1 December 2008
Dear Colleagues,
In the past decade, an increasing number of researchers from mathematicsand physical sciences have been contributing together with their peersfrom economics and social sciences to the rapidly growing field ofquantitative finance. This field, whose creation was marked by suchimportant breakthroughs as the Modern Portfolio Theory of Markowitz,Capital Asset Pricing Model of Sharpe, Lintner, Mossin and Treynor, andOption Pricing Theory of Black, Scholes and Merton, has always relied onthe power of mathematical tools and methods to discover and describe themechanisms behind the workings of financial markets. This reliance hascontinued to grow with the complexity of the problems considered, andhas led to many fruitful examples of cross-pollination of the ideasbetween the fields. The rapid growth of the financial industry hasbrought together many researchers with diverse scientific backgroundswho now work in banks, investment management, insurance and othercompanies which rely on innovation for the growth of their business. Inacademia as well, we have seen a growing number of cross-disciplinaryefforts, from joint seminars and symposia to cross-departmental programssuch as those offering the increasingly popular financial engineeringdegrees.
To further promote this convergence of ideas and stimulate the dialoguebetween disciplines as well as between the academics and practitioners,we announce the formation of the new Quantitative Finance (q-fin)archive.
If you and your colleagues have active interest in quantitative finance,we urge you to subscribe to the archive and submit (p)reprints to it.Both theoretical contributions and those related to practicalapplications are welcome, and subscription is freely accessible over theinternet to all members of the scientific community. Instructions forregistration, submission and subscription to the archive can be found athttp://arxiv.org/help/registerhelp,https://info.arxiv.org/help/submit, andhttp://arxiv.org/help/subscribe.
The q-fin archive has grown out of a well-established series of e-printarchives accessible at http://arxiv.org/. The number offinance-related submissions to these archives has risen steadily overthe last several years. Unfortunately, these submissions are currentlyscattered across a number of sub-archives (including physics, cond-mat,nonlinear science, math, etc.), reflecting mostly the "home field" ofthe contributors rather than the subject matters of their submissions.At the same time, well- established electronic repositories within thesocial sciences field, such as SSRN, RepEc/IDEAS and others, whilecontaining a wealth of articles on quantitative finance, do notgenerally offer as detailed a coverage and classification to this fieldas its practical prominence and throughput of new papers would suggest.As a result, while the existing repositories attract many academiccontributions, only a subset of practitioners tends to submit their workto these sites. On the other hand, a handful of sites well-known amongstpractitioners, such as defaultrisk.com, wilmott.com, and others haveeither been narrowly targeted at the particular subset of quantitativefinance or have not attracted many academic contributors.
Many colleagues have expressed the desire to have a centralized archivewith clear and concise content classification to share their latestresults, and to learn about related findings by others in this field. Webelieve that both the organizational structure of arXiv.org, as well asits functional flexibility and robustness, make it a natural fit for theimproved and extended repository of quantitative finance papers on theinternet that would be open to and actively used by researchers from allacademic backgrounds and from industry alike.
The new q-fin archive is organized mainly according to differentapplications of methodologies within quantitative finance, broken outinto four main such applications - valuation, risk management, portfoliomanagement and trading. We have also included two separate categoriesdedicated to the development of statistical and computationalmethodologies since these methods often have significant importance bythemselves, and can have multiple applications in different areas.Finally we have included a category for general methods which will serveas an outlet for those contributions that do not easily fit in the othercategories.
The list below outlines the initial sub-categories and gives a briefdescription of the types of contributions expected to be found in eachsub-category:
- q-fin.PR - Pricing of Securities
Models for pricing, hedging and relative valuation of traded securities, their derivatives, and structured products. - q-fin.RM - Risk Management
Methodologies for measuring and managing financial risks in trading, banking, insurance, corporate and other applications. - q-fin.PM - Portfolio Management
Models for portfolio selection and optimization, capital allocation and investment strategies. - q-fin.TR - Trading and Microstructure
Market Models of market microstructure, liquidity, exchange and auction design, automated (electronic) trading, agent-based modeling and market-making. - q-fin.ST - Statistical Finance
Statistical, econometric and econophysics analyses with applications to financial markets and economic data. - q-fin.CP - Computational Finance
Development of computational methods and their applications to financial markets, including Monte Carlo, PDE, lattice and other analytical and numerical methods. - q-fin.GN - General Finance
Development of general quantitative methodologies with applications in financial markets and economics.
All submissions are required to choose a primary category, with theoption for one or more secondary categories. Subscribers of the archivewill receive by e-mail the title/abstracts of all submissions in theirchosen categories on a regular basis.
A large number of finance-related submissions to the arXiv.org e-Print archives during the past decade have already been identified and re-classified according to the above scheme. We thank Pierre-Alain Reigneron (CFM) for helping with this task. These earlier submissions will be accessible at http://arxiv.org/archive/q-fin along with new Quantitative Finance submissions.
To further improve the flow of information within the quantitativefinance community, the preprints posted in the q-fin archive will beeligible for direct online submission for publication in the followingprint journals:
- Quantitative Finance
- Journal of Derivatives
- International Journal of Theoretical and Applied Finance
- Journal of Risk
- Journal of Credit Risk
- Journal of Risk Model Validation
- Journal of Operational Risk
- Journal of Computational Finance
- Journal of Energy Markets
We express our gratitude to the editorial management of these journalsfor their support and collaboration. The q-fin advisory committee willalso work with other publishers to make similar submissions availablefor more journals in the future.
Please note that the current list of categories is a compromise betweenthe large number of active subject matters in quantitative finance andthe areas where the e-print archives have received significantcontributions during the past several years. The subject list will beupdated as the major active areas develop in time. This continuousstructuring of the archive is overseen by an advisory committee. Itconsists of a number of well-known researchers representing bothacademic institutions and the financial industry. A number of dedicatedvolunteers will serve as "moderators" for each category listed athttp://arxiv.org/help/q-fin. If you have suggestions toimprove the q-fin archive, please contact the coordinators by e-mail.
Arthur M. Berd and Jean-Philippe Bouchaud
q-fin coordinators
