Summer Reading

I don’t know how CXO does it, I really don’t. They consistently churn out great reviews of cutting edge academic papers. In a recent review, CXO takes a look at a Andrew Lo paper titled, Financial Econometrics.

An interesting aside, here is the book(s) that forever altered Lo’s college career choice towards economics. [Lots of former scientists, myself included, have done the “reverse Samuelson”]:

Paul Samuelson’s research also led him to take a dim view of portfolio managers. Samuelson (1974) stated that “a respect for the evidence compels me to incline toward the hypothesis that most portfolio managers should go out of business-take up plumbing, teach Greek, or help produce the annual GDP by serving as corporate executives.”

The series is also featured heavily in the book, The Predictors, about quant hedge fund The Prediction Company.

One institutional service that aggregates quant research in working papers is the apt named Alpha Letters. I took their free trial for a spin, and it is definitely recommended if you can get corporate to pay for it. . .