More and more to read (note to self)

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Time Series Reversal of Financial Assets by Jiadong Liu, Fotis Papailias :: SSRN

The Best Strategies for the Worst Crises by Michael Cook, Edward Hoyle, Matthew Sargaison, Dan…

Returns Signal Momentum by Fotis Papailias, Jiadong Liu, Dimitrios D. Thomakos :: SSRN

The Idiosyncratic Momentum Anomaly by David Blitz, Matthias X. Hanauer, Milan Vidojevic :: SSRN

What Our Market Return Forecasts Really Mean: Convexity in Equity Returns and its Implications for…

Commodity Option Implied Volatilities and the Expected Futures Returns by Lin Gao :: SSRN

Premium Investment Framework: Are Anomalies Risky? by Filip Bekjarovski :: SSRN

Contrarian Factor Timing is Deceptively Difficult by Clifford S. Asness, Swati Chandra, Antti…

Intra-Day Momentum by Oleg Komarov :: SSRN

The Carry and Value Pendulum

Systematic Global Macro

Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin by Victor…

Cross-Asset Signals and Time Series Momentum by Aleksi Pitkäjärvi, Matti Suominen, Lauri Vaittinen…

All that Glitters Is Not Gold: Comparing Backtest and Out-of-Sample Performance on a Large Cohort…

Tail Protection for Long Investors: Trend Convexity at Work by Tung-Lam Dao, Trung-Tu Nguyen, Cyril…

Empirical Patterns of Time Value Decay in Options by Ryan McKeon :: SSRN

Timing “Smart Beta” Strategies? Of Course! Buy Low, Sell High!

Trend-Following, Risk-Parity and the Influence of Correlations by Nick Baltas :: SSRN

Does the Choice of Performance Measure Influence the Evaluation of Hedge Funds? by Martin Eling…

Scaling Up Market Anomalies by Doron Avramov, Si Cheng, Amnon Schreiber, Koby Shemer :: SSRN

Simple Versus Complex Forecasting: The Evidence by Kesten C. Green, J. Scott Armstrong :: SSRN

A Simple Skewed Distribution with Asset Pricing Applications by Frans de Roon, Paul Karehnke :…

Low-Beta Strategies by Olaf Korn , Laura-Chloé Kuntz :: SSRN

Optimal Delta Hedging for Options by John C. Hull, Alan White :: SSRN

[1508.05241] Volatility Harvesting: Extracting Return from Randomness

Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference? by Amit…

Trading the VIX Futures Roll and Volatility Premiums with VIX Options by David P. Simon :: SSRN

Volatility and Compounding Effects on Beta and Returns by William J. Trainor :: SSRN

Momentum Has Its Moments by Pedro Barroso, Pedro Santa-Clara :: SSRN

Which Trend Is Your Friend? by Ari Levine, Lasse Heje Pedersen :: SSRN

Algorithm Aversion: People Erroneously Avoid Algorithms after Seeing Them Err by Berkeley J…

Basis-Momentum in the Futures Curve and Volatility Risk by Martijn Boons, Melissa Porras Prado :…

Strategy diversification: Combining momentum and carry strategies within a foreign exchange portfolio: http://apps.olin.wustl.edu/faculty/zhou/O_Z_JHDF_2014.pdf

EconStor: Spread trading strategies in the crude oil futures market

Carry and Trend in Lots of Places by Vineer Bhansali, Josh Davis, Matthew P. Dorsten, Graham…

Are Value Strategies Profitable in the Foreign Exchange Market? by Ahmad Raza :: SSRN

Time Series Momentum and Volatility States by John E. Pettersson :: SSRN

The MOM-TOM Effect: Detecting the Market Impact of CTA Trading by Otto Van Hemert :: SSRN

Finding smart beta https://www.researchaffiliates.com/documents/Finding%20Smart%20Beta%20in%20the%20Factor%20Zoo_pdf.pdf

On the Persistence of Cointegration in Pairs Trading by Matthew Clegg :: SSRN

Evaluating Trading Strategies by Campbell R. Harvey, Yan Liu :: SSRN

Backtesting by Campbell R. Harvey, Yan Liu :: SSRN

Currency Returns in Different Time Zones by Zhengyang Jiang :: SSRN

Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles by Didier…