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Literature: authors starting with H

56 studies, books and laws, each with its reference, a sentence on the content and the pages that cite it. All letters

Hagan and West (2006) · Interpolation Methods for Curve Construction

Hagan, Patrick S.; West, Graeme. Applied Mathematical Finance 13 (2), pp. 89–129. doi:10.1080/13504860500396032

A survey of interpolation methods for yield curves, their relationship with bootstrapping and their weaknesses.

Cited in: Bond math: calculating price, yield, duration, convexity and spreads

Hall and Woodward (2010) · The Burden of the Nondiversifiable Risk of Entrepreneurship

Hall, Robert E.; Woodward, Susan E.. American Economic Review 100 (3), pp. 1163–1194. doi:10.1257/aer.100.3.1163

Payouts to founders of venture-backed companies: an average of US$5.8 million at exit, but almost three quarters receive nothing and a few receive more than a billion.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns · Glossary: Power law

Hallerbach (2003) · Decomposing portfolio value-at-risk: a general analysis

Hallerbach, Winfried. The Journal of Risk 5 (2), pp. 1–18. doi:10.21314/jor.2003.076

Examines marginal, component and incremental VaR beyond the normal distribution and shows how to estimate them from simulations.

Cited in: Risk & attribution: methodology of risk decomposition and Brinson attribution

Hamilton (1989) · A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

Hamilton, James D.. Econometrica 57 (2), pp. 357–384. doi:10.2307/1912559

A regime-switching model (Markov switching) that statistically estimates expansions and recessions from GDP growth.

Cited in: Regime models: hidden Markov, Markov switching and more · Tactical allocation methodology: how the eleven tactical models work · Macro dashboard and regime analysis: methodology · Regime methodology: how the hidden Markov model works · Glossary: Transition matrix · Glossary: Markov switching model · Glossary: Hamilton filter

Hamilton (1994) · Time Series Analysis

Hamilton, James D.. Princeton University Press.

Textbook on time series analysis: autocorrelation, unit roots, cointegration, regime switching.

Cited in: Regime models: hidden Markov, Markov switching and more · Asset analysis: methodology from correlation to cointegration · Glossary: Markov switching model

EIA (2014) · Oil tanker sizes range from general purpose to ultra-large crude carriers on AFRA scale

Hamilton, T. Mason. U.S. Energy Information Administration, Today in Energy, September 16, 2014. Source

Size classes of oil tankers on the AFRA scale with their capacity in barrels, plus the Aframax class.

Cited in: Ship tracking data and satellite images: what they reveal about commodities · Glossary: VLCC · Glossary: Aframax

Hanke and Hauser (2008) · On the effects of stock spam e-mails

Hanke, Michael; Hauser, Florian. Journal of Financial Markets 11 (1), pp. 57–83. doi:10.1016/j.finmar.2007.10.001

Spam emails raise the abnormal return, trading volume and intraday volatility of touted stocks in the short term, without a lasting price effect; repeated spam extends the window for selling.

Cited in: Pump and dump and penny stocks: how the scam works

Hansen and Hodrick (1980) · Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

Hansen, Lars Peter; Hodrick, Robert J.. Journal of Political Economy 88 (5), pp. 829–853. doi:10.1086/260910

Rejects, for both the 1970s and the 1920s, the hypothesis that the forward rate is the market's expectation of the future spot rate.

Cited in: Carry trade: earning interest with currencies and bonds · Glossary: Uncovered interest parity

Hansen and Lunde (2005) · A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

Hansen, Peter R.; Lunde, Asger. Journal of Applied Econometrics 20 (7), pp. 873–889. doi:10.1002/jae.800

An out-of-sample comparison of 330 volatility models: for exchange rates hardly anything beats a GARCH(1,1), while for stocks models with a leverage effect help.

Cited in: Return forecasting models: ARIMA, GARCH, LSTM and machine learning

Hansen (2005) · A Test for Superior Predictive Ability

Hansen, Peter Reinhard. Journal of Business & Economic Statistics 23 (4), pp. 365–380. doi:10.1198/073500105000000063

The SPA test: checks whether the best of many models really beats a benchmark; more powerful than the Reality Check.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective · Probability of backtest overfitting: does the best variant deliver what the backtest promises? · Return forecasting models: ARIMA, GARCH, LSTM and machine learning · Glossary: White's Reality Check

Hanson (2003) · Combinatorial Information Market Design

Hanson, Robin. Information Systems Frontiers 5 (1), pp. 107–119. doi:10.1023/a:1022058209073

Proposes market scoring rules, an automated market maker for information markets, including the logarithmic variant (LMSR).

Cited in: Prediction markets as bets on events: what they can and cannot do · Glossary: LMSR

Harati-Mokhtari et al. (2007) · Automatic Identification System (AIS): Data Reliability and Human Error Implications

Harati-Mokhtari, Abbas; Wall, Alan; Brooks, Philip; Wang, Jin. The Journal of Navigation 60 (3), pp. 373–389. doi:10.1017/S0373463307004298

Draws on three AIS studies to examine how reliable the data are and what role equipment operation and human error on board play.

Cited in: Ship tracking data and satellite images: what they reveal about commodities

Harding (2016) · Keeping members on track with index investing

Harding, Julian. Portfolio Institutional, October 28, 2016; accessed October 25, 2026. Source

A State Street index manager on adding value in implementation: trading around index changes, choices in corporate actions and skipping small changes.

Cited in: Smart indexing: added value for index funds around corporate actions and index changes · Glossary: Smart indexing

Harris (2002) · Trading and Exchanges: Market Microstructure for Practitioners

Harris, Larry. Oxford University Press.

A practitioner's textbook on market microstructure: order types, market structures, dealers and brokers, liquidity, information and transaction costs.

Cited in: Market making and bond trading: spread, inventory, axes, RFQ, cross trades and matrix pricing · Order types and execution: from limit orders to MOC, VWAP, TAS and BTIC · Glossary: Limit order

Harris and Gurel (1986) · Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures

Harris, Lawrence; Gurel, Eitan. The Journal of Finance 41 (4), pp. 815–829. doi:10.1111/j.1540-6261.1986.tb04550.x

After an S&P 500 inclusion is announced, prices rise by more than 3%, and the rise almost completely reverses within two weeks (price pressure).

Cited in: Smart indexing: added value for index funds around corporate actions and index changes · The index effect: what happens to prices when stocks join or leave an index

Harris et al. (2014) · Private Equity Performance: What Do We Know?

Harris, Robert S.; Jenkinson, Tim; Kaplan, Steven N.. The Journal of Finance 69 (5), pp. 1851–1882. doi:10.1111/jofi.12154

Using cash flow data from almost 1,400 US funds: buyout funds outperformed the S&P 500 by 20 to 27% over their lifetime, more than 3% a year; venture capital did so only in the 1990s.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work · Private equity explained: strategies, fund structure, fees and what research shows about returns · Venture capital: funding rounds, valuation, the power law and what research knows about returns · Measuring private markets: J-curve, cash flows, smoothing and public proxies

Harris et al. (2023) · Has persistence persisted in private equity? Evidence from buyout and venture capital funds

Harris, Robert S.; Jenkinson, Tim; Kaplan, Steven N.; Stucke, Ruediger. Journal of Corporate Finance 81, pp. 102361. doi:10.1016/j.jcorpfin.2023.102361

Performance persistence across successor funds remains marked in venture capital but has been barely detectable in buyout funds since 2000 when only the interim results known at the time of fundraising are used.

Cited in: Private equity explained: strategies, fund structure, fees and what research shows about returns · Venture capital: funding rounds, valuation, the power law and what research knows about returns

Hartzmark and Solomon (2019) · The Dividend Disconnect

Hartzmark, Samuel M.; Solomon, David H.. The Journal of Finance 74 (5), pp. 2153–2199. doi:10.1111/jofi.12785

Many investors treat dividends and price gains as separate things and overlook the fact that a payout lowers the share price.

Cited in: Dividend strategies and dividend ETFs under scrutiny: irrelevance, factors, risks · Glossary: Free dividends fallacy

Harvey (1988) · The real term structure and consumption growth

Harvey, Campbell R.. Journal of Financial Economics 22 (2), pp. 305–333. doi:10.1016/0304-405x(88)90073-6

The real term structure predicts consumption growth; inverted curves preceded recessions.

Cited in: Yield curve: what the term structure reveals and why an inverted curve is seen as a warning sign · Glossary: Inverted yield curve

Harvey and Siddique (2000) · Conditional Skewness in Asset Pricing Tests

Harvey, Campbell R.; Siddique, Akhtar. The Journal of Finance 55 (3), pp. 1263–1295. doi:10.1111/0022-1082.00247

Shows that investors price skewness: assets with negative skewness must offer a higher return.

Cited in: Skewness and kurtosis: why market crashes are more frequent than the normal distribution says · Sortino ratio and Calmar ratio: measuring downside risk · Glossary: Skewness

Harvey et al. (2008) · Bayes vs. Resampling: A Rematch

Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W.. Journal of Investment Management 6 (1), pp. 29–45. Source

Repeats the Markowitz and Usmen game with a standard Bayesian method; the results reverse, and in the game with a one-period forecast Bayes always wins.

Cited in: Beyond Markowitz: estimation error, noise and true diversification · Michaud resampled optimization: more stable portfolio weights through simulation · Glossary: Predictive distribution

Harvey and Liu (2015) · Backtesting

Harvey, Campbell R.; Liu, Yan. The Journal of Portfolio Management 42 (1), pp. 13–28. doi:10.3905/jpm.2015.42.1.013

Applies a haircut to a backtest's Sharpe ratio using multiple-testing methods and gives a profit hurdle above which a strategy can be considered significant.

Cited in: Deflated Sharpe ratio: how much skill is in a Sharpe ratio? · Probability of backtest overfitting: does the best variant deliver what the backtest promises? · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Haircut Sharpe ratio

Harvey et al. (2016) · … and the Cross-Section of Expected Returns

Harvey, Campbell R.; Liu, Yan; Zhu, Heqing. Review of Financial Studies 29 (1), pp. 5–68. doi:10.1093/rfs/hhv059

With hundreds of factors tested, the usual significance threshold is not enough: a new factor needs a t-statistic above 3.0, and many discoveries are probably false.

Cited in: Sharpe ratio: return per unit of risk · Alternative data: job ads, Reddit, X, satellites and card payments · Factor investing: understanding the Fama-French factors · Backtest overfitting: when the past looks too good · Deflated Sharpe ratio: how much skill is in a Sharpe ratio? · Return forecasting models: ARIMA, GARCH, LSTM and machine learning · Factor regression, factor allocation and factor statistics: methodology · Glossary: Factor zoo · Glossary: t-statistic · Glossary: Multiple testing

Harvey et al. (2018) · The Impact of Volatility Targeting

Harvey, Campbell R.; Hoyle, Edward; Korgaonkar, Russell; Rattray, Sandy; Sargaison, Matthew; Hemert, Otto Van. The Journal of Portfolio Management 45 (1), pp. 14–33. doi:10.3905/jpm.2018.45.1.014

Volatility targeting reduces extreme losses and improves the Sharpe ratio for equities, but hardly at all for bonds.

Cited in: Carry trade: earning interest with currencies and bonds · Tactical allocation: momentum, dual momentum and trend following · Tactical allocation methodology: how the eleven tactical models work

Harvey et al. (2022) · An Investor’s Guide to Crypto

Harvey, Campbell R.; Abou Zeid, Tarek; Draaisma, Teun; Luk, Martin; Neville, Henry; Rzym, Andre et al.. The Journal of Portfolio Management 49 (1), pp. 146–171. doi:10.3905/jpm.2022.1.428

An overview for investors: tokens and their functions, valuation, volatility targeting and trend following, a correlation with risky assets that rises during their drawdowns, and custody and regulation.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Haug (2007) · The Complete Guide to Option Pricing Formulas

Haug, Espen Gaarder. McGraw-Hill, 2nd edition.

A compendium of option pricing formulas: Black-Scholes with cost of carry, trees, barriers, Asian, lookback and other exotic options.

Cited in: Option pricing: where fair option prices come from · Option pricer: how Portfolio Lab values options · Glossary: Cost of carry

Haug and Hirschey (2006) · The January Effect

Haug, Mark; Hirschey, Mark. Financial Analysts Journal 62 (5), pp. 78–88. doi:10.2469/faj.v62.n5.4284

Unusually high January returns of small US stocks persist and were unaffected by the 1986 tax reform, which also points to behavioral explanations.

Cited in: Stock market seasonality: Sell in May, the January effect and how to test calendar effects

Hazelkorn et al. (2023) · Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price

Hazelkorn, Todd M.; Moskowitz, Tobias J.; Vasudevan, Kaushik. The Journal of Finance 78 (1), pp. 301–345. doi:10.1111/jofi.13198

The gap between equity index futures and the cash market reflects demand for equity exposure, moves with the positions of dealers and investors and negatively predicts returns, which implies a premium of 5 to 6% per year.

Cited in: Basket swaps, total return swaps or futures: building market exposure efficiently

He and Litterman (1999) · The Intuition Behind Black-Litterman Model Portfolios

He, Guangliang; Litterman, Robert. Goldman Sachs Asset Management (SSRN). doi:10.2139/ssrn.334304

Explains intuitively how views shift the weights in the Black-Litterman model (a Goldman Sachs Asset Management working paper).

Cited in: Black-Litterman: incorporating your own views cleanly · Optimization methodology: estimation, objectives, Black-Litterman, resampling and walk-forward

He et al. (2022) · Fundamentals of Perpetual Futures

He, Songrun; Manela, Asaf; Ross, Omri; von Wachter, Victor. arXiv 2212.06888; abgerufen am 31.10.2026. Source

Funding usually every eight hours; perpetuals need not converge to spot; mean absolute deviations of 52% to 90% a year, falling by about 22 percentage points a year; arbitrage with a Sharpe ratio of 3.35 at high costs (bitcoin).

Cited in: Glossary: Perpetual future · Glossary: Funding rate

Heaton and Lucas (2000) · Portfolio Choice and Asset Prices: The Importance of Entrepreneurial Risk

Heaton, John; Lucas, Deborah. The Journal of Finance 55 (3), pp. 1163–1198. doi:10.1111/0022-1082.00244

Households with high, volatile entrepreneurial income hold fewer equities, and shares of one's own employer crowd out other stocks.

Cited in: Your whole wealth: total wealth from portfolio, home, human capital and car

Heimer (2016) · Peer Pressure: Social Interaction and the Disposition Effect

Heimer, Rawley Z.. The Review of Financial Studies 29 (11), pp. 3177–3209. doi:10.1093/rfs/hhw063

Access to a social trading network for forex traders nearly doubles the disposition effect; connected traders develop similar levels of it.

Cited in: Glossary: Social trading

BaFin, MiCAR (2024) · Neue Spielregeln für einen neuen Markt (BaFinJournal, 01.07.2024) [New rules of the game for a new market (BaFinJournal, July 1, 2024)]

Heine-Dickau, Markus; Schaffors, Robert; Beikircher, Jessica. Federal Financial Supervisory Authority (BaFin); accessed October 25, 2026. Source

An overview of MiCAR: application since June 30 and December 30, 2024 respectively, e-money tokens, asset-referenced and other tokens, issuers' obligations and BaFin's role.

Cited in: Digital assets: tokenization, stablecoins, crypto securities and the digital euro · Glossary: Crypto-asset · Glossary: E-money token · Glossary: Utility token

Freshfields (2024) · Grandfathering under MiCA: how member states approach the transitional regime (December 30, 2024)

Heinz, Janina; van der Houwen, Daphne; Klingenbrunn, Daniel; Schneider, Eva; De Backer, Steffie. Freshfields Bruckhaus Deringer, Blog Technology Quotient; accessed October 25, 2026. Source

Art. 143(3) MiCA permits transitional periods for existing providers until July 1, 2026; Germany has shortened them to December 31, 2025 under § 50 (2) no. 3 KMAG.

Cited in: Crypto in institutional portfolios: access, custody, regulation and risk budget

Hendershott et al. (2026) · Quote Competition in Corporate Bonds

Hendershott, Terrence; Li, Dan; Livdan, Dmitry; Schürhoff, Norman; Venkataraman, Kumar. The Journal of Finance 81 (4), pp. 2165–2216. doi:10.1111/jofi.70048

Even merely indicative dealer quotes reduce trading costs in corporate bonds; dealers use them to manage their inventory, but competition through quotes is imperfect.

Cited in: Market making and bond trading: spread, inventory, axes, RFQ, cross trades and matrix pricing

Henderson and Pearson (2011) · The dark side of financial innovation: A case study of the pricing of a retail financial product

Henderson, Brian J.; Pearson, Neil D.. Journal of Financial Economics 100 (2), pp. 227–247. doi:10.1016/j.jfineco.2010.12.006

64 issues of a popular US structured product for retail investors: issue prices on average almost 8% above the fair value from option models, and an expected return slightly below zero.

Cited in: Glossary: Issuer margin

Henderson et al. (2012) · Measuring Economic Growth from Outer Space

Henderson, J. Vernon; Storeygard, Adam; Weil, David N.. American Economic Review 102 (2), pp. 994–1028. doi:10.1257/aer.102.2.994

Night lights in satellite images as a measure of economic growth, especially for countries and regions with weak official statistics.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments · Glossary: Night lights data

ICMA and FIX Trading Community (2025) · Bond Market Axe Distribution in Europe: An ICMA and FIX Trading Community White Paper

Hill, Andy; Suhaib-Wolf, Nina; Coupe, Matt; Wang, Yuhang. International Capital Market Association and FIX Trading Community, December 2025; accessed October 25, 2026. Source

A definition and standard for axes in European bond trading, their electronic distribution, and buy-side complaints about unreliable or two-way axes and information leakage.

Cited in: Market making and bond trading: spread, inventory, axes, RFQ, cross trades and matrix pricing · Glossary: Axe

Himmelberg et al. (2005) · Assessing High House Prices: Bubbles, Fundamentals and Misperceptions

Himmelberg, Charles; Mayer, Christopher; Sinai, Todd. Journal of Economic Perspectives 19 (4), pp. 67–92. doi:10.1257/089533005775196769

Price-to-rent and price-to-income ratios alone are misleading; the authors measure the annual cost of ownership as a variant of user cost and find little evidence of a bubble at the end of 2004.

Cited in: Glossary: User cost of housing

Ho and Stoll (1981) · Optimal dealer pricing under transactions and return uncertainty

Ho, Thomas; Stoll, Hans R.. Journal of Financial Economics 9 (1), pp. 47–73. doi:10.1016/0304-405X(81)90020-9

A risk-averse dealer who does not know when orders will arrive or how their inventory will develop sets bid and ask prices around their own indifference price, so inventory risk becomes part of the spread.

Cited in: Market making and bond trading: spread, inventory, axes, RFQ, cross trades and matrix pricing

Hochberg et al. (2018) · Patent collateral, investor commitment, and the market for venture lending

Hochberg, Yael V.; Serrano, Carlos J.; Ziedonis, Rosemarie H.. Journal of Financial Economics 130 (1), pp. 74–94. doi:10.1016/j.jfineco.2018.06.003

Loans to start-ups (venture debt) depend on redeployable patents as collateral and on the commitment of equity investors; after the 2000 crash, lenders mainly continued to finance firms whose investors were able to provide follow-on funding.

Cited in: Venture capital: funding rounds, valuation, the power law and what research knows about returns · Glossary: Venture debt

Hochreiter and Schmidhuber (1997) · Long Short-Term Memory

Hochreiter, Sepp; Schmidhuber, Jürgen. Neural Computation 9 (8), pp. 1735–1780. doi:10.1162/neco.1997.9.8.1735

Introduces LSTM networks: recurrent networks with memory cells and gates that learn dependencies over long time lags.

Cited in: Return forecasting models: ARIMA, GARCH, LSTM and machine learning · Glossary: LSTM

Hong and Stein (1999) · A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets

Hong, Harrison; Stein, Jeremy C.. The Journal of Finance 54 (6), pp. 2143–2184. doi:10.1111/0022-1082.00184

A model with news watchers and momentum traders: information that spreads slowly first leads to underreaction and trends, and later to overreaction.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective

Hong and Kacperczyk (2009) · The price of sin: The effects of social norms on markets

Hong, Harrison; Kacperczyk, Marcin. Journal of Financial Economics 93 (1), pp. 15–36. doi:10.1016/j.jfineco.2008.09.001

Stocks of alcohol, tobacco and gambling companies are shunned by norm-constrained investors, followed less by analysts and had higher expected returns.

Cited in: ESG ETFs: index rules, ratings, returns and the limits of sustainable funds

Hotchkiss and Mooradian (1997) · Vulture investors and the market for control of distressed firms

Hotchkiss, Edith S.; Mooradian, Robert M.. Journal of Financial Economics 43 (3), pp. 401–432. doi:10.1016/S0304-405X(96)00900-2

Distressed debt investors in 288 defaulted firms: operating performance improves more when they take control, and stocks and bonds rise when their involvement becomes known.

Cited in: Distressed debt: strategies, bankruptcy law, recovery rates and returns when investing in crises · Glossary: Loan-to-own

Hotchkiss et al. (2021) · Private Equity and the Resolution of Financial Distress

Hotchkiss, Edith S.; Smith, David C.; Strömberg, Per. The Review of Corporate Finance Studies 10 (4), pp. 694–747. doi:10.1093/rcfs/cfab015

Firms owned by private equity are more indebted and default more often, but they restructure faster, avoid bankruptcy court more often and are liquidated less often.

Cited in: Buyout funds and management buyouts: how LBOs, MBOs and MBIs work · Distressed debt: strategies, bankruptcy law, recovery rates and returns when investing in crises

Hou et al. (2015) · Digesting Anomalies: An Investment Approach

Hou, Kewei; Xue, Chen; Zhang, Lu. Review of Financial Studies 28 (3), pp. 650–705. doi:10.1093/rfs/hhu068

The q-factor model with investment and profitability, derived from investment theory.

Cited in: Factor investing: understanding the Fama-French factors · Glossary: CMA · Glossary: Q-factor model

Hou et al. (2020) · Replicating Anomalies

Hou, Kewei; Xue, Chen; Zhang, Lu. The Review of Financial Studies 33 (5), pp. 2019–2133. doi:10.1093/rfs/hhy131

Of 452 rebuilt anomalies, 65% do not reach a t-statistic of 1.96, and with the multiple-testing hurdle of 2.78 it is 82%; even the confirmed ones are economically smaller than originally reported.

Cited in: Glossary: Replication crisis

Huang et al. (2020) · Time Series Momentum: Is It There?

Huang, Dashan; Li, Jiangyuan; Wang, Liyao; Zhou, Guofu. Journal of Financial Economics 135 (3), pp. 774–794. doi:10.1016/j.jfineco.2019.08.004

Asset-by-asset regressions show little predictive power of the 12-month return; the strategy earns about as much as a rule based on historical means.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection

Huang (2018) · The customer knows best: The investment value of consumer opinions

Huang, Jiekun. Journal of Financial Economics 128 (1), pp. 164–182. doi:10.1016/j.jfineco.2018.02.001

Unusually good or bad customer reviews on Amazon predict sales, earnings surprises and stock returns.

Cited in: Alternative data: job ads, Reddit, X, satellites and card payments

Huang et al. (2000) · Artifactual log-periodicity in finite size data: Relevance for earthquake aftershocks

Huang, Y.; Johansen, A.; Lee, M. W.; Saleur, H.; Sornette, D.. Journal of Geophysical Research: Solid Earth 105 (B11), pp. 25451–25471. doi:10.1029/2000JB900195

Log-periodic patterns can arise purely from the way data are processed, for example by smoothing or cumulating, as shown for earthquake aftershocks.

Cited in: Speculative bubbles: what they are and how the LPPLS model detects them · Bubble indicator (LPPLS): methodology

Hull and White (2012) · CVA and Wrong-Way Risk

Hull, John; White, Alan. Financial Analysts Journal 68 (5), pp. 58–69. doi:10.2469/faj.v68.n5.6

How banks calculate CVA and DVA over time steps from default probabilities and expected exposure, and how wrong-way risk can be built into the simulation.

Cited in: Counterparty and issuer risk: CVA, ETCs, certificates and swaps · Glossary: Credit valuation adjustment · Glossary: Wrong-way risk

Hurst et al. (2017) · A Century of Evidence on Trend-Following Investing

Hurst, Brian; Ooi, Yao Hua; Pedersen, Lasse Heje. The Journal of Portfolio Management 44 (1), pp. 15–29. doi:10.3905/jpm.2017.44.1.015

Trend following across more than a century and many markets: positive returns in almost every decade and good results in crises.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection · Trend following: riding each asset's own trend · Tactical allocation methodology: how the eleven tactical models work · Glossary: Time-series momentum · Glossary: Managed futures

Hutchinson and O’Brien (2014) · Is This Time Different? Trend-Following and Financial Crises

Hutchinson, Mark C.; O’Brien, John. The Journal of Alternative Investments 17 (2), pp. 82–102. doi:10.3905/jai.2014.17.2.082

With almost a century of data: in the years after financial crises, trend following earns on average less than half the return of crisis-free periods.

Cited in: CTAs and managed futures: industry, position sizing, costs and crisis protection

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