Literature: authors starting with W

Wang (2003) · The behavior and performance of major types of futures traders

Wang, Changyun. Journal of Futures Markets 23 (1), pp. 1–31. doi:10.1002/fut.10056

Speculators and hedgers in 15 US futures markets: speculators' positions are associated with subsequent excess returns, although speculators do not forecast any better.

Cited in: Sentiment: methodology for the fear and greed index, put/call ratio and COT · Glossary: COT report

Waring et al. (2000) · Optimizing Manager Structure and Budgeting Manager Risk

Waring, M. Barton; Whitney, Duane; Pirone, John; Castille, Charles. The Journal of Portfolio Management 26 (3), pp. 90–104. doi:10.3905/jpm.2000.319719

Selecting active managers as an optimization under a risk budget; the passive core comes out inversely proportional to the active risk budget.

Cited in: Core-satellite with a broad core and targeted satellites: costs, tracking error and rules

Waring and Siegel (2003) · The Dimensions of Active Management

Waring, M. Barton; Siegel, Laurence B.. The Journal of Portfolio Management 29 (3), pp. 35–51. doi:10.3905/jpm.2003.319882

Pure alpha costs active risk that is uncorrelated with the risk of the policy allocation; optimal structures rely on index funds and risk-controlled active funds.

Cited in: Core-satellite with a broad core and targeted satellites: costs, tracking error and rules

Waring (2004) · Liability-Relative Investing

Waring, M. Barton. The Journal of Portfolio Management 30 (4), pp. 8–20. doi:10.3905/jpm.2004.8

Asset allocation relative to liabilities: an efficient frontier for the surplus instead of for assets.

Cited in: Asset-liability management: aligning your wealth with future spending · Liability-driven investing and cash flow driven investing: covering liabilities with bonds · ALM methodology: how Portfolio Lab measures assets against liabilities · Glossary: Surplus · Glossary: Liability-driven investing

Welch and Goyal (2008) · A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

Welch, Ivo; Goyal, Amit. Review of Financial Studies 21 (4), pp. 1455–1508. doi:10.1093/rfs/hhm014

Many variables used to predict equity returns fail out of sample against the historical mean.

Cited in: Equity risk premium: how much more equities return and why it is a puzzle · Shiller P/E (CAPE): how expensive is the stock market? · The efficient market hypothesis: why it is so hard to beat the market · Return forecasting models: ARIMA, GARCH, LSTM and machine learning · Valuation with the Shiller P/E: methodology · Glossary: Return forecasts from valuation · Glossary: Out-of-sample R²

Whaley (2000) · The Investor Fear Gauge

Whaley, Robert E.. The Journal of Portfolio Management 26 (3), pp. 12–17. doi:10.3905/jpm.2000.319728

Explains the VIX as a fear gauge: it rises when stocks fall and reflects the demand for protection.

Cited in: VIX: how to read the stock market's fear gauge · Volatility dashboard: methodology · Glossary: Implied volatility

Whaley (2013) · Trading Volatility: At What Cost?

Whaley, Robert E.. The Journal of Portfolio Management 40 (1), pp. 95–108. doi:10.3905/jpm.2013.40.1.095

Shows that VIX futures products lose a great deal of value over the long run because of contango and roll losses.

Cited in: VIX: how to read the stock market's fear gauge · Volatility dashboard: methodology · Glossary: Rolling · Glossary: VIX future

White (2000) · A Reality Check for Data Snooping

White, Halbert. Econometrica 68 (5), pp. 1097–1126. doi:10.1111/1468-0262.00152

A bootstrap test of whether the best model found in a search over many variants beats a benchmark by more than chance.

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

Wilder (1978) · New Concepts in Technical Trading Systems

Wilder, J. Welles. Trend Research.

Introduces the Relative Strength Index (RSI) and other indicators with the smoothing method named after Wilder.

Cited in: Technical analysis, chart patterns and candlesticks from a quant perspective · Glossary: Relative strength index

Wilkens et al. (2003) · The Pricing of Structured Products in Germany

Wilkens, Sascha; Erner, Carsten; Röder, Klaus. The Journal of Derivatives 11 (1), pp. 55–69. doi:10.3905/jod.2003.319211

Reverse convertibles and discount certificates on the DAX and NEMAX traded almost without exception at a marked premium to their replication with Eurex options; the premium depended on moneyness and followed a life cycle.

Cited in: Glossary: Discount certificate · Glossary: Reverse convertible

Willenbrock (2011) · Diversification Return, Portfolio Rebalancing, and the Commodity Return Puzzle

Willenbrock, Scott. Financial Analysts Journal 67 (4), pp. 42–49. doi:10.2469/faj.v67.n4.1

The diversification return arises only through rebalancing and explains the good results of commodity indices.

Cited in: Rebalancing: getting your portfolio back on course · Volatility drag: why volatility costs you return · Beyond Markowitz: estimation error, noise and true diversification · Overfitting check and diversification return: the calculations in Backtest and Tactical · Glossary: Rebalancing bonus

WisdomTree Multi Asset Issuer (2025) · Interim Management Report and Condensed Unaudited Financial Statements for the half financial year ended 30 June 2025

WisdomTree Multi Asset Issuer PLC. WisdomTree Multi Asset Issuer PLC, Ireland, September 23, 2025; accessed October 29, 2026. Source

Irish special purpose vehicle that issues collateralized exchange traded securities (ETPs) with limited recourse and daily leveraged long and short exposure, hedges with total return swaps with a large bank and monitors the bank's collateral at a custodian daily.

Cited in: How leveraged ETFs are built: swaps, daily rebalancing and gamma risk

Witzany (2021) · A Bayesian Approach to Measurement of Backtest Overfitting

Witzany, Jiří. Risks 9 (1), pp. 18. doi:10.3390/risks9010018

Proposes a Bayesian approach using Markov chain Monte Carlo simulation to measure overfitting when selecting from many strategies and to correct metrics such as the Sharpe ratio; tested on technical trading rules.

Cited in: Probability of backtest overfitting: does the best variant deliver what the backtest promises?

Wolfers and Zitzewitz (2004) · Prediction Markets

Wolfers, Justin; Zitzewitz, Eric. Journal of Economic Perspectives 18 (2), pp. 107–126. doi:10.1257/0895330041371321

Survey: prediction markets usually deliver fairly accurate forecasts and beat most moderately sophisticated benchmark forecasts; depending on the contract, they reveal probabilities, means or medians.

Cited in: Market expectations: what the yield curve, inflation-linked bonds and options reveal about the future · Prediction markets as bets on events: what they can and cannot do · Glossary: Prediction market

S&P Global Platts (2020) · Americas tanker freight climbs on depressed crude price dynamics

Wood, Catherine; Clevenger, Felix. S&P Global Platts, 22.4.2020; abgerufen am 31.10.2026. Source

VLCC chartered as storage for six months at $86,000 a day, around $200,000 a day in the spot market; WTI May to October $15.55 per barrel on April 21, 2020.

Cited in: Glossary: Time charter

Woolman (2026) · Funding the U.S. Equity Market to New Heights

Woolman, Paul. CME Group, July 28, 2026; accessed October 25, 2026. Source

The June 2026 roll of E-mini S&P 500 futures implied financing at 81 basis points over three-month SOFR, the highest June level since at least 2007; this is attributed to tight bank balance sheets amid high demand for US equities.

Cited in: Basket swaps, total return swaps or futures: building market exposure efficiently · How leveraged ETFs are built: swaps, daily rebalancing and gamma risk · Overlay management with futures: beta, duration and currency overlays, contract numbers and liquidity needs

Working (1960) · Note on the Correlation of First Differences of Averages in a Random Chain

Working, Holbrook. Econometrica 28 (4), pp. 916–918. doi:10.2307/1907574

Averaged prices of a pure random series have correlated changes (approaching 0.25) and lower variability; both are an artifact of averaging.

Cited in: Asset classes with a long history: methodology

GHG Protocol (2011) · Corporate Value Chain (Scope 3) Accounting and Reporting Standard – Executive Summary

World Resources Institute; World Business Council for Sustainable Development. WRI and WBCSD; accessed October 25, 2026. Source

Defines Scope 1 (own operations), Scope 2 (purchased energy) and Scope 3 (the rest of the value chain in 15 categories) and notes that Scope 3 is often the largest source.

Cited in: ESG ETFs: index rules, ratings, returns and the limits of sustainable funds · ESG methodology: sustainability in the look-through · Glossary: Scope 1 emissions · Glossary: Scope 2 emissions · Glossary: Scope 3 emissions

Wurgler and Zhuravskaya (2002) · Does Arbitrage Flatten Demand Curves for Stocks?

Wurgler, Jeffrey; Zhuravskaya, Ekaterina. The Journal of Business 75 (4), pp. 583–608. doi:10.1086/341636

Arbitrage between imperfect substitutes is risky; stocks without close substitutes jump more on inclusion in the S&P 500.

Cited in: The index effect: what happens to prices when stocks join or leave an index

Wurstbauer and Schäfers (2015) · Inflation hedging and protection characteristics of infrastructure and real estate assets

Wurstbauer, Daniel; Schäfers, Wolfgang. Journal of Property Investment & Finance 33 (1), pp. 19–44. doi:10.1108/jpif-04-2014-0026

US 1991–2013: in the short term, only direct infrastructure provides a partial hedge against inflation; in the long term, direct and listed infrastructure and real estate move with inflation.

Cited in: Infrastructure investing: equity and debt, revenue models, valuation and research · Liquid real assets: inflation protection with tradable real assets in a portfolio