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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
Johnson (2017)Risk Premia and the VIX Term Structure
Journal of Financial and Quantitative Analysis
VolatilityFreeTechnical0
Bailey et al. (2017)The Probability of Backtest Overfitting
Journal of Computational Finance
Systematic trading and backtestingFreeTechnical0
Savor & Wilson (2014)Asset Pricing: A Tale of Two Days
Journal of Financial Economics
Macro and the FedFreeTechnical0
Bondarenko (2014)Why Are Put Options So Expensive?
Quarterly Journal of Finance
OptionsFreeTechnical0
Neely et al. (2014)Forecasting the Equity Risk Premium: The Role of Technical Indicators
Management Science
Technical analysisFreeTechnical0
Gorton et al. (2013)The Fundamentals of Commodity Futures Returns
Review of Finance
Futures and commoditiesFreeTechnical0
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
Lustig et al. (2011)Common Risk Factors in Currency Markets
Review of Financial Studies
Forex and carryFreeTechnical0
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
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
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
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
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