Noise Makes Alpha
Google Scholar
***
Berk, J. (2023). Comment on’The Virtue of Complexity in Return Prediction’. Available at SSRN 4410125.
Boguth, O., & Simutin, M. (2018). Leverage constraints and asset prices: Insights from mutual fund risk taking. Journal of Financial Economics, 127(2), 325-341.
Gormsen, N. J., & Lazarus, E. (2023). Duration‐driven returns. The Journal of Finance, 78(3), 1393-1447.
Bryzgalova, S., Pavlova, A., & Sikorskaya, T. (2023). Retail trading in options and the rise of the big three wholesalers. The Journal of Finance, 78(6), 3465-3514.
Thurner, S., Farmer, J. D., & Geanakoplos, J. (2012). Leverage causes fat tails and clustered volatility. Quantitative Finance, 12(5), 695-707.
Asness, C., Frazzini, A., Gormsen, N. J., & Pedersen, L. H. (2020). Betting against correlation: Testing theories of the low-risk effect. Journal of Financial Economics, 135(3), 629-652.
Koijen, R. S., Richmond, R. J., & Yogo, M. (2024). Which investors matter for equity valuations and expected returns?. Review of Economic Studies, 91(4), 2387-2424.
Shleifer, A., & Vishny, R. W. (1997). The limits of arbitrage. The Journal of Finance, 52(1), 35-55.
Axtell, R. L., & Farmer, J. D. (2025). Agent-based modeling in economics and finance: Past, present, and future. Journal of Economic Literature, 63(1), 197-287.
Scholl, M. P., Calinescu, A., & Farmer, J. D. (2021). How market ecology explains market malfunction. Proceedings of the National Academy of Sciences, 118(26), e2015574118.