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.
Multiple testing, overfitting & significance
| 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 |
Anomaly replication, the factor zoo, universe & decay
| 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 |
Transaction-cost estimation & implementation
| 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 |
Crowding, unwinds & factor crashes
| 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 |
Portfolio construction, risk model & attribution
| 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 |
Survivorship & delisting bias
| 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 |
Scheduling & control theory
Seasonality & calendar anomalies
| 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 |
Momentum, value & factor-model foundations
| 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 |
Portfolio construction & diversification
| 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 |
Strategy-specific, thematic & AI
| 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 |
Diagnostics, attribution & multi-asset mechanics
| 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 |
Networks, multiplex & GNNs (PhD-proposal literature)
| 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 |