Search Results
JEL Code: C50

651,950 Total downloads

Viewing: 1 - 50 of 905 papers

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 253,617
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 75,113
3.

Leverage for the Long Run - A Systematic Approach to Managing Risk and Magnifying Returns in Stocks

2016 Charles H. Dow Award Updated Through December 31, 2020
Number of pages: 24 Posted: 07 Mar 2016 Last Revised: 09 Feb 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 22,930
4.

Lumber: Worth Its Weight in Gold Offense and Defense in Active Portfolio Management

2015 NAAIM Founders Award Winner Updated Through November 30, 2020
Number of pages: 20 Posted: 11 May 2015 Last Revised: 14 Feb 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 21,451
5.

An Intermarket Approach to Beta Rotation: The Strategy, Signal, and Power of Utilities

2014 Charles H. Dow Award Winner Updated Through October 31, 2020
Number of pages: 18 Posted: 31 Mar 2014 Last Revised: 11 Jan 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 19,636
6.

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 11,506
7.

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 Updated Through November 30, 2020
Number of pages: 21 Posted: 01 May 2014 Last Revised: 20 Jan 2021
Working Paper Series
Lead-Lag Publishing, LLC
Downloads 8,724
8.

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 6,856
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) - Laboratory for Financial Engineering
Downloads 4,630
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 Athens, Department of Business Administration
Downloads 4,500
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 Alliance Manchester Business School, University of Manchester

Multiple version iconThere are 2 versions of this paper

Downloads 4,375
12.

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 4,363
13.

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 Alliance Manchester Business School, University of Manchester
Downloads 4,031
14.

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 3,972
15.

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, Paris - Centre De Mathématiques Appliquées (CMAP), StudentsEcole Polytechnique, Palaiseau, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Millennium Capital Management, France branch
Downloads 3,757
16.

Paired-Switching for Tactical Portfolio Allocation

Number of pages: 4 Posted: 26 Aug 2011 Last Revised: 21 Sep 2011
Working Paper Series
Independent and Independent
Downloads 3,320
17.

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 3,042
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 2,912
20.

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 2,812
21.

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 2,749
22.

Night Moves: Is the Overnight Drift the Grandmother of All Market Anomalies

Number of pages: 12 Posted: 30 Jun 2022
Working Paper Series
Elm Partners, Independent and Royal Bridge Capital
Downloads 2,623
23.

Forecasting Volatility in European Stock Markets with Non-Linear GARCH Models

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 2,411
24.

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 2,390
25.

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 2,168
26.

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 2,158
27.

Why Markets Are Inefficient: A Gambling ‘Theory’ of Financial Markets for Practitioners and Theorists

Number of pages: 29 Posted: 03 Mar 2017 Last Revised: 06 Jul 2021
Working Paper Series
Stuart School of Business, Illinois Institute of Technology
Downloads 2,123
28.

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 2,120
29.

How ESG Investing Has Impacted the Asset Pricing in the Equity Market

Number of pages: 19 Posted: 28 Jan 2019 Last Revised: 30 Jan 2019
Working Paper Series
Amundi Asset Management, CREST - ENSAE, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Institute
Downloads 2,053
30.

Deep Learning for Global Tactical Asset Allocation

Number of pages: 17 Posted: 11 Nov 2018 Last Revised: 03 Mar 2019
Working Paper Series
Qplum, affiliation not provided to SSRN and OPTrust
Downloads 2,050
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)

Multiple version iconThere are 2 versions of this paper

Downloads 1,923
32.

Deep Learning for Equity Time Series Prediction

Number of pages: 31 Posted: 24 Nov 2020
Working Paper Series
Artificial Intelligence in Finance Institute, Trell Technologies and Jp Morgan
Downloads 1,895
33.

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 1,883
34.

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 1,872
35.

Identifying Bull and Bear Markets in Stock Returns

Journal of Business & Economic Statistics, January 2000, Vol 18, No. 1, pp. 100-112
Number of pages: 13 Posted: 19 Feb 1999 Last Revised: 30 Aug 2021
Accepted Paper Series
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,850
36.

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 1,763
37.

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 1,595
38.

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 Athens, Department of Business Administration
Downloads 1,554
39.

Deep Reinforcement Learning for Asset Allocation in US Equities

Number of pages: 29 Posted: 19 Oct 2020
Working Paper Series
Artificial Intelligence in Finance Institute and Wright Research
Downloads 1,549
40.

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 1,518
41.

The Term Structure of Real Rates and Expected Inflation

Number of pages: 64 Posted: 16 Jul 2003
Working Paper Series
Columbia University - Columbia Business School, Finance and BlackRock, Inc

Multiple version iconThere are 3 versions of this paper

Downloads 1,515
42.

Tail Risk Mitigation with Managed Volatility Strategies

Dreyer, Anna and Hubrich, Stefan, Tail Risk Mitigation with Managed Volatility Strategies (April 16, 2019). Journal of Investment Strategies 8(1), 29-56.
Number of pages: 28 Posted: 22 Nov 2017 Last Revised: 13 Jun 2019
Accepted Paper Series
T. Rowe Price and T.Rowe Price
Downloads 1,467
43.

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 1,467
44.

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 1,398
45.

Cash-Settled Swaptions - A Review of Cash-Settled Swaption Pricing

Number of pages: 15 Posted: 14 Feb 2018
Working Paper Series
University of Oxford - Said Business School
Downloads 1,366
46.

Keep Up the Momentum

Number of pages: 16 Posted: 09 Jan 2018
Working Paper Series
Amundi Asset Management
Downloads 1,338
47.

A Report on the Future of Finance, Future of Risk, and Future of Quant: Risk, Uncertainty, and, Profit for the Cyber Era: Model Risk Management of Cyber Insurance Models using Quantitative Finance and Advanced Analytics

A Report on the Future of Finance, Future of Risk, and Future of Quant: Risk, Uncertainty, and, Profit for the Cyber Era: Model Risk Management of Cyber Insurance Models using Quantitative Finance and Advanced Analytics. Abridged version: National Association of Insurance Commissioners (NAIC) Exp
Number of pages: 184 Posted: 23 Jan 2015 Last Revised: 31 Dec 2021
Accepted Paper Series
Amazon Web Services Partner
Downloads 1,337
48.

The Equity Risk Premium: A Novel Perspective on the Past Fifty Years

Number of pages: 4 Posted: 23 Mar 2020
Working Paper Series
Elm Partners and Elm Partners
Downloads 1,286
49.

Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy (Or, How We Learned to Stop Worrying and Love Bounded Rationality)

Number of pages: 57 Posted: 26 May 2018
Working Paper Series
Fidelity Investments, Inc. and New York University (NYU) - NYU Tandon School of Engineering
Downloads 1,256
50.

Interest Rate Swaptions - A Review & Derivation of Swaption Pricing Formulae

Journal of Economics and Financial Analysis, Vol:2, No:2 (2018) 87-103
Number of pages: 15 Posted: 05 Jan 2018 Last Revised: 05 Feb 2022
Accepted Paper Series
University of Oxford - Said Business School
Downloads 1,254