1.
A Quantitative Approach to Tactical Asset Allocation
The Journal of Wealth Management, Spring 2007
Number of pages: 70
Posted: 11 Feb 2007
Last Revised: 03 Mar 2014
Accepted Paper Series
Cambria Investment Management
Downloads
205,127
2.
An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities
2014 Charles H. Dow Award Winner
Number of pages: 16
Posted: 31 Mar 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads
13,522
3.
Pitching Research®
Number of pages: 37
Posted: 04 Jul 2014
Last Revised: 17 Aug 2017
Working Paper Series
University of Queensland
Downloads
12,124
4.
Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin
Number of pages: 8
Posted: 25 Oct 2016
Working Paper Series
Elm Partners and Pimco
Downloads
7,006
5.
Generalized Momentum and Flexible Asset Allocation (FAA): An Heuristic Approach
Number of pages: 19
Posted: 25 Dec 2012
Last Revised: 16 Jan 2015
Working Paper Series
VU University Amsterdam and Flex Capital BV
Downloads
5,975
6.
An Intermarket Approach to Tactical Risk Rotation: Using the Signaling Power of Treasuries to Generate Alpha and Enhance Asset Allocation
2014 Wagner Award, 3rd Place
Number of pages: 18
Posted: 01 May 2014
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads
5,974
7.
Momentum and Markowitz: A Golden Combination
Number of pages: 34
Posted: 16 May 2015
Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads
5,728
8.
Cryptofinance
Number of pages: 141
Posted: 19 May 2014
Last Revised: 16 Jan 2016
Working Paper Series
Duke University - Fuqua School of Business
Downloads
5,158
9.
Profitable Mean Reversion after Large Price Drops: A Story of Day and Night in the S&P 500, 400 Mid Cap and 600 Small Cap Indices
Journal of Asset Management, Vol. 12, 3, 185-202, 2010
Number of pages: 22
Posted: 01 Jun 2013
Last Revised: 27 Nov 2014
Accepted Paper Series
John Moores University - Business School, University of Liverpool - Accounting and Finance Division and Harvest Alpha Capital
Downloads
4,801
10.
Warning: Physics Envy May be Hazardous to Your Wealth!
Number of pages: 73
Posted: 05 Mar 2010
Last Revised: 15 Mar 2010
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology, Center for Theoretical Physics
There are 2 versions of this paper
Warning: Physics Envy May be Hazardous to Your Wealth!
Number of pages: 73
Posted: 05 Mar 2010
Last Revised: 15 Mar 2010
Downloads
4,491
Warning: Physics Envy May Be Hazardous to Your Wealth!
Journal of Investment Management (JOIM), Second Quarter 2010
Posted: 13 Jul 2010
Downloads
4,491
11.
Bitcoin Myths and Facts
Number of pages: 10
Posted: 16 Aug 2014
Last Revised: 20 Nov 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads
4,106
12.
Stress Testing the Banking System: Methodologies and Applications
STRESS TESTING THE BANKING SYSTEM, M. Quagliariello, ed., Cambridge University Press, Forthcoming
Number of pages: 67
Posted: 10 Jan 2009
Last Revised: 01 May 2009
Accepted Paper Series
European Banking Authority
Downloads
3,926
13.
Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks
2015 NAAIM Wagner Award Winner
Number of pages: 18
Posted: 07 Mar 2016
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads
3,888
14.
A Century of Generalized Momentum; From Flexible Asset Allocations (FAA) to Elastic Asset Allocation (EAA)
Number of pages: 32
Posted: 31 Dec 2014
Last Revised: 21 Jan 2015
Working Paper Series
VU University Amsterdam and ReSolve Asset Management
Downloads
3,866
15.
An Improved Moving Average Technical Trading Rule
Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32
Posted: 13 Sep 2011
Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Peloponnese - School of Management and Economics
Downloads
3,834
16.
Markov Representation of the Heath-Jarrow-Morton Model
Number of pages: 13
Posted: 26 Mar 2001
Working Paper Series
Loomis Sayles
Downloads
3,780
17.
Lumber: Worth It's Weight in Gold Offense and Defense in Active Portfolio Management
2015 NAAIM Wagner Award Winner
Number of pages: 18
Posted: 11 May 2015
Last Revised: 03 Mar 2016
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads
3,743
18.
Applied Multidimensional Girsanov Theorem
Number of pages: 18
Posted: 11 Apr 2011
Last Revised: 03 Mar 2015
Working Paper Series
Quant Advisory Ltd
Downloads
3,677
19.
Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits
Number of pages: 24
Posted: 08 Apr 2016
Last Revised: 13 Apr 2016
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads
3,418
20.
A Simple Macroeconomic Model of Bitcoin
Number of pages: 3
Posted: 12 Feb 2014
Working Paper Series
Bitquant Research Laboratories
Downloads
3,391
21.
Analytic Solutions for Optimal Statistical Arbitrage Trading
Number of pages: 16
Posted: 14 Nov 2009
Working Paper Series
ITG Australia Limited
Downloads
3,389
22.
A Resolution to the NPV - IRR Debate?
Number of pages: 22
Posted: 05 Apr 2004
Last Revised: 04 Jan 2010
Working Paper Series
University of Sussex
Downloads
2,745
23.
Optimal Portfolios from Ordering Information
Number of pages: 62
Posted: 25 Dec 2004
Working Paper Series
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Downloads
2,472
24.
Credit-Informed Tactical Asset Allocation
Number of pages: 13
Posted: 26 Jun 2011
Working Paper Series
Capital Context
Downloads
2,449
25.
VIX Option Pricing in a Jump-Diffusion Model
Risk Magazine, pp. 84-89, April 2008
Number of pages: 10
Posted: 01 Jun 2009
Accepted Paper Series
Julius Baer
Downloads
2,254
26.
ANANTA: A Systematic Quantitative FX Trading Strategy
Number of pages: 20
Posted: 02 Apr 2014
Last Revised: 29 May 2014
Working Paper Series
Unaffiliated Authors - Independent
Downloads
2,234
27.
Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less
Number of pages: 37
Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads
2,227
28.
Asymptotic Approximations to CEV and SABR Models
Number of pages: 38
Posted: 25 May 2011
Working Paper Series
Intercontinental Exchange Inc., Quantitative Analytics Group and Illinois Institute of Technology
Downloads
2,196
29.
When You Hedge Discretely: Optimization of Sharpe Ratio for Delta-Hedging Strategy under Discrete Hedging and Transaction Costs
Journal of Investment Strategies, 2013, Vol. 3, No. 1, pp. 19-59
Number of pages: 37
Posted: 19 Jun 2011
Last Revised: 08 Dec 2015
Accepted Paper Series
Julius Baer
Downloads
2,109
30.
Liquidity Risk Theory and Coherent Measures of Risk
Number of pages: 22
Posted: 03 Dec 2007
Working Paper Series
Abaxbank and University of Verona - Department of Economics
Downloads
1,998
31.
Pricing Options on Realized Variance in the Heston Model with Jumps in Returns and Volatility
Journal of Computational Finance, Vol. 11, No. 4, pp. 33-70, 2008
Number of pages: 37
Posted: 21 May 2009
Last Revised: 05 Oct 2010
Accepted Paper Series
Julius Baer
Downloads
1,827
32.
CreditRisk+ by Fast Fourier Transform
YieldCurve, August 2004
Number of pages: 30
Posted: 23 Apr 2008
Last Revised: 19 Dec 2008
Working Paper Series
Universidad Nacional del Litoral
Downloads
1,785
33.
Know Your System! – Turning Data Mining from Bias to Benefit Through System Parameter Permutation
2014 NAAIM Wagner Award Winner
Number of pages: 33
Posted: 30 Apr 2014
Working Paper Series
StatisTrade
Downloads
1,785
34.
Solving SABR in Exact Form and Unifying it with LIBOR Market Model
Number of pages: 41
Posted: 19 Oct 2009
Working Paper Series
affiliation not provided to SSRN
Downloads
1,751
35.
Option Pricing under the Variance Gamma Process
Number of pages: 380
Posted: 08 Jun 2009
Working Paper Series
Merrill Lynch & Co.
Downloads
1,660
36.
Volatility Modelling and Trading
Global Derivatives Workshop Global Derivatives Trading & Risk Management, Budapest, 2016
Number of pages: 164
Posted: 19 Jul 2016
Accepted Paper Series
Julius Baer
Downloads
1,653
37.
A Mean-Variance Capital Asset Pricing Model for Long Short Equity Hedge Fund Portfolios
Number of pages: 28
Posted: 16 Dec 2007
Last Revised: 06 Sep 2011
Working Paper Series
DE Hampton
Downloads
1,649
38.
Happiness, Economics and Public Policy
Institute of Economic Affairs, Research Monograph 62, 2007
Number of pages: 60
Posted: 09 Oct 2007
Accepted Paper Series
affiliation not provided to SSRN and Volterra Consulting
Downloads
1,634
39.
Online Learning in Practice: An Introduction to Statistics Course
Number of pages: 3
Posted: 03 May 2013
Working Paper Series
City University of New York - Department of Business Management and Baruch College, CUNY - Zicklin School of Business
Downloads
1,587
40.
An Analytical Theory of Project Investment: A Comparison with Real Option Theory
Number of pages: 15
Posted: 11 Nov 2002
Working Paper Series
University of Northern British Columbia - School of Business
Downloads
1,580
41.
Momentum, Markowitz, and Smart Beta: A Tactical, Analytical and Practical Look at Modern Portfolio Theory
Number of pages: 21
Posted: 14 Jun 2014
Last Revised: 02 Jan 2015
Working Paper Series
VU University Amsterdam
Downloads
1,530
42.
Deviation Measures in Risk Analysis and Optimization
University of Florida, Department of Industrial & Systems Engineering Working Paper No. 2002-7
Number of pages: 27
Posted: 22 Jan 2003
Working Paper Series
University of Washington - Department of Mathmatics, University of Florida and Stevens Institute of Technology - Department of Mathematical Sciences
Downloads
1,521
43.
Unifying the Bgm and Sabr Models: a Short Ride in Hyperbolic Geometry
Number of pages: 12
Posted: 23 Jan 2006
Working Paper Series
Société Générale - Paris, France
Downloads
1,490
44.
Optimal Trade Sizing in a Game with Favourable Odds: The Stock Market
Number of pages: 4
Posted: 02 Dec 2016
Last Revised: 05 Dec 2016
Working Paper Series
Elm Partners and Citigroup, Inc. - Citigroup Global Markets
Downloads
1,488
45.
An Improved Moving Average Technical Trading Rule II: Can We Obtain Performance Improvements with Short Sales?
Quantf Research Working Paper Series No. WP02/2014
Number of pages: 45
Posted: 14 Nov 2011
Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Peloponnese - School of Management and Economics
Downloads
1,447
46.
Return Chasing and Trend Following: Superficial Similarities Mask Fundamental Differences
Number of pages: 12
Posted: 21 Jan 2016
Last Revised: 30 Jan 2016
Working Paper Series
Elm Partners and Elm Partners
Downloads
1,437
47.
Tactical MPT and Momentum: The Modern Asset Allocation (MAA)
Number of pages: 47
Posted: 31 Dec 2013
Working Paper Series
VU University Amsterdam and Flex Capital BV
Downloads
1,410
48.
A Primer and Frequently Asked Questions for 'Surprised by the Gamblers and Hot Hand Fallacies? A Truth in the Law of Small Numbers' (Miller and Sanjurjo 2015)
Number of pages: 41
Posted: 05 Feb 2016
Last Revised: 09 Feb 2016
Working Paper Series
University of Alicante - Department of Economics and Universidad de Alicante - Departamento de Fundamentos del Análisis Económico
Downloads
1,357
49.
Doing Quantitative Field Research in Management Accounting
Number of pages: 47
Posted: 02 Nov 2005
Working Paper Series
University of California, Davis - Graduate School of Management and Clemson University
Downloads
1,324
50.
Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans
EFA 2002 Berlin Meetings Presented Paper
Number of pages: 45
Posted: 27 Feb 2002
Working Paper Series
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and Copenhagen Business School - Department of Finance
Downloads
1,319
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