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What Happened To The Quants In August 2007?: Evidence from Factors and Transactions Data

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Cited by:

  1. Wolfgang Bessler & Julian Holler & Philipp Kurmann, 2012. "Hedge funds and optimal asset allocation: Bayesian expectations and spanning tests," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 109-141, March.
  2. Ignashkina, Anna & Rinne, Kalle & Suominen, Matti, 2022. "Short-term reversals, returns to liquidity provision and the costs of immediacy," Journal of Banking & Finance, Elsevier, vol. 138(C).
  3. Andrew W. Lo, 2009. "Regulatory reform in the wake of the financial crisis of 2007‐2008," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 1(1), pages 4-43, April.
  4. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2013. "Revisiting mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1759-1776.
  5. Rama Cont & Lakshithe Wagalath, 2012. "Fire Sales Forensics: Measuring Endogenous Risk," Working Papers hal-00697224, HAL.
  6. Daniel Ritter, 2019. "Mathematical Modeling of Systemic Risk in Financial Networks: Managing Default Contagion and Fire Sales," Papers 1911.07313, arXiv.org.
  7. Mathias S. Kruttli & Phillip J. Monin & Sumudu W. Watugala, 2017. "Investor Concentration, Flows, and Cash Holdings : Evidence from Hedge Funds," Finance and Economics Discussion Series 2017-121, Board of Governors of the Federal Reserve System (U.S.).
  8. Cortes, Fabio & Lindner, Peter & Malik, Sheheryar & Segoviano, Miguel, 2018. "A comprehensive multi-sector tool for analysis of Systemic Risk and Interconnectedness (SyRIN)," LSE Research Online Documents on Economics 118928, London School of Economics and Political Science, LSE Library.
  9. Kondor, Péter & Zawadowski, Adam, 2019. "Learning in crowded markets," Journal of Economic Theory, Elsevier, vol. 184(C).
  10. Ding, Wenzhi & Levine, Ross & Lin, Chen & Xie, Wensi, 2021. "Corporate immunity to the COVID-19 pandemic," Journal of Financial Economics, Elsevier, vol. 141(2), pages 802-830.
  11. Shea D. Chen & Andrew E. B. Lim, 2020. "A Generalized Black–Litterman Model," Operations Research, INFORMS, vol. 68(2), pages 381-410, March.
  12. Daníelsson, Jón & Macrae, Robert & Uthemann, Andreas, 2022. "Artificial intelligence and systemic risk," Journal of Banking & Finance, Elsevier, vol. 140(C).
  13. Raisul Islam & Vladimir Volkov, 2022. "Contagion or interdependence? Comparing spillover indices," Empirical Economics, Springer, vol. 63(3), pages 1403-1455, September.
  14. Yanxi Li & Siu Kai Choy & Mingzhu Wang, 2022. "The potential built‐in supply effect from margin trading in the Chinese stock market," The Financial Review, Eastern Finance Association, vol. 57(4), pages 835-861, November.
  15. Benos, Evangelos & Wetherilt, Anne, 2012. "The role of designated market makers in the new trading landscape," Bank of England Quarterly Bulletin, Bank of England, vol. 52(4), pages 343-353.
  16. Krauss, Christopher & Do, Xuan Anh & Huck, Nicolas, 2017. "Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500," European Journal of Operational Research, Elsevier, vol. 259(2), pages 689-702.
  17. Petri Jylhä & Kalle Rinne & Matti Suominen, 2014. "Do Hedge Funds Supply or Demand Liquidity?," Review of Finance, European Finance Association, vol. 18(4), pages 1259-1298.
  18. Mark D. Flood & Phillip Monin & Lina Bandyopadhyay, 2015. "Gauging Form PF: Data Tolerances in Regulatory Reporting on Hedge Fund Risk Exposures," Working Papers 15-13, Office of Financial Research, US Department of the Treasury.
  19. David Aikman & Daniel Beale & Adam Brinley-Codd & Anne-Caroline Hüser & Giovanni Covi & Caterina Lepore, 2023. "Macro-Prudential Stress Test Models: A Survey," IMF Working Papers 2023/173, International Monetary Fund.
  20. Rinne, Kalle & Suominen, Matti, 2017. "How some bankers made a million by trading just two securities?," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 304-315.
  21. Dimitris Papadimitriou, 2023. "Trading under uncertainty about other market participants," The Financial Review, Eastern Finance Association, vol. 58(2), pages 343-367, May.
  22. Anna Kovner & Peter Van Tassel, 2022. "Evaluating Regulatory Reform: Banks' Cost of Capital and Lending," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1313-1367, August.
  23. Christoph Aymanns & J. Doyne Farmer & Alissa M. Keinniejenhuis & Thom Wetzer, 2017. "Models of Financial Stability and their Application in Stress Tests," Working Papers on Finance 1805, University of St. Gallen, School of Finance.
  24. Girardi, Giulio & Hanley, Kathleen W. & Nikolova, Stanislava & Pelizzon, Loriana & Sherman, Mila Getmansky, 2021. "Portfolio similarity and asset liquidation in the insurance industry," Journal of Financial Economics, Elsevier, vol. 142(1), pages 69-96.
  25. Clauss, Pierre & Roncalli, Thierry & Weisang, Guillaume, 2009. "Risk Management Lessons from Madoff Fraud," MPRA Paper 36754, University Library of Munich, Germany.
  26. Christoffersen, Peter & Langlois, Hugues, 2013. "The Joint Dynamics of Equity Market Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(5), pages 1371-1404, October.
  27. Jamus Jerome Lim & Terence Tan, 2016. "Endogenous transactions costs and institutions in the 2007/08 financial crisis," Journal of Regulatory Economics, Springer, vol. 49(1), pages 56-85, February.
  28. Jean-Philippe Bouchaud, 2021. "The Inelastic Market Hypothesis: A Microstructural Interpretation," Papers 2108.00242, arXiv.org, revised Jan 2022.
  29. Wang, Wentao & Zhang, Junhuan & Zhao, Shangmei & Zhang, Yanglin, 2019. "Simulation of asset pricing in information networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 620-634.
  30. José Cerda & Nicolás Rojas-Morales & Marcel C. Minutolo & Werner Kristjanpoller, 2022. "High Frequency and Dynamic Pairs Trading with Ant Colony Optimization," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1251-1275, March.
  31. Miguel, António F. & Chen, Yihao, 2021. "Do machines beat humans? Evidence from mutual fund performance persistence," International Review of Financial Analysis, Elsevier, vol. 78(C).
  32. Lakshithe Wagalath, 2016. "Feedback effects and endogenous risk in financial markets," Finance, Presses universitaires de Grenoble, vol. 37(2), pages 39-74.
  33. Nils Detering & Thilo Meyer-Brandis & Konstantinos Panagiotou & Daniel Ritter, 2020. "Suffocating Fire Sales," Papers 2006.08110, arXiv.org, revised Nov 2021.
  34. Min Zhu & David Philpotts & Maxwell J Stevenson, 2012. "The benefits of tree-based models for stock selection," Journal of Asset Management, Palgrave Macmillan, vol. 13(6), pages 437-448, December.
  35. Michael Melvin & Duncan Shand, 2016. "When Carry Goes Bad: The Magnitude, Causes, and Duration of Currency Carry Unwinds," CESifo Working Paper Series 6210, CESifo.
  36. Jeremiah Green & John R. M. Hand & Mark T. Soliman, 2011. "Going, Going, Gone? The Apparent Demise of the Accruals Anomaly," Management Science, INFORMS, vol. 57(5), pages 797-816, May.
  37. Chowdhury, Biplob & Dungey, Mardi & Kangogo, Moses & Sayeed, Mohammad Abu & Volkov, Vladimir, 2019. "The changing network of financial market linkages: The Asian experience," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 71-92.
  38. Giovanni Cespa & Xavier Vives, 2015. "The Beauty Contest and Short-Term Trading," Journal of Finance, American Finance Association, vol. 70(5), pages 2099-2154, October.
  39. Ahn, Dong-Hyun & Kim, Soohun & Seo, Kyoungwon, 2020. "Self-fulfilling arbitrages necessitate crash risk," Journal of Financial Markets, Elsevier, vol. 51(C).
  40. Kerstin Awiszus & Agostino Capponi & Stefan Weber, 2020. "Market Efficient Portfolios in a Systemic Economy," Papers 2003.10121, arXiv.org, revised May 2021.
  41. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, April.
  42. Franklin Allen & Xian Gu & Julapa Jagtiani, 2021. "A Survey of Fintech Research and Policy Discussion," Review of Corporate Finance, now publishers, vol. 1(3-4), pages 259-339, July.
  43. Funga, William & Hsiehb, David A., 2013. "Hedge Funds," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1063-1125, Elsevier.
  44. Caccioli, Fabio & Ferrara, Gerardo & Ramadiah, Amanah, 2020. "Modelling fire sale contagion across banks and non-banks," Bank of England working papers 878, Bank of England, revised 18 Feb 2021.
  45. Wenzhi Ding & Ross Levine & Chen Lin & Wensi Xie, 2022. "Competition laws, ownership, and corporate social responsibility," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 53(8), pages 1576-1602, October.
  46. William F. Bassett & David E. Rappoport, 2022. "Enhancing Stress Tests by Adding Macroprudential Elements," Finance and Economics Discussion Series 2022-022, Board of Governors of the Federal Reserve System (U.S.).
  47. Daniel Giamouridis & Sandra Paterlini, 2010. "Regular(Ized) Hedge Fund Clones," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(3), pages 223-247, September.
  48. Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2018. "“The robustness of the sovereign-bank interconnection: Evidence from contingent claims analysis”," IREA Working Papers 201804, University of Barcelona, Research Institute of Applied Economics, revised Feb 2018.
  49. Zura Kakushadze, 2020. "Quant Bust 2020," Papers 2006.05632, arXiv.org.
  50. Baibing Li & Ji Luo & Kai†Hong Tee, 2017. "The Market Liquidity Timing Skills of Debt†oriented Hedge Funds," European Financial Management, European Financial Management Association, vol. 23(1), pages 32-54, January.
  51. Aram Balagyozyan & Esin Cakan, 2016. "Did large institutional investors flock into the technology herd? An empirical investigation using a vector Markov-switching model," Applied Economics, Taylor & Francis Journals, vol. 48(58), pages 5731-5747, December.
  52. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2017. "Searching for Inefficiencies in Exchange Rate Dynamics," Computational Economics, Springer;Society for Computational Economics, vol. 49(3), pages 405-432, March.
  53. Carter Davis, 2023. "The Elasticity of Quantitative Investment," Papers 2303.14533, arXiv.org.
  54. Eyal Neuman & Moritz Voß, 2023. "Trading with the crowd," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 548-617, July.
  55. Eyal Neuman & Moritz Vo{ss}, 2021. "Trading with the Crowd," Papers 2106.09267, arXiv.org, revised Mar 2023.
  56. Andrew W. Lo & Mark T. Mueller, 2010. "WARNING: Physics Envy May Be Hazardous To Your Wealth!," Papers 1003.2688, arXiv.org, revised Mar 2010.
  57. Mathias S. Kruttli & Phillip J. Monin & Lubomir Petrasek & Sumudu W. Watugala, 2021. "Hedge Fund Treasury Trading and Funding Fragility: Evidence from the COVID-19 Crisis," Finance and Economics Discussion Series 2021-038, Board of Governors of the Federal Reserve System (U.S.).
  58. Khandani, Amir E. & Lo, Andrew W. & Merton, Robert C., 2013. "Systemic risk and the refinancing ratchet effect," Journal of Financial Economics, Elsevier, vol. 108(1), pages 29-45.
  59. Cho, Thummim, 2020. "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics 102085, London School of Economics and Political Science, LSE Library.
  60. Benos, Evangelos & Brugler, James & Hjalmarsson, Erik & Zikes, Filip, 2017. "Interactions among High-Frequency Traders," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1375-1402, August.
  61. Fabio Cortes & Peter Lindner & Sheheryar Malik & Miguel A. Segoviano, 2018. "A Comprehensive Multi-Sector Tool for Analysis of Systemic Risk and Interconnectedness (SyRIN)," IMF Working Papers 2018/014, International Monetary Fund.
  62. Daniel Barth & Juha Joenvaara & Mikko Kauppila & Russ Wermers, 2020. "The Hedge Fund Industry is Bigger (and has Performed Better) Than You Think," Working Papers 20-01, Office of Financial Research, US Department of the Treasury.
  63. Patton, Andrew, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 7780, C.E.P.R. Discussion Papers.
  64. Charles Cao & Bing Liang & Andrew W Lo & Lubomir Petrasek, 2018. "Hedge Fund Holdings and Stock Market Efficiency," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 8(1), pages 77-116.
  65. Kolokolova, Olga & Lin, Ming-Tsung & Poon, Ser-Huang, 2020. "Too big to ignore? Hedge fund flows and bond yields," Journal of Banking & Finance, Elsevier, vol. 112(C).
  66. Andrés Sagner, 2020. "Measuring Systemic Risk: A Quantile Factor Analysis," Working Papers Central Bank of Chile 874, Central Bank of Chile.
  67. Mathias S. Kruttli & Andrew J. Patton & Tarun Ramadorai, 2015. "The Impact of Hedge Funds on Asset Markets," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(2), pages 185-226.
  68. Seo Joon Choi & Kanghyun Kim & Sunyoung Park, 2020. "Is systemic risk systematic? Evidence from the U.S. stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(4), pages 642-663, October.
  69. Mark D. Flood & Phillip Monin, 2016. "Form PF and Hedge Funds: Risk-measurement Precision for Option Portfolios," Working Papers 16-02, Office of Financial Research, US Department of the Treasury.
  70. Dungey, Mardi & Islam, Raisul & Volkov, Vladimir, 2020. "Crisis transmission: Visualizing vulnerability," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
  71. Lakshithe Wagalath, 2017. "Lost In Contagion? Building A Liquidation Index From Covariance Dynamics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-26, February.
  72. Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
  73. Richard Sias & H. J. Turtle & Blerina Zykaj, 2016. "Hedge Fund Crowds and Mispricing," Management Science, INFORMS, vol. 62(3), pages 764-784, March.
  74. James S. Doran, 2020. "Volatility as an asset class: Holding VIX in a portfolio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 841-859, June.
  75. Sebastien Valeyre, 2020. "Refined model of the covariance/correlation matrix between securities," Papers 2001.08911, arXiv.org.
  76. Sandro Lunghi & Daniel Schmidt & Bastian von Beschwitz, 2021. "Fundamental Arbitrage under the Microscope: Evidence from Detailed Hedge Fund Transaction Data," Finance and Economics Discussion Series 2021-022, Board of Governors of the Federal Reserve System (U.S.).
  77. Richard Bookstaber & Mark Paddrik & Brian Tivnan, 2018. "An agent-based model for financial vulnerability," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(2), pages 433-466, July.
  78. Roman Garcia & Dimitri Lorenzani & Daniel Monteiro & Francesco Perticari & Bořek Vašíček & Lukas Vogel, 2021. "Financial Spillover and Contagion Risks in the Euro Area in 2007-2019," European Economy - Discussion Papers 137, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
  79. Sheng Guo, 2014. "Margin requirements and portfolio optimization: A geometric approach," Journal of Asset Management, Palgrave Macmillan, vol. 15(3), pages 191-204, June.
  80. Sessi Tokpavi, 2013. "Testing for the Systemically Important Financial Institutions: a Conditional Approach," EconomiX Working Papers 2013-27, University of Paris Nanterre, EconomiX.
  81. Ozsoylev, Han N. & Walden, Johan, 2011. "Asset pricing in large information networks," Journal of Economic Theory, Elsevier, vol. 146(6), pages 2252-2280.
  82. Rahman, Md Lutfur & Al Mamun, Mohammed Abdullah, 2021. "How resilient are the Asia Pacific financial markets against a global pandemic?," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
  83. Adams-Kane, Jonathon & Jia, Yueqing & Lim, Jamus Jerome, 2015. "Global transmission channels for international bank lending in the 2007–09 financial crisist," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 97-113.
  84. Ludwig Chincarini, 2014. "The Impact of Quantitative Methods on Hedge Fund Performance," European Financial Management, European Financial Management Association, vol. 20(5), pages 857-890, November.
  85. Braouezec, Yann & Wagalath, Lakshithe, 2019. "Strategic fire-sales and price-mediated contagion in the banking system," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1180-1197.
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  88. Augusto De La Torre & Alain Ize, 2010. "Regulatory Reform: Integrating Paradigms," International Finance, Wiley Blackwell, vol. 13(1), pages 109-139, March.
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