1.
A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm
Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Number of pages: 34
Posted: 22 Sep 2011
Last Revised: 27 Oct 2013
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering and University of California, Irvine
Downloads
3,944
2.
Focused Concept Miner (FCM): Interpretable Deep Learning for Text Exploration
Number of pages: 42
Posted: 08 Jul 2019
Last Revised: 01 Oct 2019
Working Paper Series
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University, Students and Carnegie Mellon University - David A. Tepper School of Business
Downloads
3,891
3.
The Four Horsemen of Machine Learning in Finance
Number of pages: 24
Posted: 24 Sep 2019
Working Paper Series
Illinois Institute of Technology and New York University (NYU) - NYU Tandon School of Engineering
Downloads
1,515
4.
Deep Learning in Asset Pricing
Number of pages: 92
Posted: 04 Apr 2019
Last Revised: 06 Dec 2019
Working Paper Series
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads
1,320
5.
LexNLP: Natural Language Processing and Information Extraction For Legal and Regulatory Texts
Number of pages: 7
Posted: 21 Jun 2018
Working Paper Series
Bommarito Consulting, LLC, Illinois Tech - Chicago Kent College of Law and LexPredict, LLC
Downloads
1,272
6.
Bond Risk Premia with Machine Learning
WBS Finance Group Research Paper No. 252
Number of pages: 82
Posted: 26 Aug 2018
Last Revised: 26 Dec 2019
Working Paper Series
School of Economics and Finance, Queen Mary University of London, University of Warwick - Finance Group and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
There are 2 versions of this paper
Bond Risk Premia with Machine Learning
WBS Finance Group Research Paper No. 252
Number of pages: 82
Posted: 26 Aug 2018
Last Revised: 26 Dec 2019
Downloads
1,245
Bond Risk Premia with Machine Learning
USC-INET Research Paper No. 19-11, April 2019
Number of pages: 96
Posted: 15 Jun 2019
Last Revised: 23 Jun 2019
Downloads
199
Downloads
1,245
7.
Portfolio Oversight: An Evolutionary Approach
Number of pages: 50
Posted: 08 Nov 2012
Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads
1,148
8.
Stock Return Prediction and Anomaly Detection by Regression Trees
Number of pages: 79
Posted: 14 Sep 2011
Working Paper Series
affiliation not provided to SSRN
Downloads
893
9.
Machine Learning in Energy Economics and Finance: A Review
Energy Economics, Vol. 81, 2019
Number of pages: 71
Posted: 15 Nov 2018
Last Revised: 08 Jun 2019
Accepted Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, School of Business and Tehran Institute for Advanced Studies (TeIAS), Khatam University
Downloads
876
10.
The Behavioral Aspect of Mergers and Acquisitions: A Case Study from India
Global Journal of Business Research, Vol. 6, No. 3, pp. 103-113, 2012
Number of pages: 11
Posted: 05 Jan 2012
Accepted Paper Series
Meghnad Saha Institute of Technology, Vishweshwarayya National Institute of Technology, affiliation not provided to SSRN and Meghnad Saha Institute of Technology
Downloads
832
11.
A High Frequency Trade Execution Model for Supervised Learning
Forthcoming in High Frequency
Number of pages: 27
Posted: 15 Nov 2016
Last Revised: 06 Dec 2017
Accepted Paper Series
Illinois Institute of Technology
Downloads
817
12.
Patent Citations and Stock Performance: Constructing a Dynamic Industry Classification
Number of pages: 46
Posted: 17 Sep 2014
Last Revised: 11 Sep 2015
Working Paper Series
The University of Chicago and University of Chicago
Downloads
705
13.
Consumers’ Attitudes Toward Medical Tourism
Number of pages: 44
Posted: 12 May 2011
Working Paper Series
University of North Carolina at Pembroke and University of North Carolina (UNC) at Pembroke - Medical Tourism Research Center
Downloads
703
14.
The Correlation Structure of Anomaly Strategies
Number of pages: 97
Posted: 19 Jul 2017
Last Revised: 22 Dec 2019
Working Paper Series
University of Auckland - Department of Accounting and Finance and University of Auckland - Department of Accounting and Finance
Downloads
696
15.
The Global Entrepreneurship and Development Index Methodology
Number of pages: 30
Posted: 05 Jun 2011
Last Revised: 14 Jun 2011
Working Paper Series
University of Pécs and Schar School of Policy and Government
Downloads
691
16.
Predicting Earnings Surprises
Number of pages: 126
Posted: 17 Jul 2019
Last Revised: 21 Jul 2019
Working Paper Series
FirmAI, UoA, NYU FRE
Downloads
607
17.
Prediction of Financial Strength Ratings Using Machine Learning and Conventional Techniques
Abdou, H. A., Abdallah, W. M., Mulkeen, J., Ntim, C. G., & Wang, Y. (2017) ‘Prediction of financial strength ratings using machine learning and conventional techniques’, Investment Management and Financial Innovation, 14(4), pp. 194-211, (Accepted 20th December, 2017),
Number of pages: 32
Posted: 19 Jan 2018
Accepted Paper Series
The Lancashire School of Business & Enterprise, Misr International University (MIU), University of Salford - Business School, University of Southampton Business School, UK and Leicester Business School, De Montfort University
Downloads
556
18.
Governance Regulatory Changes, IFRS Adoption, and New Zealand Audit and Non-Audit Fees: Empirical Evidence
Number of pages: 39
Posted: 15 Feb 2008
Last Revised: 11 Jan 2009
Working Paper Series
University of California, Davis - Graduate School of Management, University of Otago - Department of Accountancy and Finance and Boston University - Questrom School of Business
Downloads
533
19.
Machine Learning at Central Banks
Bank of England Working Paper No. 674
Number of pages: 89
Posted: 06 Sep 2017
Working Paper Series
Bank of England and Bank of England
Downloads
522
20.
Less Income Inequality and More Growth – Are They Compatible?: Part 1: Mapping Income Inequality Across the OECD
OECD Working Paper No. 924
Number of pages: 45
Posted: 04 Mar 2012
Working Paper Series
Organization for Economic Co-Operation and Development (OECD), Organization for Economic Co-Operation and Development (OECD) - Economics Department (ECO), Organization for Economic Co-Operation and Development (OECD) - Economics Department (ECO) and OECD
Downloads
514
21.
Evaluación Del Impacto De La Política De Incentivos Sectoriales En El Desarrollo De Los Municipios Mineros De Castilla Y León (Evaluation of the Impact of Aids Sectorial Policy in the Development of the Mining Region of Castilla y León)
Journal of Economics, Finance & Administrative Science, Vol. 17, No. 33, 2012
Number of pages: 16
Posted: 05 Dec 2012
Accepted Paper Series
Universidad Rey Juan Carlos - Department of Applied Economics
Downloads
479
22.
Disappearing Paradigms in Shareholder Protection: Leximetric Evidence for 30 Countries, 1990-2013
Journal of Corporate Law Studies vol. 15 (2015), pp. 127-160
Number of pages: 57
Posted: 18 Mar 2015
Last Revised: 09 Nov 2015
Accepted Paper Series
King's College London – The Dickson Poon School of Law and European University Institute (EUI)
Downloads
473
23.
Understanding Systematic Risk: A High-Frequency Approach
Journal of Finance, Forthcoming
Number of pages: 101
Posted: 24 Aug 2015
Last Revised: 16 May 2019
Accepted Paper Series
Stanford University - Management Science & Engineering
Downloads
446
24.
Positional Portfolio Management
Swiss Finance Institute Research Paper No. 14-20
Number of pages: 83
Posted: 07 Mar 2014
Last Revised: 12 Dec 2018
Working Paper Series
University of Lugano, University of Toronto - Department of Economics and University of Bristol
Downloads
421
25.
Business Cycle Clustering and Asset Returns
Number of pages: 18
Posted: 28 Aug 2018
Working Paper Series
Independent and Swiss Institute of Banking and Finance
Downloads
413
26.
What is the Relation (If Any) between a Firm's Corporate Governance Arrangements and its Financial Performance?
CESifo Working Paper Series No. 4599
Number of pages: 25
Posted: 12 Feb 2014
Working Paper Series
University of Groningen - Faculty of Economics and Business and University of Groningen - Faculty of Economics and Business
There are 2 versions of this paper
What is the Relation (If Any) between a Firm's Corporate Governance Arrangements and its Financial Performance?
CESifo Working Paper Series No. 4599
Number of pages: 25
Posted: 12 Feb 2014
Downloads
413
What is the Relation (If Any) between a Firm's Corporate Governance Arrangements and Its Financial Performance?
Multinational Finance Journal, Vol. 20, No. 4, p. 323-354, 2016
Number of pages: 32
Posted: 11 Jul 2017
Downloads
126
Downloads
413
27.
The Biases Influencing an Investor's Behavior in India
Number of pages: 54
Posted: 02 Jul 2016
Working Paper Series
Symbiosis International University, School of Economics, Students
Downloads
361
28.
Forecasting Stock Returns with Large Dimensional Factor Models
Number of pages: 46
Posted: 26 Apr 2017
Last Revised: 02 Apr 2018
Working Paper Series
University of Rome Tor Vergata, King's College London and Department of Economics, Lancaster University Management School
Downloads
332
29.
In a Low Yield Environment, What's the Alternative to Traditional Fixed Income Assets?
I-VW-HSG Trendmonitor 3-2017
Number of pages: 2
Posted: 14 Sep 2017
Accepted Paper Series
Zurich Insurance Company Ltd
Downloads
332
30.
Sparse Macro Factors
Number of pages: 49
Posted: 25 Oct 2018
Last Revised: 02 Feb 2019
Working Paper Series
Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads
332
31.
Inference in Group Factor Models with an Application to Mixed Frequency Data
Swiss Finance Institute Research Paper No. 16-11
Number of pages: 48
Posted: 13 Feb 2016
Last Revised: 02 Feb 2019
Working Paper Series
University of Cyprus - Department of Economics, University of Lugano, University of North Carolina Kenan-Flagler Business School and University of Bristol
There are 2 versions of this paper
Inference in Group Factor Models with an Application to Mixed Frequency Data
Swiss Finance Institute Research Paper No. 16-11
Number of pages: 48
Posted: 13 Feb 2016
Last Revised: 02 Feb 2019
Downloads
324
Is Industrial Production Still the Dominant Factor for the US Economy?
CEPR Discussion Paper No. DP12219
Number of pages: 87
Posted: 15 Aug 2017
Downloads
1
Downloads
324
32.
OpenEDGAR: Open Source Software for SEC EDGAR Analysis
Number of pages: 12
Posted: 27 Jun 2018
Working Paper Series
Bommarito Consulting, LLC, Illinois Tech - Chicago Kent College of Law and LexPredict, LLC
Downloads
324
33.
Estimating Latent Asset-Pricing Factors
Number of pages: 45
Posted: 21 May 2018
Last Revised: 13 Jan 2020
Working Paper Series
University of California - Haas School of Business and Stanford University - Management Science & Engineering
There are 3 versions of this paper
Estimating Latent Asset-Pricing Factors
Number of pages: 45
Posted: 21 May 2018
Last Revised: 13 Jan 2020
Downloads
322
Estimating Latent Asset-Pricing Factors
NBER Working Paper No. w24618
Number of pages: 44
Posted: 25 May 2018
Downloads
12
Estimating Latent Asset-Pricing Factors
CEPR Discussion Paper No. DP12926
Number of pages: 46
Posted: 15 May 2018
Last Revised: 11 Jun 2018
Downloads
1
Downloads
322
34.
Large-Dimensional Factor Modeling Based on High-Frequency Observations
Number of pages: 125
Posted: 25 Mar 2015
Last Revised: 12 May 2018
Working Paper Series
Stanford University - Management Science & Engineering
Downloads
317
35.
A Faster Estimation Method for the Probability of Informed Trading Using Hierarchical Agglomerative Clustering
Forthcoming in Quantitative Finance
Number of pages: 33
Posted: 05 Dec 2013
Last Revised: 17 Feb 2015
Accepted Paper Series
The University of Sydney - Discipline of Finance, University of Queensland - Faculty of Business, Economics and Law and University of Sydney Business School
Downloads
311
36.
Fighting Accounting Fraud Through Forensic Data Analytics
Number of pages: 39
Posted: 22 May 2018
Working Paper Series
University of Sydney Business School and University of Sydney
Downloads
310
37.
Predicting Corporate Bankruptcies
Number of pages: 104
Posted: 18 Jul 2019
Working Paper Series
FirmAI, UoA, NYU FRE
Downloads
302
38.
Identifying Latent Structures in Panel Data
Number of pages: 75
Posted: 13 Jun 2014
Last Revised: 30 Jun 2016
Working Paper Series
Singapore Management University, Department of Economics, the Chinese University of Hong Kong and Yale University - Cowles Foundation
Downloads
294
39.
A Shadow Policy Rate to Calibrate US Monetary Policy at the Zero Lower Bound
BIS Working Paper No. 452
Number of pages: 28
Posted: 24 Jun 2014
Working Paper Series
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads
288
40.
It Only Takes a Few Moments to Hedge
Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 40
Posted: 14 Dec 2017
Last Revised: 01 Dec 2018
Accepted Paper Series
Nordea Bank, Aarhus University - CREATES and Danske Bank - Danske Markets
Downloads
283
41.
Financial Crisis Prediction: A Model Comparison
Number of pages: 9
Posted: 01 Dec 2017
Working Paper Series
Deutsche Bundesbank
Downloads
262
42.
Machine Valuation
Number of pages: 56
Posted: 07 Sep 2019
Working Paper Series
University of Auckland - Department of Accounting and Finance and University of Auckland - Department of Accounting and Finance
Downloads
257
43.
The Merit of High-Frequency Data in Portfolio Allocation
Number of pages: 43
Posted: 12 Sep 2011
Working Paper Series
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin and University of Cambridge - Faculty of Economics
Downloads
256
44.
Agro and Food Processing Industry in India: Status, Opportunities & Challenges
Number of pages: 8
Posted: 25 Sep 2015
Working Paper Series
Savitribai Phule Pune University (SPPU), Ashoka Center For Business & Computer Studies (ACBCS) and Sandip University
Downloads
254
45.
Trade Patterns and Trade Clusters: China, India, Brazil and South Africa in the Global Trading System
Number of pages: 31
Posted: 02 Feb 2012
Working Paper Series
Sapienza University of Rome (Italy) and University of Rome III - Department of Economics
Downloads
242
46.
Heterogeneous Structural Breaks in Panel Data Models
Number of pages: 53
Posted: 08 Sep 2017
Last Revised: 11 Oct 2019
Working Paper Series
Seoul National University and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads
240
47.
Wavelet Improvement in Turning Point Detection Using a Hidden Markov Model
NHH Dept. of Business and Management Science Discussion Paper No. 2014/10
Number of pages: 23
Posted: 27 Mar 2014
Working Paper Series
Norwegian School of Economics (NHH) - Department of Business and Management Science and Lund University - Department of Economics
Downloads
239
48.
Lee and Carter go Machine Learning: Recurrent Neural Networks
Number of pages: 30
Posted: 23 Aug 2019
Last Revised: 29 Aug 2019
Working Paper Series
QED Actuaries and Consultants and RiskLab, ETH Zurich
Downloads
232
49.
Spillovers in Space and Time: Where Spatial Econometrics and Global VAR Models Meet
ECB Working Paper No. 2134, ISBN: 978-92-899-3239-4
Number of pages: 37
Posted: 06 Mar 2018
Working Paper Series
University of Groningen - Faculty of Economics and Business, International Monetary Fund (IMF) and World Bank
Downloads
232
50.
What Lies Beneath? A Time-Varying FAVAR Model for the UK Transmission Mechanism
ECB Working Paper No. 1320
Number of pages: 50
Posted: 11 Apr 2011
Working Paper Series
University of London - School of Sciences, International Monetary Fund MCMMP and University of Birmingham - Department of Economics
There are 2 versions of this paper
What Lies Beneath? A Time-Varying FAVAR Model for the UK Transmission Mechanism
ECB Working Paper No. 1320
Number of pages: 50
Posted: 11 Apr 2011
Downloads
232
What Lies Beneath? A Time‐Varying Favar Model for the UK Transmission Mechanism
The Economic Journal, Vol. 124, Issue 576, pp. 668-699, 2014
Number of pages: 32
Posted: 23 May 2014
Downloads
1
Downloads
232
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