# Trading > Systematic and quantitative trading knowledge expressed as semantic anchors in a nonlinear backreferencing mermaid graph, in the style of the llm-coding Semantic-Anchors catalog. Each anchor is a well-defined concept attributable to canonical literature and its authors; naming an anchor activates the whole knowledge cluster. Use for strategy research, factor investing, trend following, mean reversion, options and volatility, portfolio construction, position sizing, backtesting methodology, financial machine learning, market microstructure, execution, behavioral finance, and trading tooling selection. - Skill: `anentrypoint/trading` (Agent Skill) - Install (CLI): `npx skillmds@latest add anentrypoint/trading` - Raw SKILL.md: https://api.skillmd.com/api/skills/anentrypoint/trading/raw - Safety review: pending - Works with: Claude Code, Claude.ai, OpenAI Codex - Category: AI & ML - Author: anentrypoint (https://skillmd.com/u/anentrypoint) - Updated: 2026-09-17 - Page: https://skillmd.com/skills/anentrypoint/trading --- ```mermaid flowchart LR subgraph EFF["Market Efficiency Foundations"] fama_emh["Efficient Market Hypothesis
Eugene F. Fama (1970) 'Efficient Capital Markets'"] samuelson_random["Properly Anticipated Prices Fluctuate Randomly
Paul A. Samuelson (1965)"] malkiel_random_walk["Random Walk Hypothesis
Burton G. Malkiel (1973) 'A Random Walk Down Wall Street'"] grossman_stiglitz["Grossman-Stiglitz Paradox
Grossman and Stiglitz (1980) 'On the Impossibility of Informationally Efficient Markets'"] lo_adaptive_markets["Adaptive Markets Hypothesis
Andrew W. Lo (2004)"] mehra_prescott_puzzle["Equity Premium Puzzle
Mehra and Prescott (1985) 'The Equity Premium: A Puzzle'"] triumph_optimists["Triumph of the Optimists
Dimson, Marsh and Staunton (2002)"] siegel_stocks_long_run["Stocks for the Long Run
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
Harry Markowitz (1952) 'Portfolio Selection'"] tobin_separation["Tobin Separation Theorem
James Tobin (1958) 'Liquidity Preference as Behavior Towards Risk'"] capm["Capital Asset Pricing Model
Sharpe (1964), Lintner (1965), Mossin (1966)"] ross_apt["Arbitrage Pricing Theory
Stephen A. Ross (1976)"] merton_icapm["Intertemporal CAPM
Robert C. Merton (1973)"] breeden_ccapm["Consumption CAPM
Douglas T. Breeden (1979)"] fama_french_3["Fama-French Three-Factor Model
Fama and French (1992, 1993)"] fama_french_5["Fama-French Five-Factor Model
Fama and French (2015)"] carhart_4["Carhart Momentum Factor
Mark M. Carhart (1997) 'On Persistence in Mutual Fund Performance'"] black_litterman["Black-Litterman Model
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
Rolf W. Banz (1981)"] graham_dodd_value["Value Investing
Graham and Dodd (1934) 'Security Analysis'"] novy_marx_profit["Profitability Premium
Robert Novy-Marx (2013) 'The Other Side of Value'"] quality_minus_junk["Quality Minus Junk
Asness, Frazzini and Pedersen (2019)"] baker_low_vol["Low-Volatility Anomaly
Baker, Bradley and Wurgler (2011) 'Benchmarks as Limits to Arbitrage'"] arnott_fundamental_index["Fundamental Indexation
Arnott, Hsu and Moore (2005)"] alquist_size_effect["Size Factor: Small Capitalization Stocks Premium
Alquist, Israel and Moskowitz (2018) 'Fact, Fiction, and the Size Effect'"] asness_value_ff["Value (Book-to-Market) Factor
Asness, Frazzini, Israel and Moskowitz (2015) 'Fact, Fiction, and Value Investing'"] asness_momentum_ff["Momentum Factor Effect in Stocks
Asness, Frazzini, Israel and Moskowitz (2014) 'Fact, Fiction and Momentum Investing'"] cooper_asset_growth["Asset Growth Effect
Cooper, Gulen and Schill (2008) 'Asset Growth and the Cross-Section of Stock Returns'"] lev_nissim_accrual["Persistence of the Accruals Anomaly
Lev and Nissim (2004)"] kozlov_petajisto_eq["Earnings Quality Factor
Kozlov and Petajisto (2012) 'Global Return Premiums on Earnings Quality, Value, and Size'"] ang_factor["Factor Investing
Andrew Ang (2014) 'Asset Management'"] ilmanen_expected["Expected Returns
Antti Ilmanen (2011)"] pedersen_efficiently_inefficient["Efficiently Inefficient
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
Jegadeesh and Titman (1993) 'Returns to Buying Winners and Selling Losers'"] chan_jegadeesh_lakonishok["Price and Earnings Momentum
Chan, Jegadeesh and Lakonishok (1996) 'Momentum Strategies'"] moskowitz_grinblatt["Industry Momentum
Moskowitz and Grinblatt (1999) 'Do Industries Explain Momentum?'"] rouwenhorst_intl["International Momentum
K. Geert Rouwenhorst (1998)"] griffin_global_mom["Global Momentum and Business Cycles
Griffin, Ji and Martin (2003)"] amp_value_momentum["Value and Momentum Everywhere
Asness, Moskowitz and Pedersen (2013)"] novy_marx_intermediate["Intermediate-Horizon Momentum
Robert Novy-Marx (2012) 'Is Momentum Really Momentum?'"] george_hwang_52wk["52-Week High Momentum
George and Hwang (2004)"] ball_brown["Earnings Announcement Drift Origin
Ball and Brown (1968)"] bernard_thomas_pead["Post-Earnings-Announcement Drift
Bernard and Thomas (1989)"] daniel_moskowitz_crashes["Momentum Crashes
Daniel and Moskowitz (2016)"] barroso_santa_clara["Volatility-Managed Momentum
Barroso and Santa-Clara (2015) 'Momentum Has Its Moments'"] blitz_residual_momentum["Residual Momentum Factor
Blitz, Huij and Martens (2011) 'Residual Momentum'"] lou_polk_skouras["Overnight Versus Intraday Returns
Lou, Polk and Skouras (2019) 'A Tug of War'"] gray_vogel_qm["Quantitative Momentum: A Practitioner's Guide
Gray and Vogel (2016)"] sapp_mf_momentum["Momentum in Mutual Fund Returns
Travis Sapp (2010) 'The 52-Week High, Momentum, and Predicting Mutual Fund Returns'"] chen_chou_hsieh["Consistent Momentum Strategy
Chen, Chou and Hsieh (2017) 'Persistency of the Momentum Effect'"] wei_mom_reversal["Momentum and Reversal Combined with Volatility Effect in Stocks
Jason Zhanshun Wei (2011) 'Do Momentum and Reversals Coexist?'"] tibbs_style_rotation["Momentum Factor and Style Rotation Effect
Tibbs, Eakins and DeShurko (2008) 'Using Style Index Momentum to Generate Alpha'"] nyberg_poyry["Momentum Factor Combined with Asset Growth Effect
Nyberg and Poyry (2014) 'Firm Expansion and Stock Price Momentum'"] hong_jordan_liu["52-Weeks High Effect in Stocks
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
Moskowitz, Ooi and Pedersen (2012) 'Time Series Momentum'"] hurst_century_trend["A Century of Evidence on Trend-Following
Hurst, Ooi and Pedersen (2017)"] covel_trend_following["Trend Following
Michael W. Covel (2004)"] faith_turtle["Way of the Turtle
Curtis M. Faith (2007)"] covel_turtletrader["The Complete TurtleTrader
Michael W. Covel (2007)"] antonacci_dual["Dual Momentum
Gary Antonacci (2014)"] faber_gtaa["Asset Class Trend-Following (GTAA)
Mebane T. Faber (2007) 'A Quantitative Approach to Tactical Asset Allocation'"] faber_ivy["The Ivy Portfolio
Mebane T. Faber (2009)"] faber_relative_strength["Momentum Asset Allocation Strategy / Sector Momentum Rotational System
Mebane T. Faber (2010) 'Relative Strength Strategies for Investing'"] wilcox_crittenden["Trend-following Effect in Stocks
Wilcox and Crittenden (2005) 'Does Trend Following Work on Stocks?'"] maewal_bock["Paired Switching
Maewal and Bock (2011) 'Paired-Switching for Tactical Portfolio Allocation'"] faber_global_value["Value Factor: CAPE Effect within Countries
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
De Bondt and Thaler (1985) 'Does the Stock Market Overreact?'"] jegadeesh_short_reversal["Short-Term Reversal
Narasimhan Jegadeesh (1990) 'Evidence of Predictable Behavior of Security Returns'"] lehmann_weekly["Weekly Reversal
Bruce N. Lehmann (1990) 'Fads, Martingales, and Market Efficiency'"] lo_mackinlay_contrarian["Contrarian Profits
Lo and MacKinlay (1990) 'When Are Contrarian Profits Due to Stock Market Overreaction?'"] gatev_pairs["Pairs Trading with Stocks
Gatev, Goetzmann and Rouwenhorst (2006) 'Pairs Trading: Performance of a Relative-Value Arbitrage Rule'"] vidyamurthy_pairs["Pairs Trading: Quantitative Methods
Ganapathy Vidyamurthy (2004)"] wang_yu_futures_reversal["Short Term Reversal with Futures
Wang and Yu (2004) 'Trading Activity and Price Reversals in Futures Markets'"] degroot_reversal_costs["Short Term Reversal Effect in Stocks
de Groot, Huij and Zhou (2012) 'Another Look at Trading Costs and Short-Term Reversal Profits'"] so_wang_news_reversal["Reversal During Earnings-Announcements
So and Wang (2014) 'News-Driven Return Reversals'"] zhu_sun_chen_fscore["Combining Fundamental FSCORE and Equity Short-Term Reversals
Zhu, Sun and Chen (2017) 'Noise Trading, Slow Diffusion of Information, and Short-Term Reversals'"] schizas_etf_pairs["Pairs Trading with Country ETFs
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
Koijen, Moskowitz, Pedersen and Vrugt (2018) 'Carry'"] lustig_currency_carry["Dollar Carry Trade
Lustig, Roussanov and Verdelhan (2011) 'Common Risk Factors in Currency Markets'"] burnside_carry["Carry Trade Payoffs and Risks
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
Deutsche Bank Global Markets Research (2009) 'db Currency Returns'"] keynes_backwardation["Normal Backwardation
John Maynard Keynes (1930) 'A Treatise on Money'"] working_storage["Theory of Storage
Holbrook Working (1949)"] erb_harvey["Commodity Futures Return Decomposition
Erb and Harvey (2006) 'The Strategic and Tactical Value of Commodity Futures'"] gorton_rouwenhorst["Facts and Fantasies about Commodity Futures
Gorton and Rouwenhorst (2006)"] miffre_rallis["Momentum Effect in Commodities
Miffre and Rallis (2007) 'Momentum Strategies in Commodity Futures Markets'"] fuertes_miffre_rallis["Term Structure Effect in Commodities
Fuertes, Miffre and Rallis (2010) 'Tactical Allocation in Commodity Futures Markets'"] fernandez_perez_skew["Skewness Effect in Commodities
Fernandez-Perez, Frijns, Fuertes and Miffre (2018) 'The Skewness of Commodity Futures Returns'"] durian_padysak["Return Asymmetry Effect in Commodity Futures
Durian and Padysak (2021) 'Return Asymmetry in Commodity Futures'"] dunis_wti_brent["Trading WTI/BRENT Spread
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
Lakonishok, Shleifer and Vishny (1994)"] piotroski_fscore["Piotroski F-Score
Joseph D. Piotroski (2000)"] sloan_accrual["Accrual Anomaly
Richard G. Sloan (1996)"] asness_fight_fed["Fight the Fed Model
Clifford S. Asness (2003)"] maio_fed_model["The FED Model and Expected Asset Returns
Paulo F. Maio (2008)"] blitz_vanvliet_vol["Low Volatility Factor Effect in Stocks
Blitz and van Vliet (2007) 'The Volatility Effect'"] frazzini_pedersen_bab["Betting Against Beta Factor in Stocks and International Equities
Frazzini and Pedersen (2014) 'Betting Against Beta'"] nagy_esg["ESG Factor Momentum Strategy
Nagy, Kassam and Lee (2016) 'Can ESG Add Alpha?'"] esg_stochastic["ESG, Price Momentum and Stochastic Optimization
Quantpedia"] chan_rd["R&D Expenditures and Stock Returns
Chan, Lakonishok and Sougiannis (2001) 'The Stock Market Valuation of R&D Expenditures'"] chen_zhang_qfactor["ROA Effect within Stocks
Chen and Zhang (2010) 'A Better Three-Factor Model That Explains More Anomalies'"] frazzini_lamont_eap["The Earnings Announcement Premium and Trading Volume
Frazzini and Lamont (2007)"] amini_singal["Earnings Announcements Combined with Stock Repurchases
Amini and Singal (2015) 'Predictability of Earnings around Corporate Actions'"] blitz_vanvliet_gtaa["Value and Momentum Factors across Asset Classes
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
Rozeff and Kinney (1976) 'Capital Market Seasonality'"] french_weekend["Weekend Effect
Kenneth R. French (1980)"] haugen_lakonishok_january["The Incredible January Effect
Haugen and Lakonishok (1988)"] lakonishok_smidt["Calendar Anomalies Ninety-Year Perspective
Lakonishok and Smidt (1988)"] ariel_holiday["Holiday Effect
Robert A. Ariel (1990)"] bouman_jacobsen_halloween["Halloween Indicator: Sell in May
Bouman and Jacobsen (2002)"] hirshleifer_shumway_sun["Good Day Sunshine: Weather and Stock Returns
Hirshleifer and Shumway (2003)"] heston_sadka_seas["12 Month Cycle in Cross-Section of Stocks Returns
Heston and Sadka (2008) 'Seasonality in the Cross-Section of Expected Stock Returns'"] cooper_jan_barometer["January Barometer
Cooper, McConnell and Ovtchinnikov (2006) 'The Other January Effect'"] xu_mcconnell_tom["Turn of the Month in Equity Indexes
Xu and McConnell (2006) 'Equity Returns at the Turn of the Month'"] ma_pratt_payday["Payday Anomaly
Ma and Pratt (2018)"] stivers_sun_opex["Option-Expiration Week Effect
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
Padysak and Vojtko (2022) 'Seasonality, Trend-following, and Mean Reversion in Bitcoin'"] vojtko_overnight_sentiment["Market Sentiment and an Overnight Anomaly
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
Bernile and Lyandres (2011) 'Understanding Investor Sentiment: The Case of Soccer'"] driesprong_oil["Crude Oil Predicts Equity Returns
Driesprong, Jacobsen and Maat (2008) 'Striking Oil: Another Puzzle?'"] padysak_lending["Synthetic Lending Rates Predict Subsequent Market Return
Matus Padysak (2021)"] hanicova_lexical["How to Use Lexical Density of Company Filings
Hanicova, Kalus and Vojtko (2021)"] padysak_filings["The Positive Similarity of Company Filings and Stock Returns
Matus Padysak (2020)"] padysak_smart_factors["Combining Smart Factors Momentum and Market Portfolio
Matus Padysak (2020) 'The Active vs Passive: Smart Factors, Market Portfolio or Both?'"] hanicova_rebal_premium["Rebalancing Premium in Cryptocurrencies
Hanicova and Vojtko (2021)"] akbas_short_interest["Short Interest Effect: Long-Short Version
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
Black and Scholes (1973) 'The Pricing of Options and Corporate Liabilities'"] merton_rational["Merton Rational Option Pricing
Robert C. Merton (1973)"] stoll_pcp["Put-Call Parity
Hans R. Stoll (1969)"] crr_binomial["Binomial Option Pricing Model
Cox, Ross and Rubinstein (1979)"] black76["Black-76 Futures Options Model
Fischer Black (1976) 'The Pricing of Commodity Contracts'"] harrison_kreps["Martingale Pricing: Fundamental Theorem
Harrison and Kreps (1979)"] hull_derivatives["Hull: Options, Futures, and Other Derivatives
John C. Hull (1989)"] wilmott_qf["Paul Wilmott on Quantitative Finance
Paul Wilmott (2000)"] end subgraph VOLM["Volatility Models and the Smile"] merton_jump["Merton Jump-Diffusion Model
Robert C. Merton (1976)"] heston_sv["Heston Stochastic Volatility Model
Steven L. Heston (1993)"] dupire_local_vol["Dupire Local Volatility
Bruno Dupire (1994) 'Pricing with a Smile'"] rubinstein_trees["Implied Binomial Trees / Post-1987 Smile
Mark Rubinstein (1994)"] hagan_sabr["SABR Model
Hagan, Kumar, Lesniewski and Woodward (2002) 'Managing Smile Risk'"] bergomi_smile["Bergomi Smile Dynamics
Lorenzo Bergomi (2004)"] gatheral_surface["The Volatility Surface
Jim Gatheral (2006)"] rebonato_volcorr["Volatility and Correlation
Riccardo Rebonato (1999)"] gatheral_rough["Rough Volatility
Gatheral, Jaisson and Rosenbaum (2018) 'Volatility Is Rough'"] engle_arch["ARCH
Robert F. Engle (1982)"] bollerslev_garch["GARCH
Tim Bollerslev (1986)"] end subgraph VARINSTR["Variance Swaps and Volatility Indexes"] whaley_vix["Whaley VIX Derivation
Robert E. Whaley (1993) 'Derivatives on Market Volatility'"] carr_madan_vs["Variance Swap Replication
Carr and Madan (1998) 'Towards a Theory of Volatility Trading'"] britten_neuberger["Model-Free Implied Variance
Britten-Jones and Neuberger (2000)"] cboe_vix["CBOE VIX Methodology
CBOE (2003) white paper"] end subgraph OPTP["Trading and Hedging Practice"] option_greeks["The Greeks
John C. Hull (1989) 'Options, Futures, and Other Derivatives'"] natenberg["Natenberg: Option Volatility and Pricing
Sheldon Natenberg (1994)"] sinclair_vol_trading["Sinclair: Volatility Trading
Euan Sinclair (2008)"] sinclair_option_trading["Sinclair: Option Trading
Euan Sinclair (2010)"] taleb_dynamic_hedging["Taleb: Dynamic Hedging
Nassim Nicholas Taleb (1997)"] avellaneda_lipkin_pinning["Stock Pinning at Expiration
Avellaneda and Lipkin (2003)"] bennett_trading_vol["Trading Volatility, Correlation, Term Structure and Skew
Colin Bennett (2014)"] end subgraph VOLPREM["Option and Volatility Risk Premia"] bakshi_kapadia_vrp["Volatility Risk Premium
Bakshi and Kapadia (2003) 'Delta-Hedged Gains'"] carr_wu_vrp["Variance Risk Premiums
Carr and Wu (2009)"] coval_shumway["Volatility Risk Premium Effect
Coval and Shumway (2001) 'Expected Option Returns'"] egloff_leippold_wu["Variance Risk Premium Term Structure
Egloff, Leippold and Wu (2010)"] israelov_nielsen_cc["Covered Call Strategies: One Fact and Eight Myths
Israelov and Nielsen (2014)"] callan_bxm["BXM Buy-Write Index
Callan Associates (2006)"] cboe_put["PUT Put-Write Index
CBOE (2007)"] mitton_vorkink_skew["Skewness Preference / Lottery Demand
Mitton and Vorkink (2007)"] bali_murray_skew["Risk-Neutral Skewness Premium
Bali and Murray (2013)"] driessen_dispersion["Dispersion Trading
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
Edward Qian (2005) 'Risk Parity Portfolios'"] erc_maillard["Equal Risk Contribution
Maillard, Roncalli and Teiletche (2010)"] hrp_ldp["Hierarchical Risk Parity
Marcos Lopez de Prado (2016) 'Building Diversified Portfolios that Outperform Out of Sample'"] dalio_all_weather["All Weather Strategy
Ray Dalio (2017) 'Principles'"] browne_permanent["Permanent Portfolio
Harry Browne (1999) 'Fail-Safe Investing'"] swensen_endowment["Endowment Model
David F. Swensen (2000) 'Pioneering Portfolio Management'"] grinold_kahn_law["Fundamental Law of Active Management
Grinold and Kahn (1995) 'Active Portfolio Management'"] grinold_kahn_risk["Active Risk Decomposition
Grinold and Kahn (2000)"] barra_model["Barra Factor Risk Model
Barr Rosenberg (1974) 'Extra-Market Components of Covariance'"] carver_systematic["Systematic Trading: A Unique New Method for Designing Trading and Investing Systems
Robert Carver (2015)"] carver_leveraged["Leveraged Trading: A Professional Approach
Robert Carver (2019)"] chincarini_kim["Quantitative Equity Portfolio Management
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
Tomasini and Jaekle (2009, 2019)"] guo_lai_quant_trading["Quantitative Trading: Algorithms, Analytics, Data, Models, Optimization
Guo, Lai, Shek and Wong (2017)"] grinold_kahn_advances["Advances in Active Portfolio Management: New Developments in Quantitative Investing
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
William F. Sharpe (1966) 'Mutual Fund Performance'"] sortino_ratio["Sortino Ratio and Downside Deviation
Sortino and van der Meer (1991) 'Downside Risk'"] treynor_ratio["Treynor Ratio
Jack L. Treynor (1965)"] jensens_alpha["Jensen's Alpha
Michael C. Jensen (1968)"] information_ratio["Information Ratio
Thomas H. Goodwin (1998) 'The Information Ratio'"] calmar_ratio["Calmar Ratio and Maximum Drawdown
Terry W. Young (1991)"] ulcer_index["Ulcer Index
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
John L. Kelly Jr. (1956) 'A New Interpretation of Information Rate'"] thorp_beat_dealer["Beat the Dealer
Edward O. Thorp (1962)"] kelly_capital_growth["Kelly Capital Growth Criterion
MacLean, Thorp and Ziemba (2011)"] fortunes_formula["Fortune's Formula
William Poundstone (2005)"] vince_fixed_fractional["Fixed Fractional Sizing
Ralph Vince (1990) 'Portfolio Management Formulas'"] vince_optimal_f["Optimal f
Ralph Vince (1992) 'The Mathematics of Money Management'"] vince_risk_of_ruin["Risk of Ruin
Ralph Vince (1992) 'The Mathematics of Money Management'"] jones_fixed_ratio["Fixed Ratio Sizing
Ryan Jones (1999) 'The Trading Game'"] elder_two_percent["Two Percent Rule
Alexander Elder (2002) 'Come Into My Trading Room'"] tharp_r_multiples["R-Multiples and Expectancy
Van K. Tharp (1998) 'Trade Your Way to Financial Freedom'"] davey_monte_carlo["Monte Carlo Drawdown Simulation
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
A. D. Roy (1952) 'Safety First and the Holding of Assets'"] grossman_zhou_dd["Drawdown-Constrained Optimal Growth
Grossman and Zhou (1993)"] chekhlov_cdar["Conditional Drawdown at Risk
Chekhlov, Uryasev and Zabarankin (2005)"] kaminski_lo_stoploss["When Do Stop-Loss Rules Stop Losses?
Kaminski and Lo (2014)"] moreira_muir_volman["Volatility-Managed Portfolios
Moreira and Muir (2017)"] harvey_vol_target["The Impact of Volatility Targeting
Harvey, Hoyle, Korgaonkar, Rattray, Sargaison and Van Hemert (2018)"] spitznagel_tail["Tail Risk Hedging
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
Philippe Jorion (1997) 'Value at Risk'"] artzner_coherent["Coherent Measures of Risk
Artzner, Delbaen, Eber and Heath (1999)"] rockafellar_cvar["CVaR Optimization
Rockafellar and Uryasev (2000)"] acerbi_tasche_es["Expected Shortfall Coherence
Acerbi and Tasche (2002)"] embrechts_evt["Extreme Value Theory for Finance
Embrechts, Kluppelberg and Mikosch (1997) 'Modelling Extremal Events'"] kupiec_stress["Stress Testing in a VaR Framework
Paul H. Kupiec (1998)"] basel_1996["Basel Market Risk Amendment
Basel Committee on Banking Supervision (1996)"] frtb_2016["FRTB Expected Shortfall Regime
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
Benoit Mandelbrot (1963) 'The Variation of Certain Speculative Prices'"] mandelbrot_misbehavior["The (Mis)behavior of Markets
Mandelbrot and Hudson (2004)"] taleb_fooled["Fooled by Randomness
Nassim Nicholas Taleb (2001)"] taleb_black_swan["The Black Swan
Nassim Nicholas Taleb (2007)"] taleb_antifragile["Antifragile
Nassim Nicholas Taleb (2012)"] taleb_skin["Skin in the Game
Nassim Nicholas Taleb (2018)"] bali_max_lottery["MAX Lottery Effect
Bali, Cakici and Whitelaw (2011) 'Maxing Out'"] crisis_alpha["Crisis Alpha
Hurst, Ooi and Pedersen (2017) 'A Century of Evidence on Trend-Following Investing'"] bookstaber_demon["A Demon of Our Own Design
Richard Bookstaber (2007)"] when_genius_failed["When Genius Failed: LTCM
Roger Lowenstein (2000)"] bernstein_against_gods["Against the Gods: The Remarkable Story of Risk
Peter L. Bernstein (1996)"] brown_red_blooded["Red-Blooded Risk
Aaron Brown (2011)"] graham_margin_of_safety["Margin of Safety
Benjamin Graham (1949) 'The Intelligent Investor'"] miller_overpricing["Divergence of Opinion and Overpricing
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
Marcos Lopez de Prado (2018)"] walk_forward_pardo["Walk-Forward Analysis
Robert Pardo (2008) 'The Evaluation and Optimization of Trading Strategies'"] aronson_ebta["Evidence-Based Technical Analysis
David Aronson (2006)"] bailey_pbo["Probability of Backtest Overfitting
Bailey, Borwein, Lopez de Prado and Zhu (2017)"] chan_quant_trading["Quantitative Trading
Ernest P. Chan (2008)"] chan_algo_trading["Algorithmic Trading: Winning Strategies and Their Rationale
Ernest P. Chan (2013)"] chan_machine_trading["Machine Trading: Deploying Computer Algorithms to Conquer the Markets
Ernest P. Chan (2017)"] bandy_qta["Quantitative Technical Analysis
Howard B. Bandy (2015)"] durenard_pat["Professional Automated Trading
Eugene A. Durenard (2013)"] velu_atqs["Algorithmic Trading and Quantitative Strategies
Velu, Hardy and Nehren (2020)"] grimes_ta["The Art and Science of Technical Analysis
Adam Grimes (2012)"] davey_intro_algo["Introduction To Algo Trading
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
Bailey and Lopez de Prado (2014)"] whites_reality_check["White's Reality Check
Halbert White (2000) 'A Reality Check for Data Snooping'"] hansen_spa["Superior Predictive Ability Test
Peter Reinhard Hansen (2005)"] model_confidence_set["Model Confidence Set
Hansen, Lunde and Nason (2011)"] harvey_liu_zhu["Multiple Testing and the Cross-Section of Expected Returns
Harvey, Liu and Zhu (2016)"] …(truncated)