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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
Hurst et al. (2017)A Century of Evidence on Trend-Following Investing
Journal of Portfolio Management
Momentum and trendFreeEasy read0
Moreira & Muir (2017)Volatility-Managed Portfolios
Journal of Finance
VolatilityFreeModerate0
Daniel & Moskowitz (2016)Momentum Crashes
Journal of Financial Economics
Momentum and trendFreeModerate0
Novy-Marx & Velikov (2016)A Taxonomy of Anomalies and Their Trading Costs
Review of Financial Studies
Systematic trading and backtestingFreeModerate0
McLean & Pontiff (2016)Does Academic Research Destroy Stock Return Predictability?
Journal of Finance
Factors and anomaliesFreeModerate0
Harvey et al. (2016)... and the Cross-Section of Expected Returns
Review of Financial Studies
Factors and anomaliesFreeModerate0
Geczy & Samonov (2016)Two Centuries of Price-Return Momentum
Financial Analysts Journal
Momentum and trendFreeModerate0
O'Hara (2015)High Frequency Market Microstructure
Journal of Financial Economics
Market microstructurePaywalledModerate0
Lucca & Moench (2015)The Pre-FOMC Announcement Drift
Journal of Finance
Macro and the FedFreeModerate0
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
Israelov & Nielsen (2015)Covered Calls Uncovered
Financial Analysts Journal
OptionsFreeEasy read0
Fama & French (2015)A Five-Factor Asset Pricing Model
Journal of Financial Economics
Factors and anomaliesFreeModerate0
Budish et al. (2015)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
Quarterly Journal of Economics
Market microstructureFreeModerate0
Bailey & Prado (2014)Drawdown-Based Stop-Outs and the 'Triple Penance' Rule
Journal of Risk
Risk and position sizingFreeModerate0
Szymanowska et al. (2014)An Anatomy of Commodity Futures Risk Premia
Journal of Finance
Futures and commoditiesPaywalledTechnical0
Bondarenko (2014)Why Are Put Options So Expensive?
Quarterly Journal of Finance
OptionsFreeTechnical0
Simon & Campasano (2014)The VIX Futures Basis: Evidence and Trading Strategies
Journal of Derivatives
VolatilityPaywalledModerate0
Asness et al. (2014)Fact, Fiction and Momentum Investing
Journal of Portfolio Management
Momentum and trendFreeEasy read0
Barber et al. (2014)The Cross-Section of Speculator Skill: Evidence from Day Trading
Journal of Financial Markets
Retail trader performanceFreeModerate0
Brogaard et al. (2014)High-Frequency Trading and Price Discovery
Review of Financial Studies
Market microstructureFreeModerate0
Bailey & Prado (2014)The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality
Journal of Portfolio Management
Systematic trading and backtestingFreeModerate0
Savor & Wilson (2014)Asset Pricing: A Tale of Two Days
Journal of Financial Economics
Macro and the FedFreeTechnical0
Neely et al. (2014)Forecasting the Equity Risk Premium: The Role of Technical Indicators
Management Science
Technical analysisFreeTechnical0
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
Harvey & Liu (2014)Evaluating Trading Strategies
Journal of Portfolio Management
Systematic trading and backtestingFreeEasy read0
Frazzini & Pedersen (2014)Betting Against Beta
Journal of Financial Economics
Factors and anomaliesFreeModerate0
Novy-Marx (2013)The Other Side of Value: The Gross Profitability Premium
Journal of Financial Economics
Factors and anomaliesFreeModerate0
Barber & Odean (2013)The Behavior of Individual Investors
Handbook of the Economics of Finance
Retail trader performanceFreeEasy read0
Gorton et al. (2013)The Fundamentals of Commodity Futures Returns
Review of Finance
Futures and commoditiesFreeTechnical0