journal of Financial and Quantitative Analysis
Technical analysisPaywalledModerate0
Gorton et al. (2013)The Fundamentals of Commodity Futures Returns
Review of Finance
Futures and commoditiesFreeTechnical0
Barber & Odean (2013)The Behavior of Individual Investors
Handbook of the Economics of Finance
Retail trader performanceFreeEasy read0
Easley et al. (2012)Flow Toxicity and Liquidity in a High-frequency World
Review of Financial Studies
Market microstructureFreeTechnical0
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
Menkhoff et al. (2012)Currency Momentum Strategies
Journal of Financial Economics
Forex and carryFreeModerate0
Tang & Xiong (2012)Index Investment and the Financialization of Commodities
Financial Analysts Journal
Futures and commoditiesFreeModerate0
Menkhoff et al. (2012)Carry Trades and Global Foreign Exchange Volatility
Journal of Finance
Forex and carryFreeTechnical0
Mou (2011)Limits to Arbitrage and Commodity Index Investment: Front-Running the Goldman Roll
SSRN Working Paper
Futures and commoditiesFreeModerate0
Hendershott et al. (2011)Does Algorithmic Trading Improve Liquidity?
Journal of Finance
Market microstructurePaywalledModerate0
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
Cremers & Weinbaum (2010)Deviations from Put-Call Parity and Stock Return Predictability
Journal of Financial and Quantitative Analysis
OptionsPaywalledModerate0
MacLean et al. (2010)Long-term Capital Growth: The Good and Bad Properties of the Kelly and Fractional Kelly Capital Growth Criteria
Quantitative Finance
Risk and position sizingPaywalledModerate0
Seru et al. (2010)Learning by Trading
Review of Financial Studies
Retail trader performancePaywalledModerate0
Fama & French (2010)Luck versus Skill in the Cross-Section of Mutual Fund Returns
Journal of Finance
Prop and professional tradersPaywalledModerate0
Barber et al. (2009)Just How Much Do Individual Investors Lose by Trading?
Review of Financial Studies
Retail trader performancePaywalledModerate0
Goyal & Saretto (2009)Cross-Section of Option Returns and Volatility
Journal of Financial Economics
OptionsPaywalledModerate0
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
Whaley (2009)Understanding the VIX
Journal of Portfolio Management
VolatilityPaywalledEasy read0
Carr & Wu (2009)Variance Risk Premiums
Review of Financial Studies
OptionsPaywalledTechnical0
Zhu & Zhou (2009)Technical Analysis: An Asset Allocation Perspective on the Use of Moving Averages
Journal of Financial Economics
Technical analysisPaywalledTechnical0
Grinblatt & Keloharju (2009)Sensation Seeking, Overconfidence, and Trading Activity
Journal of Finance
Retail trader performancePaywalledModerate0
Kumar (2009)Who Gambles in the Stock Market?
Journal of Finance
Retail trader performancePaywalledModerate0
Barber & Odean (2008)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors
Review of Financial Studies
Retail trader performancePaywalledModerate0
Brunnermeier et al. (2008)Carry Trades and Currency Crashes
NBER Macroeconomics Annual
Forex and carryFreeModerate0
Fung et al. (2008)Hedge Funds: Performance, Risk, and Capital Formation
Journal of Finance
Prop and professional tradersFreeTechnical0
Marshall et al. (2008)Does Intraday Technical Analysis in the U.S. Equity Market Have Value?
Journal of Empirical Finance
Technical analysisPaywalledModerate0