Quantitative Finance References

• Khandani and Lo -- What happened to the Quants in August 2007?

• Lehman -- Fads, Martingales, and Market Efficiency, 1990

• Goldberg and Giesecke -- Forecasting Extreme Financial Risk, 2005

• Lo -- The Adaptive Market Hypothesis: Market Efficiency from an Evolutionary Perspective

• Mandelbrot and Hudson, 2004, The (Mis)Behavior of Markets

• Lo, A Non-Random Walk Down Wall Street

• Developments in Algorithm Trading (2007)

• Boguth, Carlson, Fisher, Simutin -- Conditional Risk Overconditioning and the Performance of Momentum Strategies, 2007

• Cooper, Gutierrez, and Hameed -- Market States and Momentum, 2004

• Mandelbrot -- Variation of Certain Speculative Prices

• Mandelbrot - Variation of Some Other Speculative Prices

• Mosconi -- Assessing the GARCH model's Predictive Ability from the Trader's Point of View

• Muranaga and Simizu -- Market Microstructure and Market Liquidity