量化交易领域重要文献

以下文献列表是Numerical Method Inc贡献：

An Introduction to High-Frequency Finance. Ramazan GenÃ§ay, Michel Dacorogna, Ulrich A. Muller, Olivier Pictet, Richard Olsen. Academic Press. 2001.
Advanced Trading Rules, Second Edition. Emmanual Acar (Editor), Stephen Satchell (Editor). Butterworth-Heinemann; 2nd edition (June 19, 2002).

Statistical Arbitrage in the U.S. Equities Market. Marco Avellaneda and Jeong-Hyun Lee. July 11, 2008.
A New Approach to Modeling and Estimation for Pairs Trading, Binh Do, Robert Faff, Kais Hamza, Working Paper, May 29, 2006.
Pairs Trading – A Cointegration Approach. Arlen David Schmidt, Finance Honors Thesis, University of Sydney, November 2008, Pages 1–130.
Does Simple Pairs Trading Still Work? Binh Do , Robert Faff. Financial Analysts Journal. July/August 2010, Vol. 66, No. 4, pp: 83–95.
Implementation of Pairs Trading Strategies. Øyvind Foshaug. Faculty of Science. Koortweg- de Vries Institute for Mathematics. Master of Science Thesis. 2010.
Pairs trading. Elliott, van der Hoek, and Malcolm. Quantitative Finance, 2005.
Optimal Pairs Trading: A Stochastic Control Approach. Mudchanatongsuk, S., Primbs, J.A., Wong, W. Dept. of Manage. Sci. & Eng., Stanford Univ., Stanford, CA.

Identifying small mean-reverting portfolios. Alexandre D’Aspremont. Quantitative Finance, Volume 11 Issue 3 2011.
Arbitrage Under Power. Michael Boguslavsky, Elena Boguslavskaya. 2004.
Identifying Small Mean Reverting Portfolios. Alexandre d’Aspremont. 2008.

Algorithmic Trading: Hidden Markov Models on Foreign Exchange Data. Patrik Idvall, Conny Jonsson. University essay from Linköpings universitet/Matematiska institutionen; Linköpings universitet/Matematiska institutionen. 2008.
Markov Switching Regimes in a Monetary Exchange Rate Model, Frömmel, Michael, MacDonald, Ronald, Menkhoff, Lukas, Economic Modelling, Vol. 22 (2005), 3, Pages 485–502.

Bayesian Adaptive Trading with a Daily Cycle. Robert Almgren, Julian Lorenz. The Journal of Trading. Fall 2006, Vol. 1, No. 4: pp. 38-46.
On the short-term predictability of exchange rates: A BVAR time-varying parameters approach. Nicholas Sarantis. Journal of Banking & Finance, Volume 30, Issue 8, August 2006, Pages 2257-2279.

Time Series Technical Analysis via New Fast Estimation Methods: A Preliminary Study in Mathematical Finance. Michel Fliess. Cédric Join. Published – Presented, IAR-ACD08 (23rd IAR Workshop on Advanced Control and Diagnosis), 2008, Coventry, United Kingdom.
A Trading Strategy Based on the Lead-Lag Relationship between the FTSE 100 Spot Index and the LIFFE Traded FTSE Futures Contract. Brooks, C., A.G. Rew and S. Ritson. International Journal of Forecasting 17, 31-44. 2001.
Basket trading under co-integration with the logistic mixture autoregressive model. Xixin Cheng, Philip L. H. Yu, W. K. Li. Quantitative Finance, 1469-7696, First published on 09 December 2010.
Towards a non-linear trading strategy for financial time series. Fernanda Strozzia, and José-Manuel Zaldívar Comenges. Chaos, Solitons & Fractals. Volume 28, Issue 3, May 2006, Pages 601-615.

A Test of Momentum Trading Strategies in Foreign Exchange Markets: Evidence from the G7, Robert J. Bianchi, Michael E. Drew, and John Polichronis, Global Business and Economics Review, Vol. 7 (2005), 2-3, Pages 155–179.
A Momentum Trading Strategy Based on the Low Frequency Component of the Exchange Rate, Richard D. F. Harris and Fatih Yilmaz, Journal of Banking and Finance, 33 (2009), 9, Pages 1575–1585.
Thou shalt buy and hold. Albert Shiryaeva, Zuoquan Xu, Xun Yu Zhoubc. Quantitative Finance. Volume 8, Issue 8 December 2008 , pages 765 – 776.
Optimal Trend Following Trading Rules. Min Dai, Qing Zhang, Qiji Jim Zhu. 2011.

A dynamic analysis of moving average rules. Carl Chiarella, Xue-Zhong He, and Cars Hommes. Journal of Economic Dynamics and Control, Volume 30, Issues 9-10, September-October 2006, Pages 1729-1753.
Do the technical indicators reward chartists? A study on the stock markets of China, Hong Kong and Taiwan. Wing-Keung Wong, Jun Du, Terence Tai-Leung Chong. 2005.
A comparison of MA and RSI returns with exchange rate intervention. Thomas C. Shik, Terence Tai-Leung Chong. Applied Economics Letters, Volume 14, Issue 4 – 6 April 2007 , pages 371 – 383.

Does beta react to market conditions? Estimates of ‘bull’ and ‘bear’ betas using a nonlinear market model with an endogenous threshold parameter. George Woodward, Heather Anderson, 2009.
Journal of Quantitative Finance. March, 2009.Short-term market reaction after extreme price changes of liquid stocks. Adám G. Zawadowski, György Andor, János Kertész, 2007. Journal of Quantitative Finance. May, 2007.

Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model. Yang K. Lu, Pierre Perron. 2009. Journal of Empirical Finance, vol. 17(1), pages 138-156.
When are contrarian profits due to stock market overreaction? Andrew W. Lo and A. Craig MacKinlay. Review of Financial Studies 3(1990), 175–206.
Predictability of nonlinear trading rules in the U.S. stock market. Terence Tai-Leung Chonga, Tau-Hing Lama. 2010. Journal of Quantitative Finance. Issue 9, Volume 10, 2010.
A Reality Check for Data Snooping. Halbert White. 2000. Econometrica. Issue 5, Volume 68, 2000.
A Test for Superior Predictive Ability. Peter Reinhard Hansen. 2005. Brown Univ. Dept. of Economics Working Paper No. 01-06.Risk Management Extreme Value Theory and Fat Tails in Equity Markets. Blake LeBaron and Ritirupa Samanta. May, 2004.

Risk Management

Extreme Value Theory and Fat Tails in Equity Markets. Blake LeBaron and Ritirupa Samanta. May, 2004.