{
"title": "Quant research resources",
"tagline": "From one backtest to a research process: the papers, the data, and the tape they get re-run on.",
"verified": "2026-09-21",
"intro": [
"A curated list for learning systematic investing research, ordered the way the work happens: the data you test on, what makes a backtest number mean something, the factors and events the literature found, what it costs to trade them, and the markets beyond stocks.",
"The core list uses the paper that introduced the effect, the official documentation, or the repository that implements it. Where the terminal can re-run a paper, the entry names the data the re-run uses and links to the library study and to RUN IT. Stock re-runs use the US tape with delisted names kept and fundamentals by filing date, from 1990 at the earliest; the others run on the S&P 500 index, resolved Polymarket markets or Binance pairs. Each re-run approximates the paper rather than repeating it, and the terminal prints the approximation note with every run: what it holds, over what data, and where it departs from the original. RUN IT shows the finding as CONFIRMED, TRADE-OFF or NO EDGE, gross of costs, and says so on every output. Where the library carries the paper but has no runnable spec for it yet, the entry links to the library entry alone.",
"Read Start here first. After that, use it as a reference."
],
"sections": [
{"id": "start",
"title": "Start here: the minimum mental model",
"blurb": "Read these in order if you are new to the field. The practical companion is the learn path: Become a quant and The findings system."
},
{"id": "data",
"title": "1. Data: the tape you test on",
"blurb": "Most bad backtests are bad data. A universe without the dead, fundamentals seen before they were filed, and prices without corporate actions each add returns that never existed."
},
{"id": "backtest",
"title": "2. The backtest: what makes a number mean something",
"blurb": "Multiple testing, overfitting, decay after publication, and how to run an event study. This section is why the terminal reports a deflated Sharpe and a walk-forward split on every run."
},
{"id": "factors",
"title": "3. Factors and anomalies",
"blurb": "The cross-section: value, momentum, quality, low risk, size, reversal. Every entry links the original paper, the library study where there is one, and RUN IT where the terminal re-runs it on US stocks."
},
{"id": "events",
"title": "4. Events, flows and seasonality",
"blurb": "What happens after earnings, buybacks, dividends, index changes and insider trades, and the calendar effects that refuse to die."
},
{"id": "macro",
"title": "5. Macro, rates and other asset classes",
"blurb": "The Fed, the curve, recessions, currencies, commodities and bonds."
},
{"id": "costs",
"title": "6. Costs, execution and sizing",
"blurb": "Gross returns are the start of the conversation. These are the papers on what is left after trading, and how much to bet."
},
{"id": "alt",
"title": "7. Alt markets: prediction markets, crypto, sports, memecoins",
"blurb": "Markets with their own literature and their own data problems. The memecoin graveyard has no paper yet because no free feed sells the dead; QuantGPT records them."
},
{"id": "ml",
"title": "8. Machine learning in asset pricing",
"blurb": "Where the field is going, and the two papers to read before believing a model."
},
{"id": "tools",
"title": "9. Tools and open data",
"blurb": "Official sources and open code. This list is the papers and the tape; awesome-quant is the code."
},
{"id": "frontier",
"title": "Frontier and watchlist",
"blurb": "Kept apart from the core list because the evidence changes quickly. Verified on the date at the top."
}
],
"entries": [
{"id": "fama-1970",
"section": "start",
"title": "Efficient Capital Markets: A Review of Theory and Empirical Work",
"authors": "Fama",
"year": 1970,
"venue": "Journal of Finance",
"doi": "10.2307/2325486",
"note": "The null hypothesis every backtest argues with."
},
{"id": "fama-french-1993",
"section": "start",
"title": "Common risk factors in the returns on stocks and bonds",
"authors": "Fama & French",
"year": 1993,
"venue": "Journal of Financial Economics",
"doi": "10.1016/0304-405X(93)90023-5",
"note": "Size and value as factors; the model returns still get benchmarked against."
},
{"id": "jegadeesh-titman-1993",
"section": "start",
"title": "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency",
"authors": "Jegadeesh & Titman",
"year": 1993,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.1993.tb04702.x",
"note": "Momentum: the anomaly that survived thirty years of scrutiny.",
"study": "jegadeesh-titman-1993"
},
{"id": "shumway-1997",
"section": "start",
"title": "The Delisting Bias in CRSP Data",
"authors": "Shumway",
"year": 1997,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.1997.tb03818.x",
"note": "Why a universe without the dead overstates every strategy that buys small or cheap."
},
{"id": "bailey-lopez-de-prado-2014",
"section": "start",
"title": "The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting, and Non-Normality",
"authors": "Bailey & Lopez de Prado",
"year": 2014,
"venue": "Journal of Portfolio Management",
"doi": "10.3905/jpm.2014.40.5.094",
"note": "The Sharpe you are allowed to report after the number of trials you ran."
},
{"id": "harvey-liu-zhu-2016",
"section": "start",
"title": "... and the Cross-Section of Expected Returns",
"authors": "Harvey, Liu & Zhu",
"year": 2016,
"venue": "Review of Financial Studies",
"doi": "10.1093/rfs/hhv059",
"note": "Hundreds of published factors, and the t-statistic bar that survives them."
},
{"id": "mclean-pontiff-2016",
"section": "start",
"title": "Does Academic Research Destroy Stock Return Predictability?",
"authors": "McLean & Pontiff",
"year": 2016,
"venue": "Journal of Finance",
"doi": "10.1111/jofi.12365",
"note": "Returns fall after publication. The decay to expect from anything on this list."
},
{"id": "shumway-warther-1999",
"section": "data",
"title": "The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect",
"authors": "Shumway & Warther",
"year": 1999,
"venue": "Journal of Finance",
"doi": "10.1111/0022-1082.00192",
"note": "The size premium shrinks once delisting returns are filled in."
},
{"id": "banz-breen-1986",
"section": "data",
"title": "Sample-Dependent Results Using Accounting and Market Data: Some Evidence",
"authors": "Banz & Breen",
"year": 1986,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.1986.tb04548.x",
"note": "Look-ahead and survivorship in fundamentals, measured on the same strategies with and without them."
},
{"id": "french-data-library",
"section": "data",
"title": "Kenneth R. French Data Library",
"authors": "Fama & French",
"year": "ongoing",
"venue": "Dartmouth",
"url": "https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html",
"note": "The factor returns everyone regresses on; monthly since 1926."
},
{"id": "chen-zimmermann-2022",
"section": "data",
"title": "Open Source Cross-Sectional Asset Pricing",
"authors": "Chen & Zimmermann",
"year": 2022,
"venue": "Critical Finance Review",
"doi": "10.1561/104.00000112",
"url": "https://www.openassetpricing.com/",
"note": "Two hundred published anomalies with code and returns, reproducible."
},
{"id": "sec-edgar-apis",
"section": "data",
"title": "EDGAR Application Programming Interfaces",
"authors": "U.S. Securities and Exchange Commission",
"year": "docs",
"venue": "sec.gov",
"url": "https://www.sec.gov/search-filings/edgar-application-programming-interfaces",
"note": "Filings and XBRL facts with their filing dates: the raw material for point-in-time fundamentals."
},
{"id": "fred-api",
"section": "data",
"title": "FRED API documentation",
"authors": "Federal Reserve Bank of St. Louis",
"year": "docs",
"venue": "fred.stlouisfed.org",
"url": "https://fred.stlouisfed.org/docs/api/fred/",
"note": "Macro series, with ALFRED vintages for what was known when."
},
{"id": "quantgpt-disclosures",
"section": "data",
"title": "QuantGPT: risk and methodology disclosures",
"authors": "QuantGPT",
"year": 2026,
"venue": "quantgpt.co",
"url": "https://quantgpt.co/disclosures.html",
"note": "How the warehouse is built: decades of history, 42,000 tickers including delisted from 1998, fundamentals joined by filing date, gross returns."
},
{"id": "lo-mackinlay-1990",
"section": "backtest",
"title": "Data-Snooping Biases in Tests of Financial Asset Pricing Models",
"authors": "Lo & MacKinlay",
"year": 1990,
"venue": "Review of Financial Studies",
"doi": "10.1093/rfs/3.3.431",
"note": "The original warning: sort on a characteristic you already know predicts returns and the test is rigged."
},
{"id": "bailey-borwein-lopez-de-prado-zhu-2014",
"section": "backtest",
"title": "Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance",
"authors": "Bailey, Borwein, Lopez de Prado & Zhu",
"year": 2014,
"venue": "Notices of the AMS",
"doi": "10.1090/noti1105",
"note": "How many trials it takes to find a Sharpe of one in noise. Fewer than you think."
},
{"id": "harvey-liu-2015",
"section": "backtest",
"title": "Backtesting",
"authors": "Harvey & Liu",
"year": 2015,
"venue": "Journal of Portfolio Management",
"doi": "10.3905/jpm.2015.42.1.013",
"note": "Haircuts for Sharpe ratios under multiple testing, with the formulas."
},
{"id": "arnott-harvey-markowitz-2019",
"section": "backtest",
"title": "A Backtesting Protocol in the Era of Machine Learning",
"authors": "Arnott, Harvey & Markowitz",
"year": 2019,
"venue": "Journal of Financial Data Science",
"doi": "10.3905/jfds.2019.1.064",
"note": "A checklist for research you can trust: economic foundation, out-of-sample discipline, no peeking."
},
{"id": "lopez-de-prado-2018",
"section": "backtest",
"title": "Advances in Financial Machine Learning",
"authors": "Lopez de Prado",
"year": 2018,
"venue": "Wiley",
"url": "https://www.wiley.com/en-us/Advances+in+Financial+Machine+Learning-p-9781119482086",
"note": "Purged and embargoed cross-validation, the probability of backtest overfitting, and why leakage is the default."
},
{"id": "hou-xue-zhang-2020",
"section": "backtest",
"title": "Replicating Anomalies",
"authors": "Hou, Xue & Zhang",
"year": 2020,
"venue": "Review of Financial Studies",
"doi": "10.1093/rfs/hhy131",
"note": "Most published anomalies fail once microcaps are handled properly."
},
{"id": "jensen-kelly-pedersen-2023",
"section": "backtest",
"title": "Is There a Replication Crisis in Finance?",
"authors": "Jensen, Kelly & Pedersen",
"year": 2023,
"venue": "Journal of Finance",
"doi": "10.1111/jofi.13249",
"note": "The other side: with a Bayesian prior and global data, most factors replicate. Read both."
},
{"id": "mackinlay-1997",
"section": "backtest",
"title": "Event Studies in Economics and Finance",
"authors": "MacKinlay",
"year": 1997,
"venue": "Journal of Economic Literature",
"url": "https://www.jstor.org/stable/2729691",
"note": "The standard event-study method: estimation window, event window, abnormal returns."
},
{"id": "brown-warner-1985",
"section": "backtest",
"title": "Using daily stock returns: The case of event studies",
"authors": "Brown & Warner",
"year": 1985,
"venue": "Journal of Financial Economics",
"doi": "10.1016/0304-405X(85)90042-X",
"note": "What daily data does to event-study tests, and which simple methods hold up."
},
{"id": "quantgpt-findings",
"section": "backtest",
"title": "QuantGPT: the findings system",
"authors": "QuantGPT",
"year": 2026,
"venue": "quantgpt.co",
"url": "https://quantgpt.co/learn/verdict.html",
"note": "CONFIRMED needs both axes (CAGR and Sharpe) in both windows (training and walk-forward). The methodology, stated in full."
},
{"id": "fama-french-1992",
"section": "factors",
"title": "The Cross-Section of Expected Stock Returns",
"authors": "Fama & French",
"year": 1992,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.1992.tb04398.x",
"note": "Book-to-market and size explain returns; beta does not.",
"study": "fama-french-1992"
},
{"id": "basu-1977",
"section": "factors",
"title": "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis",
"authors": "Basu",
"year": 1977,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.1977.tb01979.x",
"note": "Low P/E portfolios, the first modern value test.",
"study": "basu-low-pe-1977"
},
{"id": "lakonishok-shleifer-vishny-1994",
"section": "factors",
"title": "Contrarian Investment, Extrapolation, and Risk",
"authors": "Lakonishok, Shleifer & Vishny",
"year": 1994,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.1994.tb04772.x",
"note": "Value works because investors extrapolate, not because it is riskier.",
"study": "lsv-1994"
},
{"id": "piotroski-2000",
"section": "factors",
"title": "Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers",
"authors": "Piotroski",
"year": 2000,
"venue": "Journal of Accounting Research",
"doi": "10.2307/2672906",
"note": "The F-score: nine accounting signals that sort cheap stocks into winners and losers.",
"study": "piotroski-2000"
},
{"id": "campbell-shiller-1988",
"section": "factors",
"title": "Stock Prices, Earnings, and Expected Dividends",
"authors": "Campbell & Shiller",
"year": 1988,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.1988.tb04598.x",
"note": "The cyclically adjusted P/E and what it says about the next decade.",
"study": "shiller-cape-1988"
},
{"id": "carhart-1997",
"section": "factors",
"title": "On Persistence in Mutual Fund Performance",
"authors": "Carhart",
"year": 1997,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.1997.tb03808.x",
"note": "Momentum becomes the fourth factor.",
"study": "carhart-1997"
},
{"id": "george-hwang-2004",
"section": "factors",
"title": "The 52-Week High and Momentum Investing",
"authors": "George & Hwang",
"year": 2004,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.2004.00695.x",
"note": "Nearness to the 52-week high predicts returns better than past returns do.",
"study": "george-hwang-2004"
},
{"id": "moskowitz-grinblatt-1999",
"section": "factors",
"title": "Do Industries Explain Momentum?",
"authors": "Moskowitz & Grinblatt",
"year": 1999,
"venue": "Journal of Finance",
"doi": "10.1111/0022-1082.00146",
"note": "Much of stock momentum is industry momentum.",
"study": "moskowitz-grinblatt-1999"
},
{"id": "moskowitz-ooi-pedersen-2012",
"section": "factors",
"title": "Time series momentum",
"authors": "Moskowitz, Ooi & Pedersen",
"year": 2012,
"venue": "Journal of Financial Economics",
"doi": "10.1016/j.jfineco.2011.11.003",
"note": "Trend in 58 futures markets: an asset's own past return predicts its future.",
"study": "tsmom-2012"
},
{"id": "daniel-moskowitz-2016",
"section": "factors",
"title": "Momentum crashes",
"authors": "Daniel & Moskowitz",
"year": 2016,
"venue": "Journal of Financial Economics",
"doi": "10.1016/j.jfineco.2015.12.002",
"note": "When momentum loses half its value in months, and why.",
"study": "daniel-moskowitz-2016"
},
{"id": "barroso-santa-clara-2015",
"section": "factors",
"title": "Momentum has its moments",
"authors": "Barroso & Santa-Clara",
"year": 2015,
"venue": "Journal of Financial Economics",
"doi": "10.1016/j.jfineco.2014.11.010",
"note": "Scale momentum by its own volatility and the crashes mostly go away.",
"study": "barroso-santa-clara-volatility-managed-momentum"
},
{"id": "novy-marx-2012",
"section": "factors",
"title": "Is momentum really momentum?",
"authors": "Novy-Marx",
"year": 2012,
"venue": "Journal of Financial Economics",
"doi": "10.1016/j.jfineco.2011.05.003",
"note": "Returns from 12 to 7 months ago predict better than the most recent months.",
"study": "novy-marx-intermediate-momentum"
},
{"id": "de-bondt-thaler-1985",
"section": "factors",
"title": "Does the Stock Market Overreact?",
"authors": "De Bondt & Thaler",
"year": 1985,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.1985.tb05004.x",
"note": "Three-to-five-year losers beat winners. Long-term reversal.",
"study": "de-bondt-thaler-long-term-reversal"
},
{"id": "asness-moskowitz-pedersen-2013",
"section": "factors",
"title": "Value and Momentum Everywhere",
"authors": "Asness, Moskowitz & Pedersen",
"year": 2013,
"venue": "Journal of Finance",
"doi": "10.1111/jofi.12021",
"note": "The same two premia in eight markets and four asset classes, negatively correlated.",
"study": "value-and-momentum-everywhere"
},
{"id": "ehsani-linnainmaa-2022",
"section": "factors",
"title": "Factor Momentum and the Momentum Factor",
"authors": "Ehsani & Linnainmaa",
"year": 2022,
"venue": "Journal of Finance",
"doi": "10.1111/jofi.13131",
"note": "Factors themselves have momentum, and it explains stock momentum.",
"study": "ehsani-linnainmaa-factor-momentum"
},
{"id": "novy-marx-2013",
"section": "factors",
"title": "The other side of value: The gross profitability premium",
"authors": "Novy-Marx",
"year": 2013,
"venue": "Journal of Financial Economics",
"doi": "10.1016/j.jfineco.2013.01.003",
"note": "Gross profits over assets predicts returns as well as book-to-market.",
"study": "novy-marx-2013"
},
{"id": "asness-frazzini-pedersen-2019",
"section": "factors",
"title": "Quality minus junk",
"authors": "Asness, Frazzini & Pedersen",
"year": 2019,
"venue": "Review of Accounting Studies",
"doi": "10.1007/s11142-018-9470-2",
"note": "Profitable, growing, safe companies earn more than they should.",
"study": "qmj-2019"
},
{"id": "sloan-1996",
"section": "factors",
"title": "Do Stock Prices Fully Reflect Information in Accruals and Cash Flows about Future Earnings?",
"authors": "Sloan",
"year": 1996,
"venue": "The Accounting Review",
"url": "https://www.jstor.org/stable/248290",
"note": "Earnings made of accruals mean-revert; the market does not price it.",
"study": "sloan-1996"
},
{"id": "cooper-gulen-schill-2008",
"section": "factors",
"title": "Asset Growth and the Cross-Section of Stock Returns",
"authors": "Cooper, Gulen & Schill",
"year": 2008,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.2008.01370.x",
"note": "Companies that grow their balance sheet fastest earn the least after.",
"study": "cooper-asset-growth-2008"
},
{"id": "fama-french-2015",
"section": "factors",
"title": "A five-factor asset pricing model",
"authors": "Fama & French",
"year": 2015,
"venue": "Journal of Financial Economics",
"doi": "10.1016/j.jfineco.2014.10.010",
"note": "Profitability and investment join size and value."
},
{"id": "altman-1968",
"section": "factors",
"title": "Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy",
"authors": "Altman",
"year": 1968,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.1968.tb00843.x",
"note": "The Z-score. Still the screen most people mean by distress.",
"study": "altman-1968"
},
{"id": "campbell-hilscher-szilagyi-2008",
"section": "factors",
"title": "In Search of Distress Risk",
"authors": "Campbell, Hilscher & Szilagyi",
"year": 2008,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.2008.01416.x",
"note": "Distressed stocks earn less, not more. The anomaly that runs the wrong way for risk stories."
},
{"id": "frazzini-pedersen-2014",
"section": "factors",
"title": "Betting against beta",
"authors": "Frazzini & Pedersen",
"year": 2014,
"venue": "Journal of Financial Economics",
"doi": "10.1016/j.jfineco.2013.10.005",
"note": "Low-beta assets earn more per unit of risk because leverage is constrained.",
"study": "bab-2014"
},
{"id": "ang-hodrick-xing-zhang-2006",
"section": "factors",
"title": "The Cross-Section of Volatility and Expected Returns",
"authors": "Ang, Hodrick, Xing & Zhang",
"year": 2006,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.2006.00836.x",
"note": "High idiosyncratic volatility, low returns. The puzzle behind low-vol investing.",
"study": "low-vol-anomaly"
},
{"id": "banz-1981",
"section": "factors",
"title": "The relationship between return and market value of common stocks",
"authors": "Banz",
"year": 1981,
"venue": "Journal of Financial Economics",
"doi": "10.1016/0304-405X(81)90018-0",
"note": "The size effect, before the delisting bias took a bite out of it."
},
{"id": "amihud-2002",
"section": "factors",
"title": "Illiquidity and stock returns: cross-section and time-series effects",
"authors": "Amihud",
"year": 2002,
"venue": "Journal of Financial Markets",
"doi": "10.1016/S1386-4181(01)00024-6",
"note": "The illiquidity measure every liquidity filter descends from."
},
{"id": "ball-brown-1968",
"section": "events",
"title": "An Empirical Evaluation of Accounting Income Numbers",
"authors": "Ball & Brown",
"year": 1968,
"venue": "Journal of Accounting Research",
"doi": "10.2307/2490232",
"note": "Prices keep drifting after earnings news. The origin of post-earnings drift.",
"study": "ball-brown-1968"
},
{"id": "bernard-thomas-1989",
"section": "events",
"title": "Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?",
"authors": "Bernard & Thomas",
"year": 1989,
"venue": "Journal of Accounting Research",
"doi": "10.2307/2491062",
"note": "Standardized unexpected earnings, and the drift measured properly.",
"study": "bernard-thomas-1989"
},
{"id": "frazzini-lamont-2007",
"section": "events",
"title": "The Earnings Announcement Premium and Trading Volume",
"authors": "Frazzini & Lamont",
"year": 2007,
"venue": "NBER Working Paper 13090",
"url": "https://www.nber.org/papers/w13090",
"note": "Stocks earn more in the month they announce.",
"study": "frazzini-lamont-2007"
},
{"id": "harris-gurel-1986",
"section": "events",
"title": "Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures",
"authors": "Harris & Gurel",
"year": 1986,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.1986.tb04550.x",
"note": "Index inclusion moves prices, then some of it reverses.",
"study": "index-inclusion"
},
{"id": "ikenberry-lakonishok-vermaelen-1995",
"section": "events",
"title": "Market underreaction to open market share repurchases",
"authors": "Ikenberry, Lakonishok & Vermaelen",
"year": 1995,
"venue": "Journal of Financial Economics",
"doi": "10.1016/0304-405X(95)00826-Z",
"note": "Buyback announcements are followed by years of drift.",
"study": "ikenberry-buybacks-1995"
},
{"id": "michaely-thaler-womack-1995",
"section": "events",
"title": "Price Reactions to Dividend Initiations and Omissions: Overreaction or Drift?",
"authors": "Michaely, Thaler & Womack",
"year": 1995,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.1995.tb04796.x",
"note": "Initiations drift up, omissions drift down, for a year.",
"study": "dividend-initiation-drift-michaely-1995"
},
{"id": "lakonishok-lee-2001",
"section": "events",
"title": "Are Insider Trades Informative?",
"authors": "Lakonishok & Lee",
"year": 2001,
"venue": "Review of Financial Studies",
"doi": "10.1093/rfs/14.1.79",
"note": "Insider buying predicts returns; selling mostly does not.",
"study": "insider-buying"
},
{"id": "cohen-malloy-pomorski-2012",
"section": "events",
"title": "Decoding Inside Information",
"authors": "Cohen, Malloy & Pomorski",
"year": 2012,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.2012.01740.x",
"note": "Separate routine insider trades from opportunistic ones and the signal doubles.",
"study": "insider-cluster"
},
{"id": "keim-1983",
"section": "events",
"title": "Size-related anomalies and stock return seasonality: Further empirical evidence",
"authors": "Keim",
"year": 1983,
"venue": "Journal of Financial Economics",
"doi": "10.1016/0304-405X(83)90025-9",
"note": "Half the size premium arrives in January, much of it in the first week.",
"study": "keim-january-1983"
},
{"id": "bouman-jacobsen-2002",
"section": "events",
"title": "The Halloween Indicator, \"Sell in May and Go Away\": Another Puzzle",
"authors": "Bouman & Jacobsen",
"year": 2002,
"venue": "American Economic Review",
"doi": "10.1257/000282802762024683",
"note": "November to April beats May to October in 36 of 37 countries.",
"study": "halloween-2002"
},
{"id": "heston-sadka-2008",
"section": "events",
"title": "Seasonality in the cross-section of stock returns",
"authors": "Heston & Sadka",
"year": 2008,
"venue": "Journal of Financial Economics",
"doi": "10.1016/j.jfineco.2007.02.003",
"note": "Stocks that did well in a calendar month tend to do well in that month again.",
"study": "heston-sadka-calendar-month-seasonality"
},
{"id": "bernanke-kuttner-2005",
"section": "macro",
"title": "What Explains the Stock Market's Reaction to Federal Reserve Policy?",
"authors": "Bernanke & Kuttner",
"year": 2005,
"venue": "Journal of Finance",
"doi": "10.1111/j.1540-6261.2005.00760.x",
"note": "A surprise 25 basis point cut moves stocks about one percent. The event-study method for rate decisions."
},
{"id": "lucca-moench-2015",
"section": "macro",
"title": "The Pre-FOMC Announcement Drift",
"authors": "Lucca & Moench",
"year": 2015,
"venue": "Journal of Finance",
"doi": "10.1111/jofi.12196",
"note": "A large share of the equity premium is earned in the 24 hours before Fed announcements."
},
{"id": "sahm-rule-fred",
"section": "macro",
"title": "Sahm Rule Recession Indicator (real-time series)",
"authors": "Sahm; FRED",
"year": 2019,
"venue": "fred.stlouisfed.org",
"url": "https://fred.stlouisfed.org/series/SAHMREALTIME",
"note": "The unemployment trigger, as it was known at the time.",
"study": "sahm-rule"
},
{"id": "schneider-troeger-2006",
"section": "macro",
"title": "War and the World Economy: Stock Market Reactions to International Conflicts",
"authors": "Schneider & Troeger",
"year": 2006,
"venue": "Journal of Conflict Resolution",
"doi": "10.1177/0022002706290430",
"note": "How markets price conflict onsets and escalations; the method behind the war study."
},
{"id": "cochrane-piazzesi-2005",
"section": "macro",
"title": "Bond Risk Premia",
"authors": "Cochrane & Piazzesi",
"year": 2005,
"venue": "American Economic Review",
"doi": "10.1257/0002828053828581",
"note": "One tent-shaped combination of forward rates predicts bond returns.",
"study": "bond-risk-premia-forward-factor"
},
{"id": "gorton-rouwenhorst-2006",
"section": "macro",
"title": "Facts and Fantasies about Commodity Futures",
"authors": "Gorton & Rouwenhorst",
"year": 2006,
"venue": "Financial Analysts Journal",
"doi": "10.2469/faj.v62.n2.4083",
"note": "Commodity futures as an asset class, and where the return comes from.",
"study": "commodity-backwardation-roll-yield"
},
{"id": "menkhoff-sarno-schmeling-schrimpf-2012",
"section": "macro",
"title": "Currency momentum strategies",
"authors": "Menkhoff, Sarno, Schmeling & Schrimpf",
"year": 2012,
"venue": "Journal of Financial Economics",
"doi": "10.1016/j.jfineco.2012.06.009",
"note": "Momentum in currencies, and the costs that eat part of it.",
"study": "fx-momentum-menkhoff-2012"
},
{"id": "novy-marx-velikov-2016",
"section": "costs",
"title": "A Taxonomy of Anomalies and Their Trading Costs",
"authors": "Novy-Marx & Velikov",
"year": 2016,
"venue": "Review of Financial Studies",
"doi": "10.1093/rfs/hhv063",
"note": "Which anomalies survive transaction costs, and the tricks that help them survive."
},
{"id": "frazzini-israel-moskowitz-2018",
"section": "costs",
"title": "Trading Costs",
"authors": "Frazzini, Israel & Moskowitz",
"year": 2018,
"venue": "SSRN working paper",
"note": "Real trading costs from a large manager's own trades. Lower than academic estimates, still not zero.",
"doi": "10.2139/ssrn.3229719"
},
{"id": "perold-1988",
"section": "costs",
"title": "The implementation shortfall: Paper versus reality",
"authors": "Perold",
"year": 1988,
"venue": "Journal of Portfolio Management",
"doi": "10.3905/jpm.1988.409150",
"note": "The gap between the paper portfolio and the real one, named."
},
{"id": "almgren-chriss-2001",
"section": "costs",
"title": "Optimal execution of portfolio transactions",
"authors": "Almgren & Chriss",
"year": 2001,
"venue": "Journal of Risk",
"doi": "10.21314/JOR.2001.041",
"note": "How to trade a position over time when trading moves the price."
},
{"id": "kelly-1956",
"section": "costs",
"title": "A New Interpretation of Information Rate",
"authors": "Kelly",
"year": 1956,
"venue": "Bell System Technical Journal",
"doi": "10.1002/j.1538-7305.1956.tb03809.x",
"note": "The bet size that maximizes growth, and why half of it is what people actually use."
},
{"id": "wolfers-zitzewitz-2004",
"section": "alt",
"title": "Prediction Markets",
"authors": "Wolfers & Zitzewitz",
"year": 2004,
"venue": "Journal of Economic Perspectives",
"doi": "10.1257/0895330041371321",
"note": "What prediction market prices mean and how well they forecast."
},
{"id": "snowberg-wolfers-2010",
"section": "alt",
"title": "Explaining the Favorite-Longshot Bias: Is it Risk-Love or Misperceptions?",
"authors": "Snowberg & Wolfers",
"year": 2010,
"venue": "Journal of Political Economy",
"doi": "10.1086/655844",
"note": "Longshots are overpriced and favorites underpriced, and it is misperception, not risk appetite.",
"study": "pm-longshot-bias"
},
{"id": "page-clemen-2013",
"section": "alt",
"title": "Do Prediction Markets Produce Well-Calibrated Probability Forecasts?",
"authors": "Page & Clemen",
"year": 2013,
"venue": "Economic Journal",
"doi": "10.1111/j.1468-0297.2012.02561.x",
"note": "Calibration is good near resolution and worse far from it.",
"study": "pm-favorite-grind"
},
{"id": "liu-tsyvinski-wu-2022",
"section": "alt",
"title": "Common Risk Factors in Cryptocurrency",
"authors": "Liu, Tsyvinski & Wu",
"year": 2022,
"venue": "Journal of Finance",
"doi": "10.1111/jofi.13119",
"note": "Size and momentum work in crypto too; a three-factor model for coins.",
"study": "crypto-momentum-2018"
},
{"id": "liu-tsyvinski-2021",
"section": "alt",
"title": "Risks and Returns of Cryptocurrency",
"authors": "Liu & Tsyvinski",
"year": 2021,
"venue": "Review of Financial Studies",
"doi": "10.1093/rfs/hhaa113",
"note": "Crypto returns are not explained by stock, currency or commodity factors; network effects and attention matter."
},
{"id": "levitt-2004",
"section": "alt",
"title": "Why are Gambling Markets Organised so Differently from Financial Markets?",
"authors": "Levitt",
"year": 2004,
"venue": "Economic Journal",
"doi": "10.1111/j.1468-0297.2004.00207.x",
"note": "Bookmakers set prices to exploit bettor bias, not to balance the book."
},
{"id": "quantgpt-memecoin-graveyard",
"section": "alt",
"title": "QuantGPT: the memecoin graveyard",
"authors": "QuantGPT",
"year": 2026,
"venue": "quantgpt.co",
"url": "https://quantgpt.co/library/?q=memecoin",
"note": "Every new pool recorded the day it appears and followed until long after it dies, because no free feed sells the dead. Survival by launch month; a token dead by the next month-end is a total loss.",
"study": "meme-survivors-2026"
},
{"id": "gu-kelly-xiu-2020",
"section": "ml",
"title": "Empirical Asset Pricing via Machine Learning",
"authors": "Gu, Kelly & Xiu",
"year": 2020,
"venue": "Review of Financial Studies",
"doi": "10.1093/rfs/hhaa009",
"note": "Trees and neural nets against the cross-section, with the out-of-sample discipline stated."
},
{"id": "kelly-malamud-zhou-2024",
"section": "ml",
"title": "The Virtue of Complexity in Return Prediction",
"authors": "Kelly, Malamud & Zhou",
"year": 2024,
"venue": "Journal of Finance",
"doi": "10.1111/jofi.13298",
"note": "Bigger models predict better even past the point where they interpolate the data. Controversial; read with the backtesting protocol next to it."
},
{"id": "quantgpt-mcp",
"section": "tools",
"title": "QuantGPT over MCP",
"authors": "QuantGPT",
"year": 2026,
"venue": "quantgpt.co",
"url": "https://quantgpt.co/learn/connect-claude.html",
"note": "The warehouse and the engine as tools your own AI calls: backtests, screens, event studies, the library."
},
{"id": "quantgpt-library",
"section": "tools",
"title": "QuantGPT: the strategy library",
"authors": "QuantGPT",
"year": 2026,
"venue": "quantgpt.co",
"url": "https://quantgpt.co/library/",
"note": "170+ documented strategies from the papers on this page, each with its thesis and criteria; runnable on the terminal."
},
{"id": "duckdb-docs",
"section": "tools",
"title": "DuckDB documentation",
"authors": "DuckDB Foundation",
"year": "docs",
"venue": "duckdb.org",
"url": "https://duckdb.org/docs/",
"note": "The engine under the warehouse. The same SQL runs on a laptop."
},
{"id": "awesome-quant",
"section": "tools",
"title": "awesome-quant",
"authors": "Wilson Freitas and contributors",
"year": "ongoing",
"venue": "GitHub",
"url": "https://github.com/wilsonfreitas/awesome-quant",
"note": "The community index of quant libraries and tools, by language."
},
{"id": "lopez-lira-tang-2023",
"section": "frontier",
"title": "Can ChatGPT forecast stock price movements? Return predictability and large language models",
"authors": "Lopez-Lira & Tang",
"year": 2026,
"venue": "Journal of Financial Economics",
"note": "LLM sentiment on headlines predicts next-day returns in-sample. The multiple-testing warning applies twice.",
"doi": "10.1016/j.jfineco.2026.104335"
},
{"id": "watch-ai-generated-strategies",
"section": "frontier",
"title": "Watchlist: AI-generated strategies",
"authors": "",
"year": "",
"venue": "",
"note": "Agents that write and test thousands of rules a night are a multiple-testing machine. Any published result needs the trial count and a deflated Sharpe, or the number is omitted."
},
{"id": "watch-prediction-market-microstructure",
"section": "frontier",
"title": "Watchlist: prediction market calibration since 2024",
"authors": "",
"year": "",
"venue": "",
"note": "Volumes on Polymarket and Kalshi are a different regime from the data in the 2004 to 2013 papers. Calibration by category and time to close, on the resolved record, is the open question."
},
{"id": "watch-memecoin-base-rates",
"section": "frontier",
"title": "Watchlist: memecoin survival base rates",
"authors": "",
"year": "",
"venue": "",
"note": "The graveyard is months old. Survival at 30, 90 and 180 days by launch month becomes a citable base rate once it holds a year of cohorts."
},
{"id": "watch-on-chain-factors",
"section": "frontier",
"title": "Watchlist: on-chain and funding factors",
"authors": "",
"year": "",
"venue": "",
"note": "Funding rates, exchange flows and holder concentration as factors, pending a survivorship-complete universe to test them on."
}
],
"policy": [
"A core source must be one of the following: the paper that introduced the effect; the specification or official documentation that defines the data; the repository that implements it; or a replication that states its universe, window, survivorship treatment, costs and out-of-sample method.",
"Return claims need the universe, the window, the survivorship treatment, the cost assumption and the out-of-sample method. Otherwise the number is omitted.",
"Where an entry carries RUN IT, the terminal shows the finding (CONFIRMED, TRADE-OFF or NO EDGE) with the walk-forward split and a deflated Sharpe, gross of costs, and says so on every output. Nothing on this page is investment advice."
]
}