Академические исследователи

Ниже перечислены ключевые исследователи, занимающиеся количественными исследованиями, которые активно публикуются, а также их соответствующие аффилированные организации (академические, инвестиционные или и то, и другое).

К сожалению, из-за раздробленности и политики нет единого места для мониторинга соответствующих исследований (как рабочих документов, так и журнальных статей). Несмотря на то, что arXiv и SSRN являются хабами, многие статьи публикуются непосредственно в самых разных журналах.

— Asset Allocation / Asset Pricing / Portfolio Management

• Andrew Ang (Columbia): publications
• Cliff Asness (AQR Capital): publications
• Turan Bali (Baruch College): publications
• Geert Bekaert (Columbia): publications
• David Blitz (Robeco): publications
• Kris Boudt (Lessius Antwerpen): publications
• Michael Brandt (Duke University): publications and working papers
• Eugene Fama, Chicago Booth School of Business (Dimensional Fund Advisers): publications
• Andrea Frazzini (New York University): publications
• Kennneth French, Tuck School of Business at Dartmouth College (Dimensional Fund Advisers): publications
• Robert Jarrow (Cornell): publications
• Tobias Moskowitz (University of Chicago): working papers and published papers
• Thierry Post (Bangor University): publications
• Pim van Vliet, Erasmus School of Economics (Robeco): publications

— Behavioral Finance

• Kent Daniel (Columbia, formerly GSAM): publications
• Harrison Hong (Princeton): publications

— Corporate Finance

• Lauren Cohen (Harvard Business School): publications

— Derivative Pricing

• Peter Carr (New York University, Courant and Morgan Stanley): publications
• Rama Cont (Columbia): publications
• Jim Gatheral (Baruch College): publications
• Mark Joshi (University of Melbourne): publications

— Econophysics

• Jean-Philippe Bouchaud (Capital Fund Management): publications
• Ramazan Gençay (Simon Fraser University): publications
• Fabrizio Lillo (Santa Fe Institute): publications
• Rosario Mantegna
• Vasiliki Plerou
• Marc Potters (Capital Fund Management): publications
• Tobias Preis (ETH Zürich): publications
• Didier Sornette (ETH Zürich): publications
• Gene Stanley (Boston University): publications

— Executive Stock Options

• Jennifer Carpenter (New York University, Stern): publications
• Vicky Henderson (Oxford-Man Institute of Quantitative Finance): publications

— Financial Econometrics

• Andrew Lo, MIT Laboratory for Financial Engineering (Alpha Simplex, part of Natixis): publications
• Kevin Sheppard (Oxford-Man Institute of Quantitative Finance): working papers and published papers
• Ruey Tsay (University of Chicago): publications

— Information Geometry / Information Theory

• Frank Nielsen (École Polytechnique): publications
• Jorma Rissanen, Computer Learning Research Centre (University of London, Royal Holloway, MDL): publications

— Informed Trading / Short Selling

• Benjamin Blau (Utah State University): publications

— Interest Rates / Inflation

• Fabio Mercurio (Bloomberg): publications

— International Finance

• K. Geert Rouwenhorst, Yale School of Management (Summerhaven): publications

— Liquidity Risk

• Lasse Pedersen (New York University, Stern): publications

— Machine Learning

• Christopher Bishop (Microsoft Research): publications
• Michael Jordon (UC Berkeley): publications
• Stephen Roberts, Pattern Analysis & Machine Learning Research Group (Oxford-Man Institute of Quantitative Finance): publications (time-series machine learning)

— Microstructure

• Marco Avellaneda (New York University, Courant): publications
• David Easley (Cornell): publications
• Joel Hasbrouck (New York University, Stern): publications
• Marcos Lopez de Prado (Tudor): publications
• Maureen O’Hara (Cornell): publications
• Ingve Simonsen (Norwegian University of Science and Technology): publications

— Optimal Execution

• Robert Almgren (Quantitative Brokers, Courant): publications

— Risk Management

• Carol Alexander (Reading University): publications
• Peter Christoffersen (University of Toronto): publications
• Attilio Meucci (Kepos Capital and Baruch College): publications

— Econometrics / Statistics / Stochastic Processes / Time Series

• Tim Bollerslev (Duke University): publications (GARCH, realized volatility)
• Umberto Cherubini (University of Bologna): publications (copulas)
• Christian Dunis (Liverpool John Moores University): publications (non-linear methods)
• Andreas Eckner (Stanford University): publications (unevenly-spaced time series)
• Robert Frey, Program in Quantitative Finance (Stony Brook University): publications (regime-switching models)
• Olivier Ledoit, Institute for Empirical Research in Economics (University of Zurich): publications (covariance matrix estimation)
• Andrew Mullhaupt, Program in Quantitative Finance (Stony Brook University)
• Gordon Ross (University of Bristol): publications (non-parametric, non-stationary sequential change point)
• Cosma Shalizi (Carnegie Mellon): publications (stochastic processes)