Trading

flowchart LR

  subgraph EFF["Market Efficiency Foundations"]
    fama_emh["Efficient Market Hypothesis<br/>Eugene F. Fama (1970) 'Efficient Capital Markets'"]
    samuelson_random["Properly Anticipated Prices Fluctuate Randomly<br/>Paul A. Samuelson (1965)"]
    malkiel_random_walk["Random Walk Hypothesis<br/>Burton G. Malkiel (1973) 'A Random Walk Down Wall Street'"]
    grossman_stiglitz["Grossman-Stiglitz Paradox<br/>Grossman and Stiglitz (1980) 'On the Impossibility of Informationally Efficient Markets'"]
    lo_adaptive_markets["Adaptive Markets Hypothesis<br/>Andrew W. Lo (2004)"]
    mehra_prescott_puzzle["Equity Premium Puzzle<br/>Mehra and Prescott (1985) 'The Equity Premium: A Puzzle'"]
    triumph_optimists["Triumph of the Optimists<br/>Dimson, Marsh and Staunton (2002)"]
    siegel_stocks_long_run["Stocks for the Long Run<br/>Jeremy J. Siegel (1994)"]
  end
  fama_emh --- samuelson_random
  fama_emh --- malkiel_random_walk
  fama_emh --- grossman_stiglitz
  samuelson_random --- malkiel_random_walk
  grossman_stiglitz --- lo_adaptive_markets
  grossman_stiglitz --- pedersen_efficiently_inefficient
  lo_adaptive_markets --- malkiel_random_walk
  mehra_prescott_puzzle --- triumph_optimists
  mehra_prescott_puzzle --- siegel_stocks_long_run
  triumph_optimists --- siegel_stocks_long_run

  subgraph ASP["Asset Pricing Models"]
    markowitz_mpt["Modern Portfolio Theory<br/>Harry Markowitz (1952) 'Portfolio Selection'"]
    tobin_separation["Tobin Separation Theorem<br/>James Tobin (1958) 'Liquidity Preference as Behavior Towards Risk'"]
    capm["Capital Asset Pricing Model<br/>Sharpe (1964), Lintner (1965), Mossin (1966)"]
    ross_apt["Arbitrage Pricing Theory<br/>Stephen A. Ross (1976)"]
    merton_icapm["Intertemporal CAPM<br/>Robert C. Merton (1973)"]
    breeden_ccapm["Consumption CAPM<br/>Douglas T. Breeden (1979)"]
    fama_french_3["Fama-French Three-Factor Model<br/>Fama and French (1992, 1993)"]
    fama_french_5["Fama-French Five-Factor Model<br/>Fama and French (2015)"]
    carhart_4["Carhart Momentum Factor<br/>Mark M. Carhart (1997) 'On Persistence in Mutual Fund Performance'"]
    black_litterman["Black-Litterman Model<br/>Black and Litterman (1992) 'Global Portfolio Optimization'"]
  end
  markowitz_mpt --- tobin_separation
  markowitz_mpt --- capm
  tobin_separation --- capm
  capm --- ross_apt
  capm --- merton_icapm
  merton_icapm --- breeden_ccapm
  capm --- fama_french_3
  fama_french_3 --- fama_french_5
  fama_french_3 --- carhart_4
  fama_french_5 --- carhart_4
  black_litterman --- markowitz_mpt
  black_litterman --- capm

  subgraph FAC["Factor Investing and Cross-Sectional Anomalies"]
    banz_size["Size Premium<br/>Rolf W. Banz (1981)"]
    graham_dodd_value["Value Investing<br/>Graham and Dodd (1934) 'Security Analysis'"]
    novy_marx_profit["Profitability Premium<br/>Robert Novy-Marx (2013) 'The Other Side of Value'"]
    quality_minus_junk["Quality Minus Junk<br/>Asness, Frazzini and Pedersen (2019)"]
    baker_low_vol["Low-Volatility Anomaly<br/>Baker, Bradley and Wurgler (2011) 'Benchmarks as Limits to Arbitrage'"]
    arnott_fundamental_index["Fundamental Indexation<br/>Arnott, Hsu and Moore (2005)"]
    alquist_size_effect["Size Factor: Small Capitalization Stocks Premium<br/>Alquist, Israel and Moskowitz (2018) 'Fact, Fiction, and the Size Effect'"]
    asness_value_ff["Value (Book-to-Market) Factor<br/>Asness, Frazzini, Israel and Moskowitz (2015) 'Fact, Fiction, and Value Investing'"]
    asness_momentum_ff["Momentum Factor Effect in Stocks<br/>Asness, Frazzini, Israel and Moskowitz (2014) 'Fact, Fiction and Momentum Investing'"]
    cooper_asset_growth["Asset Growth Effect<br/>Cooper, Gulen and Schill (2008) 'Asset Growth and the Cross-Section of Stock Returns'"]
    lev_nissim_accrual["Persistence of the Accruals Anomaly<br/>Lev and Nissim (2004)"]
    kozlov_petajisto_eq["Earnings Quality Factor<br/>Kozlov and Petajisto (2012) 'Global Return Premiums on Earnings Quality, Value, and Size'"]
    ang_factor["Factor Investing<br/>Andrew Ang (2014) 'Asset Management'"]
    ilmanen_expected["Expected Returns<br/>Antti Ilmanen (2011)"]
    pedersen_efficiently_inefficient["Efficiently Inefficient<br/>Lasse Heje Pedersen (2015)"]
  end
  fama_french_3 --- banz_size
  fama_french_3 --- graham_dodd_value
  fama_french_5 --- novy_marx_profit
  novy_marx_profit --- quality_minus_junk
  graham_dodd_value --- novy_marx_profit
  capm --- baker_low_vol
  banz_size --- baker_low_vol
  arnott_fundamental_index --- graham_dodd_value
  arnott_fundamental_index --- fama_french_3
  banz_size --- alquist_size_effect
  asness_value_ff --- graham_dodd_value
  asness_momentum_ff --- carhart_4
  cooper_asset_growth --- fama_french_5
  lev_nissim_accrual --- sloan_accrual
  kozlov_petajisto_eq --- sloan_accrual
  kozlov_petajisto_eq --- graham_dodd_value
  ang_factor --- fama_french_3
  ang_factor --- ilmanen_expected
  ilmanen_expected --- carhart_4
  pedersen_efficiently_inefficient --- quality_minus_junk

  subgraph XSMOM["Cross-Sectional Momentum and Earnings Drift"]
    jegadeesh_titman["Cross-Sectional Momentum<br/>Jegadeesh and Titman (1993) 'Returns to Buying Winners and Selling Losers'"]
    chan_jegadeesh_lakonishok["Price and Earnings Momentum<br/>Chan, Jegadeesh and Lakonishok (1996) 'Momentum Strategies'"]
    moskowitz_grinblatt["Industry Momentum<br/>Moskowitz and Grinblatt (1999) 'Do Industries Explain Momentum?'"]
    rouwenhorst_intl["International Momentum<br/>K. Geert Rouwenhorst (1998)"]
    griffin_global_mom["Global Momentum and Business Cycles<br/>Griffin, Ji and Martin (2003)"]
    amp_value_momentum["Value and Momentum Everywhere<br/>Asness, Moskowitz and Pedersen (2013)"]
    novy_marx_intermediate["Intermediate-Horizon Momentum<br/>Robert Novy-Marx (2012) 'Is Momentum Really Momentum?'"]
    george_hwang_52wk["52-Week High Momentum<br/>George and Hwang (2004)"]
    ball_brown["Earnings Announcement Drift Origin<br/>Ball and Brown (1968)"]
    bernard_thomas_pead["Post-Earnings-Announcement Drift<br/>Bernard and Thomas (1989)"]
    daniel_moskowitz_crashes["Momentum Crashes<br/>Daniel and Moskowitz (2016)"]
    barroso_santa_clara["Volatility-Managed Momentum<br/>Barroso and Santa-Clara (2015) 'Momentum Has Its Moments'"]
    blitz_residual_momentum["Residual Momentum Factor<br/>Blitz, Huij and Martens (2011) 'Residual Momentum'"]
    lou_polk_skouras["Overnight Versus Intraday Returns<br/>Lou, Polk and Skouras (2019) 'A Tug of War'"]
    gray_vogel_qm["Quantitative Momentum: A Practitioner's Guide<br/>Gray and Vogel (2016)"]
    sapp_mf_momentum["Momentum in Mutual Fund Returns<br/>Travis Sapp (2010) 'The 52-Week High, Momentum, and Predicting Mutual Fund Returns'"]
    chen_chou_hsieh["Consistent Momentum Strategy<br/>Chen, Chou and Hsieh (2017) 'Persistency of the Momentum Effect'"]
    wei_mom_reversal["Momentum and Reversal Combined with Volatility Effect in Stocks<br/>Jason Zhanshun Wei (2011) 'Do Momentum and Reversals Coexist?'"]
    tibbs_style_rotation["Momentum Factor and Style Rotation Effect<br/>Tibbs, Eakins and DeShurko (2008) 'Using Style Index Momentum to Generate Alpha'"]
    nyberg_poyry["Momentum Factor Combined with Asset Growth Effect<br/>Nyberg and Poyry (2014) 'Firm Expansion and Stock Price Momentum'"]
    hong_jordan_liu["52-Weeks High Effect in Stocks<br/>Hong, Jordan and Liu (2015) 'Industry Information and the 52-Week High Effect'"]
  end
  jegadeesh_titman --- chan_jegadeesh_lakonishok
  jegadeesh_titman --- moskowitz_grinblatt
  jegadeesh_titman --- rouwenhorst_intl
  rouwenhorst_intl --- griffin_global_mom
  griffin_global_mom --- amp_value_momentum
  amp_value_momentum --- jegadeesh_titman
  jegadeesh_titman --- novy_marx_intermediate
  novy_marx_intermediate --- george_hwang_52wk
  chan_jegadeesh_lakonishok --- bernard_thomas_pead
  ball_brown --- bernard_thomas_pead
  ball_brown --- chan_jegadeesh_lakonishok
  jegadeesh_titman --- daniel_moskowitz_crashes
  daniel_moskowitz_crashes --- barroso_santa_clara
  barroso_santa_clara --- blitz_residual_momentum
  blitz_residual_momentum --- jegadeesh_titman
  moskowitz_grinblatt --- blitz_residual_momentum
  lou_polk_skouras --- jegadeesh_titman
  lou_polk_skouras --- george_hwang_52wk
  gray_vogel_qm --- jegadeesh_titman
  gray_vogel_qm --- george_hwang_52wk
  sapp_mf_momentum --- george_hwang_52wk
  sapp_mf_momentum --- carhart_4
  chen_chou_hsieh --- jegadeesh_titman
  wei_mom_reversal --- jegadeesh_titman
  wei_mom_reversal --- jegadeesh_short_reversal
  tibbs_style_rotation --- moskowitz_grinblatt
  nyberg_poyry --- cooper_asset_growth
  nyberg_poyry --- jegadeesh_titman
  hong_jordan_liu --- george_hwang_52wk
  hong_jordan_liu --- moskowitz_grinblatt

  subgraph TREND["Trend Following and Time-Series Momentum"]
    mop_tsm["Time Series Momentum Effect<br/>Moskowitz, Ooi and Pedersen (2012) 'Time Series Momentum'"]
    hurst_century_trend["A Century of Evidence on Trend-Following<br/>Hurst, Ooi and Pedersen (2017)"]
    covel_trend_following["Trend Following<br/>Michael W. Covel (2004)"]
    faith_turtle["Way of the Turtle<br/>Curtis M. Faith (2007)"]
    covel_turtletrader["The Complete TurtleTrader<br/>Michael W. Covel (2007)"]
    antonacci_dual["Dual Momentum<br/>Gary Antonacci (2014)"]
    faber_gtaa["Asset Class Trend-Following (GTAA)<br/>Mebane T. Faber (2007) 'A Quantitative Approach to Tactical Asset Allocation'"]
    faber_ivy["The Ivy Portfolio<br/>Mebane T. Faber (2009)"]
    faber_relative_strength["Momentum Asset Allocation Strategy / Sector Momentum Rotational System<br/>Mebane T. Faber (2010) 'Relative Strength Strategies for Investing'"]
    wilcox_crittenden["Trend-following Effect in Stocks<br/>Wilcox and Crittenden (2005) 'Does Trend Following Work on Stocks?'"]
    maewal_bock["Paired Switching<br/>Maewal and Bock (2011) 'Paired-Switching for Tactical Portfolio Allocation'"]
    faber_global_value["Value Factor: CAPE Effect within Countries<br/>Mebane T. Faber (2012) 'Global Value'"]
  end
  mop_tsm --- hurst_century_trend
  mop_tsm --- jegadeesh_titman
  mop_tsm --- antonacci_dual
  hurst_century_trend --- covel_trend_following
  covel_trend_following --- faith_turtle
  covel_trend_following --- covel_turtletrader
  faith_turtle --- covel_turtletrader
  antonacci_dual --- faber_gtaa
  antonacci_dual --- jegadeesh_titman
  faber_gtaa --- faber_ivy
  faber_gtaa --- mop_tsm
  faber_relative_strength --- faber_gtaa
  faber_relative_strength --- tibbs_style_rotation
  wilcox_crittenden --- covel_trend_following
  wilcox_crittenden --- mop_tsm
  maewal_bock --- faber_gtaa
  faber_global_value --- faber_ivy
  faber_global_value --- graham_dodd_value

  subgraph REV["Reversal, Mean Reversion and Statistical Arbitrage"]
    debondt_thaler_overreaction["Long-Term Overreaction<br/>De Bondt and Thaler (1985) 'Does the Stock Market Overreact?'"]
    jegadeesh_short_reversal["Short-Term Reversal<br/>Narasimhan Jegadeesh (1990) 'Evidence of Predictable Behavior of Security Returns'"]
    lehmann_weekly["Weekly Reversal<br/>Bruce N. Lehmann (1990) 'Fads, Martingales, and Market Efficiency'"]
    lo_mackinlay_contrarian["Contrarian Profits<br/>Lo and MacKinlay (1990) 'When Are Contrarian Profits Due to Stock Market Overreaction?'"]
    gatev_pairs["Pairs Trading with Stocks<br/>Gatev, Goetzmann and Rouwenhorst (2006) 'Pairs Trading: Performance of a Relative-Value Arbitrage Rule'"]
    vidyamurthy_pairs["Pairs Trading: Quantitative Methods<br/>Ganapathy Vidyamurthy (2004)"]
    wang_yu_futures_reversal["Short Term Reversal with Futures<br/>Wang and Yu (2004) 'Trading Activity and Price Reversals in Futures Markets'"]
    degroot_reversal_costs["Short Term Reversal Effect in Stocks<br/>de Groot, Huij and Zhou (2012) 'Another Look at Trading Costs and Short-Term Reversal Profits'"]
    so_wang_news_reversal["Reversal During Earnings-Announcements<br/>So and Wang (2014) 'News-Driven Return Reversals'"]
    zhu_sun_chen_fscore["Combining Fundamental FSCORE and Equity Short-Term Reversals<br/>Zhu, Sun and Chen (2017) 'Noise Trading, Slow Diffusion of Information, and Short-Term Reversals'"]
    schizas_etf_pairs["Pairs Trading with Country ETFs<br/>Schizas, Thomakos and Wang (2011) 'Pairs Trading on International ETFs'"]
  end
  debondt_thaler_overreaction --- lo_mackinlay_contrarian
  debondt_thaler_overreaction --- jegadeesh_short_reversal
  jegadeesh_short_reversal --- lehmann_weekly
  lehmann_weekly --- lo_mackinlay_contrarian
  lo_mackinlay_contrarian --- gatev_pairs
  gatev_pairs --- vidyamurthy_pairs
  gatev_pairs --- jegadeesh_short_reversal
  wang_yu_futures_reversal --- jegadeesh_short_reversal
  degroot_reversal_costs --- jegadeesh_short_reversal
  so_wang_news_reversal --- degroot_reversal_costs
  so_wang_news_reversal --- bernard_thomas_pead
  zhu_sun_chen_fscore --- degroot_reversal_costs
  zhu_sun_chen_fscore --- piotroski_fscore
  schizas_etf_pairs --- gatev_pairs
  vidyamurthy_pairs --- engle_granger_coint

  subgraph CARRY["Carry, Term Structure and Commodity Premia"]
    koijen_carry["Carry Everywhere<br/>Koijen, Moskowitz, Pedersen and Vrugt (2018) 'Carry'"]
    lustig_currency_carry["Dollar Carry Trade<br/>Lustig, Roussanov and Verdelhan (2011) 'Common Risk Factors in Currency Markets'"]
    burnside_carry["Carry Trade Payoffs and Risks<br/>Burnside, Eichenbaum and Rebelo (2011) 'Carry Trade and Momentum in Currency Markets'"]
    db_currency_returns["FX Carry Trade / Currency Momentum Factor / Currency Value Factor PPP Strategy<br/>Deutsche Bank Global Markets Research (2009) 'db Currency Returns'"]
    keynes_backwardation["Normal Backwardation<br/>John Maynard Keynes (1930) 'A Treatise on Money'"]
    working_storage["Theory of Storage<br/>Holbrook Working (1949)"]
    erb_harvey["Commodity Futures Return Decomposition<br/>Erb and Harvey (2006) 'The Strategic and Tactical Value of Commodity Futures'"]
    gorton_rouwenhorst["Facts and Fantasies about Commodity Futures<br/>Gorton and Rouwenhorst (2006)"]
    miffre_rallis["Momentum Effect in Commodities<br/>Miffre and Rallis (2007) 'Momentum Strategies in Commodity Futures Markets'"]
    fuertes_miffre_rallis["Term Structure Effect in Commodities<br/>Fuertes, Miffre and Rallis (2010) 'Tactical Allocation in Commodity Futures Markets'"]
    fernandez_perez_skew["Skewness Effect in Commodities<br/>Fernandez-Perez, Frijns, Fuertes and Miffre (2018) 'The Skewness of Commodity Futures Returns'"]
    durian_padysak["Return Asymmetry Effect in Commodity Futures<br/>Durian and Padysak (2021) 'Return Asymmetry in Commodity Futures'"]
    dunis_wti_brent["Trading WTI/BRENT Spread<br/>Dunis, Laws and Evans (2010) 'Trading and Filtering Futures Spread Portfolios'"]
  end
  koijen_carry --- lustig_currency_carry
  koijen_carry --- burnside_carry
  lustig_currency_carry --- burnside_carry
  lustig_currency_carry --- db_currency_returns
  db_currency_returns --- burnside_carry
  keynes_backwardation --- working_storage
  working_storage --- erb_harvey
  erb_harvey --- gorton_rouwenhorst
  gorton_rouwenhorst --- keynes_backwardation
  miffre_rallis --- mop_tsm
  miffre_rallis --- fuertes_miffre_rallis
  fuertes_miffre_rallis --- working_storage
  fernandez_perez_skew --- gorton_rouwenhorst
  fernandez_perez_skew --- mitton_vorkink_skew
  durian_padysak --- fernandez_perez_skew
  dunis_wti_brent --- vidyamurthy_pairs
  koijen_carry --- amp_value_momentum
  erb_harvey --- koijen_carry

  subgraph VAL["Value, Quality and Defensive Anchors"]
    lsv_contrarian["Contrarian Investment, Extrapolation, and Risk<br/>Lakonishok, Shleifer and Vishny (1994)"]
    piotroski_fscore["Piotroski F-Score<br/>Joseph D. Piotroski (2000)"]
    sloan_accrual["Accrual Anomaly<br/>Richard G. Sloan (1996)"]
    asness_fight_fed["Fight the Fed Model<br/>Clifford S. Asness (2003)"]
    maio_fed_model["The FED Model and Expected Asset Returns<br/>Paulo F. Maio (2008)"]
    blitz_vanvliet_vol["Low Volatility Factor Effect in Stocks<br/>Blitz and van Vliet (2007) 'The Volatility Effect'"]
    frazzini_pedersen_bab["Betting Against Beta Factor in Stocks and International Equities<br/>Frazzini and Pedersen (2014) 'Betting Against Beta'"]
    nagy_esg["ESG Factor Momentum Strategy<br/>Nagy, Kassam and Lee (2016) 'Can ESG Add Alpha?'"]
    esg_stochastic["ESG, Price Momentum and Stochastic Optimization<br/>Quantpedia"]
    chan_rd["R&D Expenditures and Stock Returns<br/>Chan, Lakonishok and Sougiannis (2001) 'The Stock Market Valuation of R&D Expenditures'"]
    chen_zhang_qfactor["ROA Effect within Stocks<br/>Chen and Zhang (2010) 'A Better Three-Factor Model That Explains More Anomalies'"]
    frazzini_lamont_eap["The Earnings Announcement Premium and Trading Volume<br/>Frazzini and Lamont (2007)"]
    amini_singal["Earnings Announcements Combined with Stock Repurchases<br/>Amini and Singal (2015) 'Predictability of Earnings around Corporate Actions'"]
    blitz_vanvliet_gtaa["Value and Momentum Factors across Asset Classes<br/>Blitz and van Vliet (2008) 'Global Tactical Cross-Asset Allocation'"]
  end
  lsv_contrarian --- debondt_thaler_overreaction
  lsv_contrarian --- graham_dodd_value
  piotroski_fscore --- lsv_contrarian
  piotroski_fscore --- sloan_accrual
  sloan_accrual --- bernard_thomas_pead
  asness_fight_fed --- maio_fed_model
  maio_fed_model --- fama_french_3
  blitz_vanvliet_vol --- frazzini_pedersen_bab
  frazzini_pedersen_bab --- baker_low_vol
  frazzini_pedersen_bab --- amp_value_momentum
  nagy_esg --- gray_vogel_qm
  nagy_esg --- esg_stochastic
  chan_rd --- bernard_thomas_pead
  chan_rd --- novy_marx_profit
  chen_zhang_qfactor --- fama_french_5
  chen_zhang_qfactor --- cooper_asset_growth
  frazzini_lamont_eap --- bernard_thomas_pead
  amini_singal --- frazzini_lamont_eap
  blitz_vanvliet_gtaa --- amp_value_momentum
  blitz_vanvliet_gtaa --- faber_gtaa

  subgraph CAL["Calendar and Seasonality Anomalies"]
    rozeff_kinney_january["January Effect<br/>Rozeff and Kinney (1976) 'Capital Market Seasonality'"]
    french_weekend["Weekend Effect<br/>Kenneth R. French (1980)"]
    haugen_lakonishok_january["The Incredible January Effect<br/>Haugen and Lakonishok (1988)"]
    lakonishok_smidt["Calendar Anomalies Ninety-Year Perspective<br/>Lakonishok and Smidt (1988)"]
    ariel_holiday["Holiday Effect<br/>Robert A. Ariel (1990)"]
    bouman_jacobsen_halloween["Halloween Indicator: Sell in May<br/>Bouman and Jacobsen (2002)"]
    hirshleifer_shumway_sun["Good Day Sunshine: Weather and Stock Returns<br/>Hirshleifer and Shumway (2003)"]
    heston_sadka_seas["12 Month Cycle in Cross-Section of Stocks Returns<br/>Heston and Sadka (2008) 'Seasonality in the Cross-Section of Expected Stock Returns'"]
    cooper_jan_barometer["January Barometer<br/>Cooper, McConnell and Ovtchinnikov (2006) 'The Other January Effect'"]
    xu_mcconnell_tom["Turn of the Month in Equity Indexes<br/>Xu and McConnell (2006) 'Equity Returns at the Turn of the Month'"]
    ma_pratt_payday["Payday Anomaly<br/>Ma and Pratt (2018)"]
    stivers_sun_opex["Option-Expiration Week Effect<br/>Stivers and Sun (2013) 'Returns and Option Activity over the Option-Expiration Week for S&P 100 Stocks'"]
    padysak_vojtko_btc["Overnight Seasonality in Bitcoin<br/>Padysak and Vojtko (2022) 'Seasonality, Trend-following, and Mean Reversion in Bitcoin'"]
    vojtko_overnight_sentiment["Market Sentiment and an Overnight Anomaly<br/>Vojtko and Hanicova (2021)"]
  end
  rozeff_kinney_january --- haugen_lakonishok_january
  rozeff_kinney_january --- lakonishok_smidt
  french_weekend --- lakonishok_smidt
  lakonishok_smidt --- ariel_holiday
  lakonishok_smidt --- xu_mcconnell_tom
  bouman_jacobsen_halloween --- rozeff_kinney_january
  hirshleifer_shumway_sun --- bouman_jacobsen_halloween
  heston_sadka_seas --- rozeff_kinney_january
  heston_sadka_seas --- jegadeesh_titman
  cooper_jan_barometer --- rozeff_kinney_january
  xu_mcconnell_tom --- ma_pratt_payday
  ma_pratt_payday --- ariel_holiday
  stivers_sun_opex --- xu_mcconnell_tom
  padysak_vojtko_btc --- lou_polk_skouras
  vojtko_overnight_sentiment --- padysak_vojtko_btc
  vojtko_overnight_sentiment --- lou_polk_skouras

  subgraph SENT["Sentiment, Flows and Cross-Asset Signals"]
    bernile_lyandres_soccer["Soccer Clubs' Stocks Arbitrage<br/>Bernile and Lyandres (2011) 'Understanding Investor Sentiment: The Case of Soccer'"]
    driesprong_oil["Crude Oil Predicts Equity Returns<br/>Driesprong, Jacobsen and Maat (2008) 'Striking Oil: Another Puzzle?'"]
    padysak_lending["Synthetic Lending Rates Predict Subsequent Market Return<br/>Matus Padysak (2021)"]
    hanicova_lexical["How to Use Lexical Density of Company Filings<br/>Hanicova, Kalus and Vojtko (2021)"]
    padysak_filings["The Positive Similarity of Company Filings and Stock Returns<br/>Matus Padysak (2020)"]
    padysak_smart_factors["Combining Smart Factors Momentum and Market Portfolio<br/>Matus Padysak (2020) 'The Active vs Passive: Smart Factors, Market Portfolio or Both?'"]
    hanicova_rebal_premium["Rebalancing Premium in Cryptocurrencies<br/>Hanicova and Vojtko (2021)"]
    akbas_short_interest["Short Interest Effect: Long-Short Version<br/>Akbas, Boehmer, Erturk and Sorescu (2016) 'Short Interest, Returns, and Unfavorable Fundamental Information'"]
  end
  bernile_lyandres_soccer --- hirshleifer_shumway_sun
  bernile_lyandres_soccer --- debondt_thaler_overreaction
  driesprong_oil --- granger_causality
  driesprong_oil --- gorton_rouwenhorst
  padysak_lending --- akbas_short_interest
  padysak_lending --- frazzini_pedersen_bab
  hanicova_lexical --- padysak_filings
  hanicova_lexical --- sloan_accrual
  padysak_filings --- bernard_thomas_pead
  padysak_smart_factors --- amp_value_momentum
  padysak_smart_factors --- bogle_index
  hanicova_rebal_premium --- qian_risk_parity
  hanicova_rebal_premium --- padysak_vojtko_btc
  akbas_short_interest --- jegadeesh_short_reversal
  akbas_short_interest --- miller_overpricing

  subgraph OPT["Options and Volatility"]
    subgraph OPTF["Pricing Foundations"]
      black_scholes["Black-Scholes Model<br/>Black and Scholes (1973) 'The Pricing of Options and Corporate Liabilities'"]
      merton_rational["Merton Rational Option Pricing<br/>Robert C. Merton (1973)"]
      stoll_pcp["Put-Call Parity<br/>Hans R. Stoll (1969)"]
      crr_binomial["Binomial Option Pricing Model<br/>Cox, Ross and Rubinstein (1979)"]
      black76["Black-76 Futures Options Model<br/>Fischer Black (1976) 'The Pricing of Commodity Contracts'"]
      harrison_kreps["Martingale Pricing: Fundamental Theorem<br/>Harrison and Kreps (1979)"]
      hull_derivatives["Hull: Options, Futures, and Other Derivatives<br/>John C. Hull (1989)"]
      wilmott_qf["Paul Wilmott on Quantitative Finance<br/>Paul Wilmott (2000)"]
    end
    subgraph VOLM["Volatility Models and the Smile"]
      merton_jump["Merton Jump-Diffusion Model<br/>Robert C. Merton (1976)"]
      heston_sv["Heston Stochastic Volatility Model<br/>Steven L. Heston (1993)"]
      dupire_local_vol["Dupire Local Volatility<br/>Bruno Dupire (1994) 'Pricing with a Smile'"]
      rubinstein_trees["Implied Binomial Trees / Post-1987 Smile<br/>Mark Rubinstein (1994)"]
      hagan_sabr["SABR Model<br/>Hagan, Kumar, Lesniewski and Woodward (2002) 'Managing Smile Risk'"]
      bergomi_smile["Bergomi Smile Dynamics<br/>Lorenzo Bergomi (2004)"]
      gatheral_surface["The Volatility Surface<br/>Jim Gatheral (2006)"]
      rebonato_volcorr["Volatility and Correlation<br/>Riccardo Rebonato (1999)"]
      gatheral_rough["Rough Volatility<br/>Gatheral, Jaisson and Rosenbaum (2018) 'Volatility Is Rough'"]
      engle_arch["ARCH<br/>Robert F. Engle (1982)"]
      bollerslev_garch["GARCH<br/>Tim Bollerslev (1986)"]
    end
    subgraph VARINSTR["Variance Swaps and Volatility Indexes"]
      whaley_vix["Whaley VIX Derivation<br/>Robert E. Whaley (1993) 'Derivatives on Market Volatility'"]
      carr_madan_vs["Variance Swap Replication<br/>Carr and Madan (1998) 'Towards a Theory of Volatility Trading'"]
      britten_neuberger["Model-Free Implied Variance<br/>Britten-Jones and Neuberger (2000)"]
      cboe_vix["CBOE VIX Methodology<br/>CBOE (2003) white paper"]
    end
    subgraph OPTP["Trading and Hedging Practice"]
      option_greeks["The Greeks<br/>John C. Hull (1989) 'Options, Futures, and Other Derivatives'"]
      natenberg["Natenberg: Option Volatility and Pricing<br/>Sheldon Natenberg (1994)"]
      sinclair_vol_trading["Sinclair: Volatility Trading<br/>Euan Sinclair (2008)"]
      sinclair_option_trading["Sinclair: Option Trading<br/>Euan Sinclair (2010)"]
      taleb_dynamic_hedging["Taleb: Dynamic Hedging<br/>Nassim Nicholas Taleb (1997)"]
      avellaneda_lipkin_pinning["Stock Pinning at Expiration<br/>Avellaneda and Lipkin (2003)"]
      bennett_trading_vol["Trading Volatility, Correlation, Term Structure and Skew<br/>Colin Bennett (2014)"]
    end
    subgraph VOLPREM["Option and Volatility Risk Premia"]
      bakshi_kapadia_vrp["Volatility Risk Premium<br/>Bakshi and Kapadia (2003) 'Delta-Hedged Gains'"]
      carr_wu_vrp["Variance Risk Premiums<br/>Carr and Wu (2009)"]
      coval_shumway["Volatility Risk Premium Effect<br/>Coval and Shumway (2001) 'Expected Option Returns'"]
      egloff_leippold_wu["Variance Risk Premium Term Structure<br/>Egloff, Leippold and Wu (2010)"]
      israelov_nielsen_cc["Covered Call Strategies: One Fact and Eight Myths<br/>Israelov and Nielsen (2014)"]
      callan_bxm["BXM Buy-Write Index<br/>Callan Associates (2006)"]
      cboe_put["PUT Put-Write Index<br/>CBOE (2007)"]
      mitton_vorkink_skew["Skewness Preference / Lottery Demand<br/>Mitton and Vorkink (2007)"]
      bali_murray_skew["Risk-Neutral Skewness Premium<br/>Bali and Murray (2013)"]
      driessen_dispersion["Dispersion Trading<br/>Driessen, Maenhout and Vilkov (2009) 'The Price of Correlation Risk'"]
    end
  end
  black_scholes --- merton_rational
  black_scholes --- stoll_pcp
  black_scholes --- crr_binomial
  black_scholes --- black76
  merton_rational --- harrison_kreps
  crr_binomial --- rubinstein_trees
  black76 --- keynes_backwardation
  hull_derivatives --- option_greeks
  wilmott_qf --- hull_derivatives
  black_scholes --- merton_jump
  merton_jump --- heston_sv
  heston_sv --- dupire_local_vol
  dupire_local_vol --- rubinstein_trees
  heston_sv --- hagan_sabr
  hagan_sabr --- bergomi_smile
  bergomi_smile --- gatheral_surface
  gatheral_surface --- dupire_local_vol
  gatheral_surface --- gatheral_rough
  gatheral_rough --- bollerslev_garch
  rebonato_volcorr --- hagan_sabr
  engle_arch --- bollerslev_garch
  bollerslev_garch --- heston_sv
  whaley_vix --- cboe_vix
  carr_madan_vs --- britten_neuberger
  britten_neuberger --- cboe_vix
  carr_madan_vs --- dupire_local_vol
  cboe_vix --- bakshi_kapadia_vrp
  option_greeks --- natenberg
  natenberg --- sinclair_vol_trading
  natenberg --- sinclair_option_trading
  sinclair_vol_trading --- sinclair_option_trading
  taleb_dynamic_hedging --- option_greeks
  taleb_dynamic_hedging --- natenberg
  avellaneda_lipkin_pinning --- option_greeks
  bennett_trading_vol --- rebonato_volcorr
  bennett_trading_vol --- egloff_leippold_wu
  bakshi_kapadia_vrp --- carr_wu_vrp
  carr_wu_vrp --- egloff_leippold_wu
  carr_wu_vrp --- carr_madan_vs
  coval_shumway --- bakshi_kapadia_vrp
  coval_shumway --- bali_murray_skew
  israelov_nielsen_cc --- callan_bxm
  israelov_nielsen_cc --- cboe_put
  callan_bxm --- cboe_put
  cboe_put --- bakshi_kapadia_vrp
  mitton_vorkink_skew --- bali_murray_skew
  driessen_dispersion --- bennett_trading_vol
  driessen_dispersion --- bakshi_kapadia_vrp

  subgraph PCON["Portfolio Construction and Allocation"]
    qian_risk_parity["Risk Parity<br/>Edward Qian (2005) 'Risk Parity Portfolios'"]
    erc_maillard["Equal Risk Contribution<br/>Maillard, Roncalli and Teiletche (2010)"]
    hrp_ldp["Hierarchical Risk Parity<br/>Marcos Lopez de Prado (2016) 'Building Diversified Portfolios that Outperform Out of Sample'"]
    dalio_all_weather["All Weather Strategy<br/>Ray Dalio (2017) 'Principles'"]
    browne_permanent["Permanent Portfolio<br/>Harry Browne (1999) 'Fail-Safe Investing'"]
    swensen_endowment["Endowment Model<br/>David F. Swensen (2000) 'Pioneering Portfolio Management'"]
    grinold_kahn_law["Fundamental Law of Active Management<br/>Grinold and Kahn (1995) 'Active Portfolio Management'"]
    grinold_kahn_risk["Active Risk Decomposition<br/>Grinold and Kahn (2000)"]
    barra_model["Barra Factor Risk Model<br/>Barr Rosenberg (1974) 'Extra-Market Components of Covariance'"]
    carver_systematic["Systematic Trading: A Unique New Method for Designing Trading and Investing Systems<br/>Robert Carver (2015)"]
    carver_leveraged["Leveraged Trading: A Professional Approach<br/>Robert Carver (2019)"]
    chincarini_kim["Quantitative Equity Portfolio Management<br/>Chincarini and Kim (2006)"]
    tomasini_jaekle["Trading Systems: A New Approach to System Development and Portfolio Optimisation / Trading Systems 2nd edition: a new approach to system development and portfolio optimisation<br/>Tomasini and Jaekle (2009, 2019)"]
    guo_lai_quant_trading["Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization<br/>Guo, Lai, Shek and Wong (2017)"]
    grinold_kahn_advances["Advances in Active Portfolio Management: New Developments in Quantitative Investing<br/>Grinold and Kahn (2020)"]
  end
  qian_risk_parity --- erc_maillard
  erc_maillard --- hrp_ldp
  hrp_ldp --- markowitz_mpt
  qian_risk_parity --- dalio_all_weather
  dalio_all_weather --- browne_permanent
  browne_permanent --- bogle_index
  swensen_endowment --- dalio_all_weather
  swensen_endowment --- markowitz_mpt
  grinold_kahn_law --- grinold_kahn_risk
  grinold_kahn_law --- information_ratio
  grinold_kahn_risk --- barra_model
  barra_model --- fama_french_3
  carver_systematic --- carver_leveraged
  carver_systematic --- mop_tsm
  carver_leveraged --- kelly_criterion
  chincarini_kim --- grinold_kahn_law
  chincarini_kim --- barra_model
  tomasini_jaekle --- markowitz_mpt
  guo_lai_quant_trading --- grinold_kahn_law
  grinold_kahn_law --- grinold_kahn_advances

  subgraph PERF["Performance Measurement"]
    sharpe_ratio["Sharpe Ratio<br/>William F. Sharpe (1966) 'Mutual Fund Performance'"]
    sortino_ratio["Sortino Ratio and Downside Deviation<br/>Sortino and van der Meer (1991) 'Downside Risk'"]
    treynor_ratio["Treynor Ratio<br/>Jack L. Treynor (1965)"]
    jensens_alpha["Jensen's Alpha<br/>Michael C. Jensen (1968)"]
    information_ratio["Information Ratio<br/>Thomas H. Goodwin (1998) 'The Information Ratio'"]
    calmar_ratio["Calmar Ratio and Maximum Drawdown<br/>Terry W. Young (1991)"]
    ulcer_index["Ulcer Index<br/>Martin and McCann (1989) 'The Investor's Guide to Fidelity Funds'"]
  end
  sharpe_ratio --- sortino_ratio
  sharpe_ratio --- treynor_ratio
  sharpe_ratio --- information_ratio
  treynor_ratio --- capm
  treynor_ratio --- jensens_alpha
  jensens_alpha --- capm
  jensens_alpha --- grinold_kahn_law
  sortino_ratio --- roy_safety_first
  calmar_ratio --- ulcer_index
  calmar_ratio --- sharpe_ratio
  ulcer_index --- sortino_ratio

  subgraph SIZE["Position Sizing and Money Management"]
    kelly_criterion["Kelly Criterion<br/>John L. Kelly Jr. (1956) 'A New Interpretation of Information Rate'"]
    thorp_beat_dealer["Beat the Dealer<br/>Edward O. Thorp (1962)"]
    kelly_capital_growth["Kelly Capital Growth Criterion<br/>MacLean, Thorp and Ziemba (2011)"]
    fortunes_formula["Fortune's Formula<br/>William Poundstone (2005)"]
    vince_fixed_fractional["Fixed Fractional Sizing<br/>Ralph Vince (1990) 'Portfolio Management Formulas'"]
    vince_optimal_f["Optimal f<br/>Ralph Vince (1992) 'The Mathematics of Money Management'"]
    vince_risk_of_ruin["Risk of Ruin<br/>Ralph Vince (1992) 'The Mathematics of Money Management'"]
    jones_fixed_ratio["Fixed Ratio Sizing<br/>Ryan Jones (1999) 'The Trading Game'"]
    elder_two_percent["Two Percent Rule<br/>Alexander Elder (2002) 'Come Into My Trading Room'"]
    tharp_r_multiples["R-Multiples and Expectancy<br/>Van K. Tharp (1998) 'Trade Your Way to Financial Freedom'"]
    davey_monte_carlo["Monte Carlo Drawdown Simulation<br/>Kevin J. Davey (2014) 'Building Winning Algorithmic Trading Systems'"]
  end
  kelly_criterion --- thorp_beat_dealer
  kelly_criterion --- kelly_capital_growth
  kelly_criterion --- fortunes_formula
  thorp_beat_dealer --- fortunes_formula
  kelly_criterion --- vince_optimal_f
  vince_fixed_fractional --- vince_optimal_f
  vince_optimal_f --- vince_risk_of_ruin
  vince_risk_of_ruin --- davey_monte_carlo
  jones_fixed_ratio --- vince_optimal_f
  elder_two_percent --- vince_fixed_fractional
  elder_two_percent --- vince_risk_of_ruin
  tharp_r_multiples --- vince_fixed_fractional
  tharp_r_multiples --- davey_monte_carlo
  davey_monte_carlo --- walk_forward_pardo

  subgraph DD["Drawdown and Dynamic Risk Control"]
    roy_safety_first["Safety-First Principle<br/>A. D. Roy (1952) 'Safety First and the Holding of Assets'"]
    grossman_zhou_dd["Drawdown-Constrained Optimal Growth<br/>Grossman and Zhou (1993)"]
    chekhlov_cdar["Conditional Drawdown at Risk<br/>Chekhlov, Uryasev and Zabarankin (2005)"]
    kaminski_lo_stoploss["When Do Stop-Loss Rules Stop Losses?<br/>Kaminski and Lo (2014)"]
    moreira_muir_volman["Volatility-Managed Portfolios<br/>Moreira and Muir (2017)"]
    harvey_vol_target["The Impact of Volatility Targeting<br/>Harvey, Hoyle, Korgaonkar, Rattray, Sargaison and Van Hemert (2018)"]
    spitznagel_tail["Tail Risk Hedging<br/>Mark Spitznagel (2013) 'The Dao of Capital'"]
  end
  roy_safety_first --- markowitz_mpt
  grossman_zhou_dd --- kelly_criterion
  grossman_zhou_dd --- calmar_ratio
  chekhlov_cdar --- rockafellar_cvar
  chekhlov_cdar --- grossman_zhou_dd
  kaminski_lo_stoploss --- elder_two_percent
  kaminski_lo_stoploss --- mop_tsm
  moreira_muir_volman --- harvey_vol_target
  moreira_muir_volman --- barroso_santa_clara
  harvey_vol_target --- qian_risk_parity
  harvey_vol_target --- kaminski_lo_stoploss
  spitznagel_tail --- taleb_antifragile
  spitznagel_tail --- bakshi_kapadia_vrp

  subgraph VARTAIL["VaR and Tail Measurement"]
    jorion_var["Value at Risk<br/>Philippe Jorion (1997) 'Value at Risk'"]
    artzner_coherent["Coherent Measures of Risk<br/>Artzner, Delbaen, Eber and Heath (1999)"]
    rockafellar_cvar["CVaR Optimization<br/>Rockafellar and Uryasev (2000)"]
    acerbi_tasche_es["Expected Shortfall Coherence<br/>Acerbi and Tasche (2002)"]
    embrechts_evt["Extreme Value Theory for Finance<br/>Embrechts, Kluppelberg and Mikosch (1997) 'Modelling Extremal Events'"]
    kupiec_stress["Stress Testing in a VaR Framework<br/>Paul H. Kupiec (1998)"]
    basel_1996["Basel Market Risk Amendment<br/>Basel Committee on Banking Supervision (1996)"]
    frtb_2016["FRTB Expected Shortfall Regime<br/>Basel Committee on Banking Supervision (2016) 'Minimum Capital Requirements for Market Risk'"]
  end
  jorion_var --- artzner_coherent
  artzner_coherent --- rockafellar_cvar
  rockafellar_cvar --- acerbi_tasche_es
  acerbi_tasche_es --- frtb_2016
  embrechts_evt --- jorion_var
  embrechts_evt --- mandelbrot_fat_tails
  kupiec_stress --- jorion_var
  kupiec_stress --- basel_1996
  basel_1996 --- frtb_2016
  jorion_var --- engle_arch

  subgraph CRISIS["Fat Tails, Crises and Risk Philosophy"]
    mandelbrot_fat_tails["Stable Paretian Fat Tails<br/>Benoit Mandelbrot (1963) 'The Variation of Certain Speculative Prices'"]
    mandelbrot_misbehavior["The (Mis)behavior of Markets<br/>Mandelbrot and Hudson (2004)"]
    taleb_fooled["Fooled by Randomness<br/>Nassim Nicholas Taleb (2001)"]
    taleb_black_swan["The Black Swan<br/>Nassim Nicholas Taleb (2007)"]
    taleb_antifragile["Antifragile<br/>Nassim Nicholas Taleb (2012)"]
    taleb_skin["Skin in the Game<br/>Nassim Nicholas Taleb (2018)"]
    bali_max_lottery["MAX Lottery Effect<br/>Bali, Cakici and Whitelaw (2011) 'Maxing Out'"]
    crisis_alpha["Crisis Alpha<br/>Hurst, Ooi and Pedersen (2017) 'A Century of Evidence on Trend-Following Investing'"]
    bookstaber_demon["A Demon of Our Own Design<br/>Richard Bookstaber (2007)"]
    when_genius_failed["When Genius Failed: LTCM<br/>Roger Lowenstein (2000)"]
    bernstein_against_gods["Against the Gods: The Remarkable Story of Risk<br/>Peter L. Bernstein (1996)"]
    brown_red_blooded["Red-Blooded Risk<br/>Aaron Brown (2011)"]
    graham_margin_of_safety["Margin of Safety<br/>Benjamin Graham (1949) 'The Intelligent Investor'"]
    miller_overpricing["Divergence of Opinion and Overpricing<br/>Edward M. Miller (1977) 'Risk, Uncertainty, and Divergence of Opinion'"]
  end
  mandelbrot_fat_tails --- mandelbrot_misbehavior
  mandelbrot_fat_tails --- taleb_black_swan
  mandelbrot_misbehavior --- taleb_fooled
  taleb_fooled --- taleb_black_swan
  taleb_black_swan --- taleb_antifragile
  taleb_antifragile --- taleb_skin
  taleb_fooled --- vince_risk_of_ruin
  bali_max_lottery --- mitton_vorkink_skew
  bali_max_lottery --- taleb_black_swan
  crisis_alpha --- hurst_century_trend
  crisis_alpha --- kaminski_lo_stoploss
  bookstaber_demon --- when_genius_failed
  bookstaber_demon --- taleb_black_swan
  when_genius_failed --- kelly_criterion
  when_genius_failed --- graham_margin_of_safety
  bernstein_against_gods --- brown_red_blooded
  bernstein_against_gods --- jorion_var
  brown_red_blooded --- bookstaber_demon
  graham_margin_of_safety --- graham_dodd_value
  graham_margin_of_safety --- roy_safety_first
  miller_overpricing --- taleb_fooled
  miller_overpricing --- debondt_thaler_overreaction

  subgraph BTEST["Backtesting and Strategy Validation"]
    ldp_afml["Advances in Financial Machine Learning<br/>Marcos Lopez de Prado (2018)"]
    walk_forward_pardo["Walk-Forward Analysis<br/>Robert Pardo (2008) 'The Evaluation and Optimization of Trading Strategies'"]
    aronson_ebta["Evidence-Based Technical Analysis<br/>David Aronson (2006)"]
    bailey_pbo["Probability of Backtest Overfitting<br/>Bailey, Borwein, Lopez de Prado and Zhu (2017)"]
    chan_quant_trading["Quantitative Trading<br/>Ernest P. Chan (2008)"]
    chan_algo_trading["Algorithmic Trading: Winning Strategies and Their Rationale<br/>Ernest P. Chan (2013)"]
    chan_machine_trading["Machine Trading: Deploying Computer Algorithms to Conquer the Markets<br/>Ernest P. Chan (2017)"]
    bandy_qta["Quantitative Technical Analysis<br/>Howard B. Bandy (2015)"]
    durenard_pat["Professional Automated Trading<br/>Eugene A. Durenard (2013)"]
    velu_atqs["Algorithmic Trading and Quantitative Strategies<br/>Velu, Hardy and Nehren (2020)"]
    grimes_ta["The Art and Science of Technical Analysis<br/>Adam Grimes (2012)"]
    davey_intro_algo["Introduction To Algo Trading<br/>Kevin J. Davey (2020)"]
  end
  ldp_afml --- bailey_pbo
  ldp_afml --- deflated_sharpe
  ldp_afml --- gu_kelly_xiu
  walk_forward_pardo --- aronson_ebta
  walk_forward_pardo --- bailey_pbo
  aronson_ebta --- whites_reality_check
  bailey_pbo --- deflated_sharpe
  chan_quant_trading --- chan_algo_trading
  chan_algo_trading --- chan_machine_trading
  chan_algo_trading --- engle_granger_coint
  chan_machine_trading --- jansen_ml4t
  bandy_qta --- aronson_ebta
  durenard_pat --- chan_algo_trading
  velu_atqs --- ldp_afml
  grimes_ta --- aronson_ebta
  grimes_ta --- covel_trend_following
  davey_intro_algo --- davey_monte_carlo

  subgraph STATVAL["Multiple Testing and Statistical Validation"]
    deflated_sharpe["Deflated Sharpe Ratio<br/>Bailey and Lopez de Prado (2014)"]
    whites_reality_check["White's Reality Check<br/>Halbert White (2000) 'A Reality Check for Data Snooping'"]
    hansen_spa["Superior Predictive Ability Test<br/>Peter Reinhard Hansen (2005)"]
    model_confidence_set["Model Confidence Set<br/>Hansen, Lunde and Nason (2011)"]
    harvey_liu_zhu["Multiple Testing and the Cross-Section of Expected Returns<br/>Harvey, Liu and Zhu (2016)"]
    

…(truncated)