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
219,568
2.
Relative Strength Strategies for Investing
Number of pages: 22
Posted: 06 Apr 2010
Last Revised: 20 Apr 2010
Working Paper Series
Cambria Investment Management
Downloads
65,871
3.
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
14,067
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 Royal Bridge Capital
Downloads
7,793
5.
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
6,167
6.
Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks
2016 Charles H. Dow Award
Number of pages: 18
Posted: 07 Mar 2016
Working Paper Series
Pension Partners, LLC and Pension Partners, LLC
Downloads
5,570
7.
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
5,212
8.
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
4,394
9.
Financial Econometrics
International Library of Financial Econometrics, Forthcoming
Number of pages: 31
Posted: 14 Jun 2007
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads
4,267
10.
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, Economics and Informatics
Downloads
4,029
11.
Forecasting Volatility in Financial Markets: A Review (Revised Edition)
Number of pages: 80
Posted: 04 Dec 2002
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
There are 2 versions of this paper
Forecasting Volatility in Financial Markets: A Review (Revised Edition)
Number of pages: 80
Posted: 04 Dec 2002
Downloads
3,992
Forecasting Volatility in Financial Markets: A Review (Revised Edition)
Journal of Economic Literature, Forthcoming
Posted: 04 Dec 2002
Downloads
3,992
12.
Forecasting Financial Market Volatility: A Review
Number of pages: 43
Posted: 15 Jun 2001
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Downloads
3,638
13.
Facts and Fantasies About Factor Investing
Number of pages: 112
Posted: 16 Nov 2014
Last Revised: 28 Nov 2014
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads
3,109
14.
Paired-Switching for Tactical Portfolio Allocation
Number of pages: 4
Posted: 26 Aug 2011
Last Revised: 21 Sep 2011
Working Paper Series
Independent and Trace3
Downloads
3,005
15.
A Simple Long Memory Model of Realized Volatility
Number of pages: 27
Posted: 07 Dec 2004
Working Paper Series
University of Pisa - Department of Economics
Downloads
2,647
16.
ANANTA: A Systematic Quantitative FX Trading Strategy
Number of pages: 20
Posted: 02 Apr 2014
Last Revised: 29 May 2014
Working Paper Series
Independent
Downloads
2,413
17.
Forecasting Volatility in European Stock Markets with Non-Linear GARCH Models
FEEM Working Paper No. 98.2002
Number of pages: 40
Posted: 22 Nov 2002
Working Paper Series
University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS) and Università degli Studi di Milano-Bicocca - Department of Business Administration, Finance, Management and Law
Downloads
2,351
18.
Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy
Number of pages: 24
Posted: 27 Jun 2007
Working Paper Series
Deutsche Bank, Fixed Income Research and UBS Global Asset Management
Downloads
2,228
19.
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
2,047
20.
Economic Policy Analysis in Zimbabwe: A Review of Zimbabwe Economic Policies: Special Reference to Zimbabwe Agenda for Sustainable Socio-Economic Transformation (Zim Asset)
Number of pages: 19
Posted: 26 Jan 2014
Working Paper Series
Independent
Downloads
2,041
21.
Why Markets Are Inefficient: A Gambling ‘Theory’ of Financial Markets for Practitioners and Theorists
Number of pages: 30
Posted: 03 Mar 2017
Last Revised: 31 Aug 2017
Working Paper Series
Stuart School of Business, Illinois Institute of Technology
Downloads
1,907
22.
A Primer on Alternative Risk Premia
Number of pages: 123
Posted: 04 May 2016
Last Revised: 26 Jun 2016
Working Paper Series
Lyxor Asset Management, Lyxor Asset Management, Amundi Asset Management and Ecole Polytechnique
Downloads
1,714
23.
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
1,603
24.
Momentum and Trend Following Trading Strategies for Currencies Revisited - Combining Academia and Industry
Number of pages: 22
Posted: 11 Apr 2017
Last Revised: 11 Jan 2019
Working Paper Series
Zurich University of Applied Sciences, Zurich University of Applied Sciences and Zurich University of Applied Sciences
Downloads
1,593
25.
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
1,579
26.
Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies
Number of pages: 102
Posted: 09 Oct 2017
Working Paper Series
Ecole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Capital Fund Management
Downloads
1,578
27.
Tactical Asset Allocation on Market Neutral Hedge Fund
Number of pages: 51
Posted: 24 Apr 2009
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads
1,538
28.
Foreign Direct Investment and Stock Market Development: Ghana's Evidence
International Research Journal of Finance and Economics, Vol. 26, pp. 178-185, 2009
Number of pages: 12
Posted: 26 Oct 2008
Last Revised: 07 Apr 2009
Accepted Paper Series
University of Cape Coast - School of Business and University of Leicester - School of Management
Downloads
1,513
29.
Statistical Arbitrage and High-Frequency Data with an Application to Eurostoxx 50 Equities
Number of pages: 31
Posted: 01 Jun 2013
Last Revised: 03 Jun 2013
Working Paper Series
Harvest Alpha Capital, John Moores University - Business School, University of Liverpool - Management School (ULMS) and University of Liverpool - Accounting and Finance Division
Downloads
1,488
30.
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, Economics and Informatics
Downloads
1,486
31.
Dragon-Kings, Black Swans and the Prediction of Crises
Swiss Finance Institute Research Paper No. 09-36
Number of pages: 21
Posted: 08 Sep 2009
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
There are 2 versions of this paper
Dragon-Kings, Black Swans and the Prediction of Crises
Swiss Finance Institute Research Paper No. 09-36
Number of pages: 21
Posted: 08 Sep 2009
Downloads
1,420
Dragon-Kings, Black Swans and the Prediction of Crises
CCSS Working Paper No. CCSS-09-005
Number of pages: 20
Posted: 01 May 2010
Downloads
284
Downloads
1,420
32.
The Term Structure of Real Rates and Expected Inflation
EFA 2004 Maastricht Meetings Paper No. 1220; AFA 2004 San Diego Meetings
Number of pages: 64
Posted: 16 Jul 2003
Working Paper Series
Columbia Business School - Finance and Economics and BlackRock, Inc
There are 3 versions of this paper
The Term Structure of Real Rates and Expected Inflation
EFA 2004 Maastricht Meetings Paper No. 1220; AFA 2004 San Diego Meetings
Number of pages: 64
Posted: 16 Jul 2003
Downloads
1,410
The Term Structure of Real Rates and Expected Inflation
NBER Working Paper No. w12930
Number of pages: 68
Posted: 24 Feb 2007
Last Revised: 03 Nov 2010
Downloads
351
The Term Structure of Real Rates and Expected Inflation
CEPR Discussion Paper No. 4518
Number of pages: 67
Posted: 14 Sep 2004
Downloads
22
Downloads
1,410
33.
Why Most Published Results on Unit Root and Cointegration are False
Number of pages: 14
Posted: 10 Jul 2015
Last Revised: 02 Jan 2016
Working Paper Series
Algoma University and Algoma University
Downloads
1,270
34.
Identifying Bull and Bear Markets in Stock Returns
Number of pages: 13
Posted: 19 Feb 1999
Working Paper Series
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
There are 2 versions of this paper
Identifying Bull and Bear Markets in Stock Returns
Number of pages: 13
Posted: 19 Feb 1999
Downloads
1,181
Identifying Bull and Bear Markets in Stock Returns
Journal of Business & Economic Statistics, Vol. 18, No. 1, January 2000
Posted: 03 Jun 2002
Downloads
1,181
35.
The Effect of Endogenous Right-to-Work Laws on Business and Economic Conditions in the United States: A Multivariate Approach
Review of Law and Economics, Vol. 5, No. 1, pp. 595-614, 2009
Number of pages: 20
Posted: 07 Nov 2007
Last Revised: 23 Feb 2011
Accepted Paper Series
Hofstra University - Frank G. Zarb School of Business
Downloads
1,125
36.
What's Past is Not Prologue
Number of pages: 5
Posted: 08 Aug 2018
Working Paper Series
Elm Partners, Elm Partners and Elm Partners
Downloads
1,115
37.
Mean Reversion Based on Autocorrelation: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs
ETF Risk, 2013, October, 36-41
Number of pages: 24
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
1,026
38.
The Impact of the Adoption of International Financial Reporting Standards on the Quality of Accounting Information of the Brazilian and European Public Firms
Number of pages: 16
Posted: 28 May 2013
Last Revised: 19 Jun 2013
Working Paper Series
Federal University of Paraiba, Federal University of Paraiba (UFPB), University of Roehampton and University of Roehampton - Social Sciences
Downloads
1,014
39.
Stress Testing for Cyber Risks: Cyber Risk Insurance Modeling beyond Value-at-Risk (VaR): Risk, Uncertainty, and, Profit for the Cyber Era
National Association of Insurance Commissioners (NAIC) Expert Paper: Advancing Cyber Risk Insurance Underwriting Model Risk Management beyond VaR to Pre-Empt and Prevent the Forthcoming Global Cyber Insurance Crisis (June 24, 2017)
Number of pages: 189
Posted: 23 Jan 2015
Last Revised: 12 Dec 2017
Accepted Paper Series
Global Risk Management Network, LLC
Downloads
999
40.
The Statistical Properties of the Maximum Drawdown in Financial Time Series
Number of pages: 10
Posted: 02 May 2012
Last Revised: 15 May 2013
Working Paper Series
Antares Technologies and Antares Technologies
Downloads
940
41.
A Sharper Lens for Sizing Up Nickels and Steamrollers
Number of pages: 3
Posted: 23 Nov 2016
Last Revised: 08 Aug 2018
Working Paper Series
Elm Partners and Elm Partners
Downloads
913
42.
The Impact of Trades on Daily Volatility
AFA 2005 Philadelphia Meetings
Number of pages: 46
Posted: 21 Mar 2004
Working Paper Series
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne
There are 3 versions of this paper
The Impact of Trades on Daily Volatility
AFA 2005 Philadelphia Meetings
Number of pages: 46
Posted: 21 Mar 2004
Downloads
867
The Impact of Trades on Daily Volatility
Review of Financial Studies, Forthcoming
Posted: 12 Aug 2005
The Impact of Trades on Daily Volatility
The Review of Financial Studies, Vol. 19, Issue 4, pp. 1241-1277, 2006
Posted: 29 Feb 2008
Downloads
867
43.
Keep Up the Momentum
Number of pages: 16
Posted: 09 Jan 2018
Working Paper Series
Amundi Asset Management
Downloads
858
44.
An Econometric Model of the Brazilian Stock Market
Number of pages: 16
Posted: 20 Apr 2005
Working Paper Series
University of Brasilia
Downloads
855
45.
Forecasting Housing Prices with Google Econometrics
GMU School of Public Policy Research Paper No. 2009-10
Number of pages: 38
Posted: 25 Jul 2009
Last Revised: 25 May 2015
Working Paper Series
Schar School of Policy & Government, Schar School of Policy and Government, George Mason University, George Mason University - School of Policy, Government, and International Affairs and Erasmus University Rotterdam (EUR) - Department of Economics
Downloads
850
46.
What Our Market Return Forecasts Really Mean: Convexity in Equity Returns and its Implications for Investment Sizing
Number of pages: 8
Posted: 10 Feb 2017
Last Revised: 13 Feb 2017
Working Paper Series
Elm Partners and Elm Partners
Downloads
850
47.
Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia
Number of pages: 48
Posted: 23 Sep 2016
Working Paper Series
Lyxor Asset Management, Lyxor Asset Management and Amundi Asset Management
Downloads
845
48.
Fixing the VIX: An Indicator to Beat Fear
Journal of Technical Analysis, Forthcoming
Number of pages: 9
Posted: 17 Mar 2015
Last Revised: 19 Mar 2015
Accepted Paper Series
Independent
Downloads
844
49.
Quantitative Tactical Asset Allocation Using Ensemble Machine Learning Methods
Number of pages: 8
Posted: 27 May 2014
Last Revised: 07 Dec 2015
Working Paper Series
Independent
Downloads
827
50.
When (If Ever) Has it Paid to Wait for a Stock Market Correction?
Number of pages: 3
Posted: 26 Sep 2017
Last Revised: 26 Sep 2017
Working Paper Series
Elm Partners and Elm Partners
Downloads
804
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