Investing Research Articles

…traders may find Day Trading Options an interesting exploration of potential short-term options pricing inefficiencies and of approaches to exploiting such anomalies. However, the book presents no associated model of reasonably sustainable portfolio-level returns.

The only place Tobin’s q shows up on CXOadvisory.com at present is…

CXOadvisory.com has no original tests focused on autocorrelation of financial market returns.

…investors may be able to outperform the broad market by screening stocks on the 12 most reliable fundamental and technical factors.

…evidence from simple tests on weekly data over a limited sample period indicate that the TFS Market Neutral (TFSMX) mutual fund has (1) dampened but not neutralized broad market volatility and (2) generated some alpha.

There are academic papers related to your comments. Two of the most heavily downloaded are…

…investors may want to ponder whether the fat tails of financial asset return distributions (and those for the outputs of many other complex systems) present risks that “normal” statistical methods cannot mitigate.

See the notes on Chapter 6 in “Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals (Chapter-by-Chapter Review)” for some qualitative aspects of data snooping bias. The book itself presents the mathematics of correcting for data snooping bias.

…evidence from simple tests on the S&P 500 Index since the mid-1990s does not support a belief that closing levels of the market gravitate toward round numbers. Nor do they support a belief that round numbers of the index systematically act like either support or resistance.

Norman Fosback discusses two investing systems on fosback.com: (1) Fosback’s Fund Forecaster; and (2) The Seasonality Timing System…