The DOI matches its Crossref record; 39 of the 39 references it cites were found in a registry or an index.
What happened to the quants in August 2007? Evidence from factors and transactions data
Open accessAbstract
Using the simulated returns of long/short equity portfolios based on five valuation factors, we find evidence that the “Quant Meltdown” of August 2007 began in July and continued until the end of 2007. We simulate a high-frequency marketmaking strategy, which exhibited significant losses during the week of August 6, 2007, but was profitable before and after, suggesting that the dislocation was due to market-wide deleveraging and a sudden withdrawal of marketmaking risk capital starting August 8. We identify two unwinds – one on August 1 starting at 10:45am and ending at 11:30am, and a second at the open on August 6, ending at 1:00pm – that began with stocks in the financial sector, long book-to-market, and short earnings momentum.
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Cites
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Corporate immunity to the COVID-19 pandemic
Ding, W., Levine, R., Lin, C., & Xie, W. (2021) · Journal of Financial Economics · doi:10.1016/j.jfineco.2021.03.005 · Cited by 1,484
Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500
Krauss, C., Do, X. A., & Huck, N. (2017) · European Journal of Operational Research · doi:10.1016/j.ejor.2016.10.031 · Cited by 750
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A Survey of Systemic Risk Analytics
Bisias, D., Flood, M., Lo, A. W., & Valavanis, S. (2012) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-110311-101754 · Cited by 659
Self-citationAllen, F., Kacperczyk, M. T., & Karri, S. S. K. (2026) · doi:10.2139/ssrn.6114866 · Cited by 1
Metadata
- Authors
- Khandani, A. E., & Lo, A. W.
- Venue
- Journal of Financial Markets
- Publisher
- Elsevier BV
- Published
- 2011-02
- Volume
- 14
- Issue
- 1
- Pages
- 1-46
- ISSN
- 1386-4181 (ISSN-L)
- OpenAlex
- W2892056295
- Cited by
- 331
- References
- 39
- FWCI
- 37.61
- Type
- journal article
- Language
- en
- Open access
- bronze
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
