SSRN logo
Public User
Advanced Search

SSRN eLibrary Search Results
JEL Code: C50

413,735 Total downloads
Search Within

Viewing: 1 - 50 of 642 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
Meb Faber
Cambria Investment Management
Downloads 194,352
2.

Relative Strength Strategies for Investing

Number of pages: 22 Posted: 06 Apr 2010 Last Revised: 20 Apr 2010
Working Paper Series
Meb Faber
Cambria Investment Management
Downloads 58,266
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
Charles V. Bilello and Michael A. Gayed
Pension Partners, LLC and Pension Partners, LLC
Downloads 12,927
4.

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
Michael A. Gayed and Charles V. Bilello
Pension Partners, LLC and Pension Partners, LLC
Downloads 5,679
5.

Rational Decision-Making under Uncertainty: Observed Betting Patterns on a Biased Coin

Number of pages: 8 Posted: 25 Oct 2016
Working Paper Series
Victor Haghani and Richard Dewey
Elm Partners and Pimco
Downloads 5,595
6.

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
Christian Dunis, Jason Laws and Jozef Rudy
John Moores University - Business School, University of Liverpool, Management School (ULMS), Students and Harvest Alpha Capital
Downloads 4,430
7.

Financial Econometrics

International Library of Financial Econometrics, Forthcoming
Number of pages: 31 Posted: 14 Jun 2007
Accepted Paper Series
Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 4,113
8.

Forecasting Volatility in Financial Markets: A Review (revised edition)

Number of pages: 80 Posted: 04 Dec 2002
Working Paper Series
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School

Multiple version iconThere are 2 versions of this paper

Downloads 3,810
9.

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
Fotis Papailias and Dimitrios D. Thomakos
Quantf Research and University of Peloponnese - School of Management and Economics
Downloads 3,625
10.

Forecasting Financial Market Volatility: A Review

Number of pages: 43 Posted: 15 Jun 2001
Working Paper Series
Clive W. J. Granger and Ser-Huang Poon
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Downloads 3,539
11.

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
Charles V. Bilello and Michael A. Gayed
Pension Partners, LLC and Pension Partners, LLC
Downloads 3,301
12.

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

Number of pages: 18 Posted: 07 Mar 2016
Working Paper Series
Michael A. Gayed and Charles V. Bilello
Pension Partners, LLC and Pension Partners, LLC
Downloads 2,872
13.

Paired-Switching for Tactical Portfolio Allocation

Number of pages: 4 Posted: 26 Aug 2011 Last Revised: 21 Sep 2011
Working Paper Series
Akhilesh Maewal and Joel R. Bock
Scalaton and Scalaton
Downloads 2,751
14.

Facts and Fantasies About Factor Investing

Number of pages: 112 Posted: 16 Nov 2014 Last Revised: 28 Nov 2014
Working Paper Series
Zélia Cazalet and Thierry Roncalli
Lyxor Asset Management and Amundi Asset Management
Downloads 2,492
15.

A Simple Long Memory Model of Realized Volatility

Number of pages: 27 Posted: 07 Dec 2004
Working Paper Series
Fulvio Corsi
Ca' Foscari University of Venice
Downloads 2,316
16.

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
Matteo Manera and Gianfranco Forte
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 2,297
17.

ANANTA: A Systematic Quantitative FX Trading Strategy

Number of pages: 20 Posted: 02 Apr 2014 Last Revised: 29 May 2014
Working Paper Series
Nicolas Georges
Independent
Downloads 2,145
18.

Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy

Number of pages: 24 Posted: 27 Jun 2007
Working Paper Series
Alessandro Paolo Luigi Cipollini and Antonio Manzini
Deutsche Bank, Fixed Income Research and UBS Global Asset Management
Downloads 2,076
19.

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

Number of pages: 44 Posted: 03 Mar 2017 Last Revised: 12 Apr 2017
Working Paper Series
Steven Douglas Moffitt
Stuart School of Business, Illinois Institute of Technology
Downloads 1,665
21.

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
Dave Walton
StatisTrade
Downloads 1,603
22.

Tactical Asset Allocation on Market Neutral Hedge Fund

Number of pages: 51 Posted: 24 Apr 2009
Working Paper Series
Juan Ledesma Padilla and Martin Zebad
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 1,497
23.

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
Fotis Papailias and Dimitrios D. Thomakos
Quantf Research and University of Peloponnese - School of Management and Economics
Downloads 1,408
24.

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
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and BlackRock, Inc

Multiple version iconThere are 3 versions of this paper

Downloads 1,391
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
Victor Haghani and Andrew Morton
Elm Partners and Citigroup, Inc. - Citigroup Global Markets
Downloads 1,321
26.

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
Didier Sornette
Swiss Finance Institute

Multiple version iconThere are 2 versions of this paper

Downloads 1,305
27.

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
Victor Haghani and Samantha McBride
Elm Partners and Elm Partners
Downloads 1,187
28.

Identifying Bull and Bear Markets in Stock Returns

Number of pages: 13 Posted: 19 Feb 1999
Working Paper Series
John M. Maheu and Thomas H. McCurdy
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 1,157
29.

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
Hari S. Luitel and Gerry J. Mahar
Algoma University and Algoma University
Downloads 1,148
30.

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
Jozef Rudy, Christian Dunis, Gianluigi Giorgioni and Jason Laws
Harvest Alpha Capital, John Moores University - Business School, University of Liverpool - Management School (ULMS) and University of Liverpool, Management School (ULMS), Students
Downloads 1,141
31.

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
Anokye M. Adam and George Tweneboah
University of Cape Coast - School of Business and University of Leicester - School of Management
Downloads 1,131
32.

A Primer on Alternative Risk Premia

Number of pages: 123 Posted: 04 May 2016 Last Revised: 26 Jun 2016
Working Paper Series
Rayann Hamdan, Fabien Pavlowsky, Thierry Roncalli and Ban Zheng
Lyxor Asset Management, Lyxor Asset Management, Amundi Asset Management and Lyxor Asset Management
Downloads 1,054
33.

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
Lonnie K. Stevans
Hofstra University - Frank G. Zarb School of Business
Downloads 1,020
34.

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
Edilson Paulo, Luiz Felipe de Araújo Pontes Girão, David Carter and Rodrigo Silva de Souza
Federal University of Paraiba, Federal University of Paraiba (UFPB), University of Roehampton and University of Roehampton - Social Sciences
Downloads 944
35.

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
Christian Dunis, Jason Laws and Jozef Rudy
John Moores University - Business School, University of Liverpool, Management School (ULMS), Students and Harvest Alpha Capital
Downloads 867
36.

The Impact of Trades on Daily Volatility

AFA 2005 Philadelphia Meetings
Number of pages: 46 Posted: 21 Mar 2004
Working Paper Series
Doron Avramov, Tarun Chordia and Amit Goyal
Hebrew University of Jerusalem - Jerusalem School of Business Administration, Emory University - Department of Finance and University of Lausanne

Multiple version iconThere are 3 versions of this paper

Downloads 842
37.

An Econometric Model of the Brazilian Stock Market

Number of pages: 16 Posted: 20 Apr 2005
Working Paper Series
Otavio Ribeiro de Medeiros
University of Brasilia
Downloads 829
38.

A Sharper Lens for Sizing Up Nickels and Steamrollers

Number of pages: 3 Posted: 23 Nov 2016 Last Revised: 26 Jan 2017
Working Paper Series
Victor Haghani and James White
Elm Partners and Independent
Downloads 804
39.

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
Alessandro Casati and Serge Tabachnik
Antares Technologies and Antares Technologies
Downloads 800
40.

Stress Testing for Cyber Risks: Cyber Risk Insurance Modeling beyond Value-at-Risk (VaR): Risk, Uncertainty, and, Profit for the Cyber Era

Number of pages: 189 Posted: 23 Jan 2015 Last Revised: 25 Jan 2017
Working Paper Series
Yogesh Malhotra
Global Risk Management Network, LLC
Downloads 753
41.

A Monthly Indicator of Brazilian GDP

UCR Department of Economics Working Paper
Number of pages: 32 Posted: 23 Jan 2001
Working Paper Series
Marcelle Chauvet
University of California, Riverside (UCR) - Department of Economics
Downloads 735
42.

An Exploratory Study of the Impact of e-Service Process on Online Customer Satisfaction

Number of pages: 42 Posted: 14 Dec 2006
Working Paper Series
Sulin Ba and Wayne Johansson
University of Connecticut - School of Business and Government of the United States of America - Department of Homeland Security
Downloads 718
43.

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
Rajendra Kulkarni, Kingsley E. Haynes, Roger R. Stough and Jean H. P. Paelinck
Schar School of Policy & Government, George Mason University - School of Policy, Government, and International Affairs, George Mason University - School of Policy, Government, and International Affairs and Erasmus University Rotterdam (EUR) - Department of Economics
Downloads 709
44.

Stochastic Processes in Credit Risk Modelling

Number of pages: 37 Posted: 09 Mar 2006
Working Paper Series
Roberto Casarin
University Ca' Foscari of Venice - Department of Economics
Downloads 709
45.

Informational Cascades and Software Adoption on the Internet: An Empirical Investigation

MIS Quarterly, Vol. 33, No. 1, pp. 23-48, March 2009
Number of pages: 58 Posted: 07 Apr 2008 Last Revised: 31 Jul 2012
Accepted Paper Series
Wenjing Duan, Bin Gu and Andrew B. Whinston
George Washington University - School of Business, Arizona State University (ASU) - Department of Information Systems and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 696
46.

Profitable Pair Trading: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs

Number of pages: 19 Posted: 02 Jun 2013
Working Paper Series
Jozef Rudy, Christian Dunis and Jason Laws
Harvest Alpha Capital, John Moores University - Business School and University of Liverpool, Management School (ULMS), Students
Downloads 678
47.

Integrating Multiple Commodities in a Model of Stochastic Price Dynamics

Journal of Energy Markets, Vol. 2, No. 3, 2009
Number of pages: 41 Posted: 06 Mar 2008 Last Revised: 24 Apr 2012
Accepted Paper Series
Raphael Paschke and Marcel Prokopczuk
University of Mannheim - Department of Business Administration and Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 674
48.

Multiple-Curve Valuation with One-Factor Hull-White Model

Number of pages: 7 Posted: 01 May 2012 Last Revised: 15 Mar 2014
Working Paper Series
Jun Zhu
FINCAD
Downloads 643
49.

A Note on the Black-Scholes Implied Volatility with Default Risk

Wilmott Journal, Vol. 2, No. 3, 2010
Number of pages: 19 Posted: 12 Nov 2008 Last Revised: 14 Jun 2016
Accepted Paper Series
Shuichi Ohsaki, Takaaki Ozeki, Yuji Umezawa and Akira Yamazaki
Merrill Lynch & Co., Mizuho-DL Financial Technology Co., Ltd., Mizuho-DL Financial Technology Co., Ltd. and Hosei University - Graduate School of Business Administration
Downloads 636
50.

Growth Regressions and What the Textbooks Don't Tell You

Number of pages: 33 Posted: 26 Jul 1999
Working Paper Series
Jonathan R.W. Temple
University of Bristol - Department of Economics
Downloads 636
Submit a Paper Section 508 Text Only Pages

Quick Links

Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up

Rankings

Top Papers Top Authors Top Organizations

About

SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs
Elsevier logo
Copyright Terms and Conditions Privacy Policy

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollobot1 in 7.071 seconds

Relx Group logo