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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
Brunnermeier et al. (2008)Carry Trades and Currency Crashes
NBER Macroeconomics Annual
Forex and carryFreeModerate0
Nakamoto (2008)Bitcoin: A Peer-to-Peer Electronic Cash System
Self-published whitepaper
CryptoFreeModerate0
Miffre & Rallis (2007)Momentum Strategies in Commodity Futures Markets
Journal of Banking and Finance
Futures and commoditiesPaywalledModerate0
Ang et al. (2006)The Cross-Section of Volatility and Expected Returns
Journal of Finance
Factors and anomaliesPaywalledModerate0
Frazzini (2006)The Disposition Effect and Underreaction to News
Journal of Finance
Behavioral financePaywalledModerate0
Pan & Poteshman (2006)The Information in Option Volume for Future Stock Prices
Review of Financial Studies
OptionsPaywalledModerate0
Erb & Harvey (2006)The Strategic and Tactical Value of Commodity Futures
Financial Analysts Journal
Futures and commoditiesFreeModerate0
Thorp (2006)The Kelly Criterion in Blackjack, Sports Betting, and the Stock Market
Handbook of Asset and Liability Management, Volume 1 (Elsevier)
Risk and position sizingFreeModerate0
Garvey & Murphy (2005)Entry, Exit and Trading Profits: A Look at the Trading Strategies of a Proprietary Stock Trading Team
Journal of Empirical Finance
Prop and professional tradersPaywalledModerate0
Bernanke & Kuttner (2005)What Explains the Stock Market's Reaction to Federal Reserve Policy?
Journal of Finance
Macro and the FedPaywalledModerate0
Locke & Mann (2005)Professional Trader Discipline and Trade Disposition
Journal of Financial Economics
Prop and professional tradersPaywalledModerate0
Ni et al. (2005)Stock Price Clustering on Option Expiration Dates
Journal of Financial Economics
OptionsPaywalledModerate0
Coval & Shumway (2005)Do Behavioral Biases Affect Prices?
Journal of Finance
Prop and professional tradersPaywalledModerate0
Lo (2004)The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective
Journal of Portfolio Management
Market efficiencyFreeModerate0
Bollen & Whaley (2004)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?
Journal of Finance
OptionsPaywalledModerate0
Barberis & Thaler (2003)A Survey of Behavioral Finance
Handbook of the Economics of Finance
Behavioral financeFreeModerate0
Lo (2002)The Statistics of Sharpe Ratios
Financial Analysts Journal
Systematic trading and backtestingFreeModerate0
Amihud (2002)Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
Journal of Financial Markets
Market microstructurePaywalledModerate0
Lo & Repin (2002)The Psychophysiology of Real-Time Financial Risk Processing
Journal of Cognitive Neuroscience
Prop and professional tradersFreeModerate0
Jegadeesh & Titman (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations
Journal of Finance
Momentum and trendPaywalledModerate0
Coval & Shumway (2001)Expected Option Returns
Journal of Finance
OptionsPaywalledModerate0
Kuttner (2001)Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market
Journal of Monetary Economics
Macro and the FedPaywalledModerate0
Sullivan et al. (1999)Data-Snooping, Technical Trading Rule Performance, and the Bootstrap
Journal of Finance
Systematic trading and backtestingPaywalledModerate0
Odean (1998)Are Investors Reluctant to Realize Their Losses?
Journal of Finance
Behavioral financePaywalledModerate0
Carhart (1997)On Persistence in Mutual Fund Performance
Journal of Finance
Momentum and trendPaywalledModerate0
Sloan (1996)Do Stock Prices Fully Reflect Information in Accruals and Cash Flows About Future Earnings?
The Accounting Review
Factors and anomaliesPaywalledModerate0
Benartzi & Thaler (1995)Myopic Loss Aversion and the Equity Premium Puzzle
Quarterly Journal of Economics
Behavioral financePaywalledModerate0
Jegadeesh & Titman (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
Journal of Finance
Momentum and trendPaywalledModerate0
Fama & French (1993)Common Risk Factors in the Returns on Stocks and Bonds
Journal of Financial Economics
Factors and anomaliesPaywalledModerate0
Fama & French (1992)The Cross-Section of Expected Stock Returns
Journal of Finance
Factors and anomaliesPaywalledModerate0