Best Practices in Research for Quantitative Equity Strategies

The Journal of Portfolio Management Special QES Issue 2016, 42 (5) 135-143; DOI/10.3905/jpm.2016.42.5.135

Posted: 27 Jan 2020

See all articles by Joseph A. Cerniglia

Joseph A. Cerniglia

New York University (NYU) - Courant Institute of Mathematical Sciences; University of Pennsylvania - Department of Psychology

Frank J. Fabozzi

EDHEC Business School

Petter N. Kolm

New York University (NYU) - Courant Institute of Mathematical Sciences

Date Written: May 31, 2016

Abstract

The authors examine the research process and principles underlying successful models used in quantitative equity strategies. They identify three key factors they see contributing to improved empirical work: 1) making research design a top priority, 2) making new, more extensive datasets available, and 3) making advances in computational areas such as econometrics, machine learning, and statistics. The authors explain these key factors and also share insights on how to integrate market dynamics, data, research design, advance modeling techniques, and economic/financial introspection into the research process.

Keywords: Research methodology, quantitative finance, machine learning, psychology

Suggested Citation

Cerniglia, Joseph A. and Fabozzi, Frank J. and Kolm, Petter N., Best Practices in Research for Quantitative Equity Strategies (May 31, 2016). The Journal of Portfolio Management Special QES Issue 2016, 42 (5) 135-143; DOI/10.3905/jpm.2016.42.5.135, Available at SSRN: https://ssrn.com/abstract=3513843

Joseph A. Cerniglia (Contact Author)

New York University (NYU) - Courant Institute of Mathematical Sciences ( email )

251 Mercer Street
New York, NY - 10012
United States

University of Pennsylvania - Department of Psychology ( email )

Philadelphia, PA 19104
United States

Frank J. Fabozzi

EDHEC Business School ( email )

France
215 598-8924 (Phone)

Petter N. Kolm

New York University (NYU) - Courant Institute of Mathematical Sciences ( email )

251 Mercer Street
New York, NY 10012
United States

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