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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
Fama & French (2015)A Five-Factor Asset Pricing Model
Journal of Financial Economics
Factors and anomaliesFreeModerate0
Harvey & Liu (2015)Backtesting
Journal of Portfolio Management
Systematic trading and backtestingFreeModerate0
Getmansky et al. (2015)Hedge Funds: A Dynamic Industry in Transition
Annual Review of Financial Economics
Prop and professional tradersFreeModerate0
Bailey & Prado (2014)The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality
Journal of Portfolio Management
Systematic trading and backtestingFreeModerate0
Bailey & Prado (2014)Drawdown-Based Stop-Outs and the 'Triple Penance' Rule
Journal of Risk
Risk and position sizingFreeModerate0
Frazzini & Pedersen (2014)Betting Against Beta
Journal of Financial Economics
Factors and anomaliesFreeModerate0
Brogaard et al. (2014)High-Frequency Trading and Price Discovery
Review of Financial Studies
Market microstructureFreeModerate0
Bailey et al. (2014)Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance
Notices of the American Mathematical Society
Systematic trading and backtestingFreeModerate0
Simon & Campasano (2014)The VIX Futures Basis: Evidence and Trading Strategies
Journal of Derivatives
VolatilityPaywalledModerate0
Barber et al. (2014)The Cross-Section of Speculator Skill: Evidence from Day Trading
Journal of Financial Markets
Retail trader performanceFreeModerate0
Han et al. (2013)A New Anomaly: The Cross-Sectional Profitability of Technical Analysis
Journal of Financial and Quantitative Analysis
Technical analysisPaywalledModerate0
Asness et al. (2013)Value and Momentum Everywhere
Journal of Finance
Momentum and trendFreeModerate0
Savor & Wilson (2013)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
Journal of Financial and Quantitative Analysis
Macro and the FedFreeModerate0
Novy-Marx (2013)The Other Side of Value: The Gross Profitability Premium
Journal of Financial Economics
Factors and anomaliesFreeModerate0
Tang & Xiong (2012)Index Investment and the Financialization of Commodities
Financial Analysts Journal
Futures and commoditiesFreeModerate0
Menkhoff et al. (2012)Currency Momentum Strategies
Journal of Financial Economics
Forex and carryFreeModerate0
Moskowitz et al. (2012)Time Series Momentum
Journal of Financial Economics
Momentum and trendFreeModerate0
Novy-Marx (2012)Is Momentum Really Momentum?
Journal of Financial Economics
Momentum and trendFreeModerate0
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
Seru et al. (2010)Learning by Trading
Review of Financial Studies
Retail trader performancePaywalledModerate0
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
Cremers & Weinbaum (2010)Deviations from Put-Call Parity and Stock Return Predictability
Journal of Financial and Quantitative Analysis
OptionsPaywalledModerate0
Fama & French (2010)Luck versus Skill in the Cross-Section of Mutual Fund Returns
Journal of Finance
Prop and professional tradersPaywalledModerate0
Goyal & Saretto (2009)Cross-Section of Option Returns and Volatility
Journal of Financial Economics
OptionsPaywalledModerate0
Kumar (2009)Who Gambles in the Stock Market?
Journal of Finance
Retail trader performancePaywalledModerate0
Barber et al. (2009)Just How Much Do Individual Investors Lose by Trading?
Review of Financial Studies
Retail trader performancePaywalledModerate0
Grinblatt & Keloharju (2009)Sensation Seeking, Overconfidence, and Trading Activity
Journal of Finance
Retail trader performancePaywalledModerate0
Marshall et al. (2008)Does Intraday Technical Analysis in the U.S. Equity Market Have Value?
Journal of Empirical Finance
Technical analysisPaywalledModerate0
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