We provide a survey of 31 quantitative measures of systemic risk in the economics and
finance literature, chosen to span key themes and issues in systemic risk measurement and …

Technical analysis, also known as “charting,” has been a part of financial practice for many
decades, but this discipline has not received the same level of academic scrutiny and …

In this review article, we explore several recent advances in the quantitative modeling of
financial markets. We begin with the Efficient Markets Hypothesis and describe how this …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical finance. …

The building blocks of the Sharpe ratio—expected returns and volatilities—are unknown
quantities that must be estimated statistically and are, therefore, subject to estimation error. This …

… In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find
… The articles track the exciting course of Lo and MacKinlay's research on the predictability of …

In this article we test the random walk hypothesis for weekly stock market returns by comparing
variance estimators derived from data sampled at different frequencies. The random walk …

Although risk management has been a well-plowed field in financial modeling for more than
two decades, traditional risk management tools such as mean–variance analysis, beta, and …

A test for long-run memory that is robust to short-range dependence is developed. It is an
extension of the "range over standard deviation" or R/S statistic, for which the relevant …

If returns on some stocks systematically lead or lag those of others, a portfolio strategy that
sells “winners” and buys “losers” can produce positive expected returns, even if no stock’s …