What happened to the quants in August 2007? Evidence from factors and transactions data
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 d...
| Main Authors: | , |
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| Other Authors: | , , |
| Format: | Article |
| Language: | English |
| Published: |
Elsevier,
2017-04-19T20:14:31Z.
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| Subjects: | |
| Online Access: | Get fulltext |