量化论文

主要参考

参考1-偏机器学习-有下载链接
参考2-偏传统投研理论-有下载链接

Factor Investing

Eugene F. Fama, Kenneth R. French. A five-factor asset pricing model. Journal of Financial Economics - Volume 116, Issue 1, April 2015, Pages 1–22 论文

Campbell R. Harvey, Yan Liu, Heqing Zhu. …and the Cross-Section of Expected Returns. Oct 2014

Trading

Robert Almgren, Neil Chriss. Optimal Execution of Portfolio Transactions. Dec 2000论文

Charles-Albert Lehalle, Eyal Neuman. Incorporating Signals into Optimal Trading. Apr 2017论文

Volatility

Dennis Yang, Qiang Zhang. Drift‐Independent Volatility Estimation Based on High, Low, Open, and Close Prices The Journal of Business. Vol. 73, No. 3 (July 2000), pp. 477-492论文

Yacine Aı¨t-Sahalia, Robert Kimmel. Maximum likelihood estimation of stochastic volatility models. Journal of Financial Economics 83 (2007) 413–452 论文

Valuation / Pricing

Fischer Black, Myron Scholes. The Pricing of Options and Corporate Liabilities. The Journal of Political Econony, Volume 81 Issue 3 (May-Jun 1973), 637-654论文

Robert C. Merton. Theory of Rational Option Pricing. The Bell Journal of Economics and Management Science. Vol. 4, No. 1 (Spring, 1973), pp. 141-183论文

Hans Gerber, Elias Shiu. Martingale Approach to Pricing Perpetual American Options. International Actuarial Journal. Volume 24, Issue 2 November 1994 , pp. 195-220论文

Commodities

Eduardo Schwartz, James E. Smith. Short-Term Variations and Long-Term Dynamics in Commodity Prices. Management Science © 2000 INFORMS Vol. 46, No. 7, July 2000 pp. 893–911

Robert S. Pindyck. The Long-Run Evolution of Energy Prices. The Energy Journal. Vol. 20, No. 2 (1999), pp. 1-27

Eugene F. Fama, Kenneth R. French. Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage. The Journal of Business; Vol. 60, No. 1 (Jan., 1987), pp. 55-73