1.
Easy Volatility Investing
Number of pages: 34
Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads
16,333
2.
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
Number of pages: 47
Posted: 18 May 2010
Last Revised: 05 Aug 2016
Working Paper Series
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and New York University (NYU) - Department of Finance
Downloads
12,251
3.
Forecasting Volatility
Number of pages: 42
Posted: 13 Jul 1999
Working Paper Series
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads
9,564
4.
Bitcoin Spreads Like a Virus
Number of pages: 19
Posted: 23 Apr 2019
Last Revised: 19 Jan 2021
Working Paper Series
Cane Island Alternative Advisors
Downloads
8,444
5.
Machine Learning in Asset Management
JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65
Posted: 18 Jul 2019
Last Revised: 23 Jun 2020
Working Paper Series
The Alan Turing Institute
Downloads
8,394
6.
The Exchange of Flow Toxicity
The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011; https://doi.org/10.3905/jot.2011.6.2.008. , Johnson School Research Paper Series No. 10-2011
Number of pages: 12
Posted: 17 Jul 2019
Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
6,865
7.
High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds
Number of pages: 27
Posted: 19 Jul 2004
Working Paper Series
London Business School
Downloads
6,668
8.
Valuing Customers
Journal of Marketing Research, pp. 7-18, February 2004, HBS Marketing Research Paper No. 03-08
Number of pages: 13
Posted: 13 Nov 2003
Last Revised: 27 Jul 2011
Accepted Paper Series
Harvard University - Business School (HBS), Columbia Business School - Marketing and Novartis International
Downloads
5,629
9.
Markov-Switching GARCH Models in R: The MSGARCH Package
Journal of Statistical Software, Vol. 91, Issue 4, 2019
Number of pages: 38
Posted: 02 Oct 2016
Last Revised: 20 Nov 2019
Accepted Paper Series
HEC Montreal - Department of Decision Sciencesaffiliation not provided to SSRN, Université de Sherbrooke - Faculty of Administration, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads
5,268
10.
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Review of Financial Studies 28, 791-837, 2015
Number of pages: 67
Posted: 19 Aug 2013
Last Revised: 30 Jan 2019
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
4,950
11.
Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy
Number of pages: 28
Posted: 05 Jan 2013
Working Paper Series
Universidade Federal de Santa Catarina & CNPq and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads
4,703
12.
A Better Measure of Relative Prediction Accuracy for Model Selection and Model Estimation
Journal of the Operational Research Society (2015) 66, 1352–1362
Number of pages: 25
Posted: 25 Jul 2015
Accepted Paper Series
University of Hertfordshire Business School
Downloads
4,435
13.
Pe Ratios, Peg Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital
Number of pages: 39
Posted: 09 Sep 2003
Working Paper Series
University of Notre Dame - Department of Accountancy
There are 2 versions of this paper
Pe Ratios, Peg Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital
Number of pages: 39
Posted: 09 Sep 2003
Downloads
4,430
Downloads
4,430
14.
Application of Neural Networks to an Emerging Financial Market: Forecasting and Trading the Taiwan Stock Index
Number of pages: 42
Posted: 13 Aug 2001
Working Paper Series
National Chung Cheng University - Department of Finance, Cornell University - School of Applied Economics and Management and University of Texas at San Antonio - Department of Management Science and Statistics
Downloads
3,599
15.
Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Number of pages: 31
Posted: 21 Feb 2011
Working Paper Series
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads
3,508
16.
An Econometric Analysis of Emission Trading Allowances
Journal of Banking and Finance, Vol. 32, No. 10, 2008, Swiss Finance Institute Research Paper No. 06-26
Number of pages: 45
Posted: 26 Nov 2006
Last Revised: 21 Dec 2009
Accepted Paper Series
London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment and University of Zurich - Department of Banking and Finance
Downloads
3,505
17.
Market Timing & Trading Strategies Using Asset Rotation
Number of pages: 31
Posted: 18 Jan 2010
Last Revised: 19 Feb 2010
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Athens, Department of Business Administration
Downloads
3,218
18.
Risk Everywhere: Modeling and Managing Volatility
Number of pages: 54
Posted: 28 Jan 2016
Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
There are 2 versions of this paper
Risk Everywhere: Modeling and Managing Volatility
Number of pages: 54
Posted: 28 Jan 2016
Last Revised: 22 Mar 2017
Downloads
3,201
Risk Everywhere: Modeling and Managing Volatility
CEPR Discussion Paper No. DP12687
Number of pages: 57
Posted: 14 Feb 2018
Downloads
3
Downloads
3,201
19.
Conditional Value-at-Risk: Aspects of Modeling and Estimation
Number of pages: 28
Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Department of Management Science & Engineering
Downloads
3,117
20.
Leveraged Buyout Bankruptcies, the Problem of Hindsight Bias, and the Credit Default Swap Solution
Columbia Business Law Review, Vol. 2011, No. 1, p. 118, 2011, Seton Hall Public Law Research Paper No. 1632084
Number of pages: 104
Posted: 17 Jul 2010
Last Revised: 25 Apr 2011
Accepted Paper Series
University of Southern California Gould School of Law and Davis Polk & Wardwell LLP - New York Office
Downloads
3,115
21.
Forecasting Stock Returns in Good and Bad Times: The Role of Market States
27th Australasian Finance and Banking Conference 2014 Paper, Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 41
Posted: 14 Dec 2012
Last Revised: 01 Aug 2017
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
3,066
22.
Understanding the Decline in the Price of Oil Since June 2014
CFS Working Paper No. 501
Number of pages: 36
Posted: 29 Jan 2015
Last Revised: 31 Mar 2015
Working Paper Series
University of Notre Dame and Federal Reserve Banks - Federal Reserve Bank of Dallas
There are 3 versions of this paper
Understanding the Decline in the Price of Oil Since June 2014
CFS Working Paper No. 501
Number of pages: 36
Posted: 29 Jan 2015
Last Revised: 31 Mar 2015
Downloads
3,023
Understanding the Decline in the Price of Oil Since June 2014
CESifo Working Paper Series No. 5755
Number of pages: 41
Posted: 15 Mar 2016
Downloads
511
Understanding the Decline in the Price of Oil Since June 2014
CEPR Discussion Paper No. DP10404
Number of pages: 37
Posted: 10 Feb 2015
Downloads
4
Downloads
3,023
23.
Uncovering Trend Rules
Number of pages: 17
Posted: 12 May 2015
Working Paper Series
Robeco Asset Management and Robeco Asset Management, Quantitative Investment Research
Downloads
2,969
24.
Bond Risk Premia with Machine Learning
WBS Finance Group Research Paper No. 252
Number of pages: 86
Posted: 26 Aug 2018
Last Revised: 08 Apr 2020
Working Paper Series
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads
2,958
25.
A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?
Brown Univ. Economics Working Paper No. 01-04
Number of pages: 23
Posted: 13 Apr 2001
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads
2,954
26.
Everything You Always Wanted to Know About Log Periodic Power Laws for Bubble Modelling But Were Afraid to Ask
European Journal of Finance, Forthcoming
Number of pages: 35
Posted: 01 Feb 2011
Accepted Paper Series
Moscow School of Economics, Moscow State University and National Research University Higher School of Economics
Downloads
2,907
27.
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
Number of pages: 33
Posted: 30 Apr 2009
Last Revised: 27 Jan 2010
Working Paper Series
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads
2,875
28.
The Four Horsemen of Machine Learning in Finance
Number of pages: 24
Posted: 24 Sep 2019
Working Paper Series
Illinois Institute of Technology and Fidelity Investments, Inc.
Downloads
2,861
29.
Model Selection Using Database Characteristics: Developing a Classification Tree for Longitudinal Incidence Data
Number of pages: 50
Posted: 18 Jun 2012
Last Revised: 11 Jul 2013
Working Paper Series
University of Michigan, Stephen M. Ross School of BusinessUniversity of Pennsylvania - Marketing Department, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads
2,754
30.
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
2,638
31.
Re-Examining the Profitability of Technical Analysis with White's Reality Check and Hansen's Spa Test
Number of pages: 27
Posted: 08 Apr 2005
Working Paper Series
National Tsing Hua University - Department of Quantitative Finance and Department of Finance, National Taiwan University
Downloads
2,635
32.
The Yield Curve as a Predictor of U.S. Recessions
Current Issues in Economics and Finance, Vol. 2, No. 7, June 1996
Number of pages: 6
Posted: 21 Jul 2007
Working Paper Series
Rensselaer Polytechnic Institute and Columbia Business School - Finance and Economics
Downloads
2,556
33.
The Delphi Method (El Metodo Delphi)
Number of pages: 17
Posted: 29 Jul 2003
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads
2,523
34.
The Financial Analyst Forecasting Literature: A Taxonomy with Suggestions for Further Research
International Journal of Forecasting, Vol. 24, No. 1, 2008
Number of pages: 42
Posted: 18 Feb 2008
Accepted Paper Series
University of Miami - Department of Accounting, University of Colorado at Boulder - Department of Accounting and College of William & Mary - Raymond A. Mason School of Business
Downloads
2,515
35.
Testing, Comparing, and Combining Value-at-Risk Measures
Number of pages: 27
Posted: 16 Nov 1999
Working Paper Series
University of Toronto - Rotman School of Management, University of California, Los Angeles and Southern Methodist University
Downloads
2,509
36.
Dynamic Programming and Optimal Lookahead Strategies in High Frequency Trading with Transaction Costs
Number of pages: 25
Posted: 03 Jan 2000
Working Paper Series
Bloomberg Financial Markets (BFM)
Downloads
2,468
37.
Volatility Forecasting
Number of pages: 114
Posted: 28 Feb 2005
Working Paper Series
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
There are 2 versions of this paper
Volatility Forecasting
NBER Working Paper No. w11188
Number of pages: 113
Posted: 20 May 2005
Last Revised: 29 Jul 2021
Downloads
303
Downloads
2,436
38.
A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
Number of pages: 37
Posted: 07 Nov 1999
Working Paper Series
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads
2,418
39.
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
Number of pages: 62
Posted: 27 Aug 2008
Last Revised: 10 Apr 2009
Working Paper Series
Washington University in St. LouisSaint Louis University, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
2,417
40.
Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book
Number of pages: 43
Posted: 09 Aug 2021
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, University College London and Courant Institute of Mathematical Sciences
Downloads
2,395
41.
Manager Sentiment and Stock Returns
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67
Posted: 21 Sep 2015
Last Revised: 13 Sep 2017
Working Paper Series
Central University of Finance and Economics (CUFE), Brigham Young University, Washington University in Saint Louis - Olin School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
2,383
42.
Does the Peg Ratio Rank Stocks According to the Market's Expected Rate of Return on Equity Capital?
Ohio State University Working Paper
Number of pages: 31
Posted: 04 Mar 2002
Working Paper Series
University of Notre Dame - Department of Accountancy
Downloads
2,375
43.
Predicting Customer Lifetime Value in Multi-Service Industries
Number of pages: 48
Posted: 26 Aug 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Groningen - Department of Marketing & Marketing Research and Tilburg University - Department of Marketing
Downloads
2,199
44.
A Regime-Switching Relative Value Arbitrage Rule
Number of pages: 6
Posted: 10 Aug 2008
Working Paper Series
University of Graz and University of Graz
Downloads
2,191
45.
Quantifying Trading Behavior in Financial Markets Using Google Trends
Scientific Reports, Vol. 3, pp. 1684; DOI:10.1038/srep01684 (2013)
Number of pages: 6
Posted: 04 May 2013
Accepted Paper Series
Data Science Lab, Behavioural Science, Warwick Business School, Data Science Lab, Behavioural Science, Warwick Business School and Boston University - Center for Polymer Studies
Downloads
2,180
46.
Simple and Effective Market Timing with Tactical Asset Allocation
Number of pages: 13
Posted: 17 May 2014
Working Paper Series
Independent
Downloads
2,103
47.
Realized Volatility
FRB of Chicago Working Paper No. 2008-14
Number of pages: 29
Posted: 12 Feb 2008
Last Revised: 05 Dec 2008
Working Paper Series
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads
2,101
48.
Forecasting Stock Indices: A Comparison of Classification and Level Estimation Models
Number of pages: 18
Posted: 24 Jan 2000
Working Paper Series
University of Texas at San Antonio - Department of Management Science and Statistics, Cornell University - School of Applied Economics and Management and National Chung Cheng University - Department of Finance
There are 2 versions of this paper
Forecasting Stock Indices: A Comparison of Classification and Level Estimation Models
Number of pages: 18
Posted: 24 Jan 2000
Downloads
2,085
Forecasting Stock Indices: A Comparison of Classification and Level Estimation Models
International Journal of Forecasting, Vol. 16, pp. 173-190
Posted: 28 Aug 2000
Downloads
2,085
49.
Predicting Local Violence
Number of pages: 81
Posted: 29 Sep 2014
Last Revised: 22 Jun 2017
Working Paper Series
Brown University, University of Chicago, Harris School of Public Policy and University College of London
Downloads
2,031
50.
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
Number of pages: 52
Posted: 25 Jan 2011
Last Revised: 29 Feb 2012
Working Paper Series
Temple University - Fox School of Business and ManagementFox School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance
There are 2 versions of this paper
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
Number of pages: 52
Posted: 25 Jan 2011
Last Revised: 29 Feb 2012
Downloads
2,018
The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
AFA 2012 Chicago Meetings Paper
Number of pages: 52
Posted: 22 Mar 2011
Downloads
1,053
Downloads
2,018
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