32  Academic References — Bibliography

A DOI-normalized index of every source behind the reference library. This is a different artifact from the library: the library holds prose summaries (“why this matters to the research”); this page holds citation data (identifier, venue) for anyone who needs to cite the work formally.

Zotero status: not yet set up. The entries below were compiled by hand from the library’s source links. To move to Zotero-managed citations: import each DOI/arXiv ID below into a shared Zotero library, then regenerate this page as a Zotero-exported bibliography (e.g. via Better BibTeX) instead of maintaining it by hand. Until that happens, treat this as the interim source of truth.

Coverage note: many working papers (NBER, SSRN) never receive a DOI even after wide circulation — those rows are marked no DOI with their canonical working-paper link instead of a fabricated identifier.

32.1 Multiple testing, overfitting & significance

Citation Identifier
Harvey, C., Liu, Y. and Zhu, H. (2016). …and the Cross-Section of Expected Returns. Review of Financial Studies. no DOI — NBER w20592
Bailey, D. and López de Prado, M. (2014). The Deflated Sharpe Ratio. Journal of Portfolio Management. no DOI — SSRN 2460551
Bailey, D., Borwein, J., López de Prado, M. and Zhu, Q. (2014). The Probability of Backtest Overfitting. no DOI — SSRN 2326253
Benjamini, Y. and Yekutieli, D. (2001). The Control of the False Discovery Rate under Dependency. Annals of Statistics. 10.1214/aos/1013699998
Simmons, J., Nelson, L. and Simonsohn, U. (2011). False-Positive Psychology. Psychological Science. 10.1177/0956797611417632
Gelman, A. and Loken, E. (2013). The Garden of Forking Paths. no DOI — author copy
Kapoor, S. and Narayanan, A. (2023). Leakage and the Reproducibility Crisis in ML-based Science. arXiv:2207.07048
Bailey, D. and López de Prado, M. (2012). The Sharpe Ratio Efficient Frontier. no DOI — SSRN 1821643

32.2 Anomaly replication, the factor zoo, universe & decay

Citation Identifier
Hou, K., Xue, C. and Zhang, L. (2020). Replicating Anomalies. no DOI — NBER w23394
Novy-Marx, R. and Velikov, M. (2016). A Taxonomy of Anomalies and Their Trading Costs. no DOI — NBER w20721
Novy-Marx, R. (2014). Understanding Defensive Equity. no DOI — NBER w20591
Chen, A. and Velikov, M. (2023). Zeroing In on the Expected Returns of Anomalies. JFQA. 10.17016/FEDS.2020.039
Navigating the Factor Zoo around the World (2021). Journal of Business Economics. 10.1007/s11573-021-01035-y
Feng, G., Giglio, S. and Xiu, D. (2020). Taming the Factor Zoo. Journal of Finance. no DOI — NBER w25481
McLean, R. and Pontiff, J. (2016). Does Academic Research Destroy Stock Return Predictability? Journal of Finance. 10.1111/jofi.12365
Patton, A. and Timmermann, A. (2010). Monotonicity in Asset Returns. JFE. 10.1016/j.jfineco.2010.06.006
Jacobs, H. and Müller, S. (2020). Anomalies across the Globe. JFE. 10.1016/j.jfineco.2019.06.004

32.3 Transaction-cost estimation & implementation

Citation Identifier
Corwin, S. and Schultz, P. (2012). A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices. Journal of Finance. 10.1111/j.1540-6261.2012.01729.x
Abdi, F. and Ranaldo, A. (2017). A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices. RFS. 10.1093/rfs/hhx084
Frazzini, A., Israel, R. and Moskowitz, T. (2015). Trading Costs of Asset Pricing Anomalies. no DOI — SSRN 2294498
Almgren, R. and Chriss, N. (2000). Optimal Execution of Portfolio Transactions. Journal of Risk. 10.21314/JOR.2000.041
Almgren, R. et al. (2005). Direct Estimation of Equity Market Impact. Risk. no DOI — risk.net
Garleanu, N. and Pedersen, L. (2013). Dynamic Trading with Predictable Returns and Transaction Costs. Journal of Finance. 10.1111/jofi.12080
Muravyev, D., Pearson, N. and Pollet, J. (2025). Anomalies and Their Short Sale Costs. Journal of Finance. 10.1111/jofi.13501

32.4 Crowding, unwinds & factor crashes

Citation Identifier
Khandani, A. and Lo, A. (2007). What Happened to the Quants in August 2007? no DOI — SSRN 1015987
Daniel, K. and Moskowitz, T. (2016). Momentum Crashes. JFE. no DOI — NBER w20439
Arnott, R., Beck, N., Kalesnik, V. and West, J. (2016). How Can “Smart Beta” Go Horribly Wrong? no DOI — Research Affiliates
Lou, D. and Polk, C. Comomentum: Inferring Arbitrage Activity from Return Correlations. no DOI — SSRN 2029199
Asness, C. et al. (2017). Contrarian Factor Timing is Deceptively Difficult. no DOI — SSRN 2928945
Asness, C. (2016). The Siren Song of Factor Timing. no DOI — SSRN 2763956

32.5 Portfolio construction, risk model & attribution

Citation Identifier
Ledoit, O. and Wolf, M. (2003). Improved Estimation of the Covariance Matrix of Stock Returns. 10.1016/S0927-5398(03)
Ledoit, O. and Wolf, M. (2004). Honey, I Shrunk the Sample Covariance Matrix. JPM. 10.3905/jpm.2004.110
He, G. and Litterman, R. (1999). The Intuition Behind Black-Litterman Model Portfolios. no DOI — SSRN 334304

32.6 Survivorship & delisting bias

Citation Identifier
Shumway, T. (1997). The Delisting Bias in CRSP Data. Journal of Finance. no DOI — JSTOR 2329566
Shumway, T. and Warther, V. (1999). The Delisting Bias in CRSP’s Nasdaq Data. Journal of Finance. no DOI — JSTOR 797998
Brown, S., Goetzmann, W., Ibbotson, R. and Ross, S. (1992). Survivorship Bias in Performance Studies. RFS. 10.1093/rfs/5.4.553
Carhart, M., Carpenter, J., Lynch, A. and Musto, D. (2002). Mutual Fund Survivorship. RFS. 10.1093/rfs/15.5.1439

32.7 Scheduling & control theory

Citation Identifier
Liu, C. and Layland, J. (1973). Scheduling Algorithms for Multiprogramming in a Hard-Real-Time Environment. 10.1145/321738.321743
Little, J. (1961). A Proof for the Queuing Formula: L = λW. Operations Research. 10.1287/opre.9.3.383
Roberts, S. (1959). Control Chart Tests Based on Geometric Moving Averages. Technometrics. 10.1080/00401706.1959.10489860

32.8 Seasonality & calendar anomalies

Citation Identifier
Heston, S. and Sadka, R. (2008). Seasonality in the Cross-Section of Stock Returns. JFE. 10.1016/j.jfineco.2007.02.003
Hirshleifer, D., Jiang, D. and Meng, Y. (2020). Mood Betas and Seasonalities in Stock Returns. no DOI — NBER w24676

32.9 Momentum, value & factor-model foundations

Citation Identifier
Jegadeesh, N. and Titman, S. (1993). Returns to Buying Winners and Selling Losers. Journal of Finance. no DOI — JSTOR 2328882
Blitz, D., Huij, J. and Martens, M. (2011). Residual Momentum. Journal of Empirical Finance. 10.1016/j.jempfin.2011.01.003
Moreira, A. and Muir, T. (2017). Volatility-Managed Portfolios. no DOI — NBER w22208
Barroso, P. and Santa-Clara, P. (2015). Momentum Has Its Moments. JFE. 10.1016/j.jfineco.2014.11.010
Ehsani, S. and Linnainmaa, J. (2022). Factor Momentum and the Momentum Factor. no DOI — NBER w25551
Novy-Marx, R. (2013). The Other Side of Value: The Gross Profitability Premium. JFE. 10.1016/j.jfineco.2013.01.003
Frazzini, A. and Pedersen, L. (2014). Betting Against Beta. JFE. 10.1016/j.jfineco.2013.10.005
Lehmann, B. (1990). Fads, Martingales, and Market Efficiency. QJE. 10.2307/2937816
Brock, W., Lakonishok, J. and LeBaron, B. (1992). Simple Technical Trading Rules and the Stochastic Properties of Stock Returns. Journal of Finance. 10.1111/j.1540-6261.1992.tb04681.x
Fama, E. and French, K. (1993). Common Risk Factors in the Returns on Stocks and Bonds. JFE. 10.1016/0304-405X(93)
Moskowitz, T., Ooi, Y. and Pedersen, L. (2012). Time Series Momentum. JFE. no DOI — SSRN 2089463

32.10 Portfolio construction & diversification

Citation Identifier
DeMiguel, V., Garlappi, L. and Uppal, R. (2009). Optimal Versus Naive Diversification. RFS. 10.1093/rfs/hhm075
López de Prado, M. (2016). Building Diversified Portfolios that Outperform Out of Sample. no DOI — SSRN 2708678

32.11 Strategy-specific, thematic & AI

Citation Identifier
Anarkulova, A. et al. (2025). Beyond the Status Quo: A Critical Assessment of Lifecycle Investment Advice. no DOI — SSRN 4590406
Yartseva (2025). The Alchemy of Multibagger Stocks. no DOI — BCU open access
Romanko, O. et al. (2023). ChatGPT-based Investment Portfolio Selection. arXiv:2308.06260
Spector, A. and Candès, E. (2024). The Mosaic Permutation Test. arXiv:2404.15017
Gu, S., Kelly, B. and Xiu, D. (2020). Empirical Asset Pricing via Machine Learning. RFS. 10.1093/rfs/hhaa009

32.12 Diagnostics, attribution & multi-asset mechanics

Citation Identifier
Koijen, R. et al. (2018). Carry. no DOI — NBER w19325
Hurst, B., Ooi, Y. and Pedersen, L. (2017). A Century of Evidence on Trend-Following Investing. JPM. 10.3905/jpm.2017.44.1.015

32.13 Event-driven capture

Citation Identifier
Shleifer, A. (1986). Do Demand Curves for Stocks Slope Down? Journal of Finance. 10.1111/j.1540-6261.1986.tb04518.x
Chan, L., Jegadeesh, N. and Lakonishok, J. (1996). Momentum Strategies. no DOI — NBER w5375

32.14 Networks, multiplex & GNNs (PhD-proposal literature)

Citation Identifier
Bardoscia, M. et al. (2017). Pathways towards instability in financial networks. arXiv:1602.05883
Boccaletti, S. et al. (2014). The structure and dynamics of multilayer networks. arXiv:1407.0742
Kipf, T. and Welling, M. (2016). Semi-Supervised Classification with Graph Convolutional Networks. arXiv:1609.02907
Kivelä, M. et al. (2014). Multilayer Networks. arXiv:1309.7233
Musmeci, N., Aste, T. and Di Matteo, T. (2015). Relation between Financial Market Structure and the Real Economy. arXiv:1406.0496
Yu, B., Yin, H. and Zhu, Z. (2017). Spatio-Temporal Graph Convolutional Networks. arXiv:1709.04875