1.
Dealing with Logs and Zeros in Regression Models
CREST - Série des Documents de Travail n° 2019-13
Number of pages: 90
Posted: 05 Sep 2019
Last Revised: 03 Jun 2021
Working Paper Series
CREST (Center for Research in Economics and Statistics) - ENSAE (National School for Statistics and Economic Administration), CREST - ENSAE and CREST - Institut Polytechnique de Paris
Downloads
7,839
2.
Should We Treat Data as Labor? Moving Beyond 'Free'
American Economic Association Papers & Proceedings, Vol. 1, No. 1, Forthcoming
Number of pages: 5
Posted: 29 Dec 2017
Accepted Paper Series
Stanford University, Columbia University, Stanford University, Microsoft Corporation and Microsoft
Downloads
6,719
3.
Artificial Intelligence in Human Resources Management: Challenges and a Path Forward
Number of pages: 34
Posted: 01 Nov 2018
Last Revised: 15 Apr 2019
Working Paper Series
University of Pennsylvania Wharton School - Center for Human Resources, Wharton School, U. Pennsylvania and ESSEC Business School
Downloads
5,877
4.
TV Advertising Effectiveness and Profitability: Generalizable Results from 288 Brands
Number of pages: 46
Posted: 20 Jan 2020
Last Revised: 17 Apr 2021
Working Paper Series
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Northwestern - Kellogg
There are 2 versions of this paper
TV Advertising Effectiveness and Profitability: Generalizable Results from 288 Brands
Number of pages: 46
Posted: 20 Jan 2020
Last Revised: 17 Apr 2021
Downloads
5,608
Generalizable and Robust TV Advertising Effects
NBER Working Paper No. w27684
Number of pages: 42
Posted: 17 Aug 2020
Downloads
6
Downloads
5,608
5.
CDS Rate Construction Methods by Machine Learning Techniques
Number of pages: 51
Posted: 15 May 2017
Last Revised: 31 Oct 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads
5,197
6.
Political Beliefs affect Compliance with Government Mandates
Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 43
Posted: 06 Apr 2020
Last Revised: 17 Mar 2021
Accepted Paper Series
Saint Louis University - Department of Finance and University of Kentucky - Gatton College of Business and Economics
Downloads
4,861
7.
Deep Learning in Asset Pricing
Number of pages: 75
Posted: 04 Apr 2019
Last Revised: 24 Jul 2021
Working Paper Series
Stanford University - Institute for Computational and Mathematical Engineering, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads
4,580
8.
Instrumented Principal Component Analysis
Number of pages: 71
Posted: 09 Jun 2017
Last Revised: 28 Dec 2020
Working Paper Series
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads
2,857
9.
The Flash Crash: A New Deconstruction
Number of pages: 53
Posted: 26 Jan 2016
Last Revised: 10 May 2017
Working Paper Series
University of California, Santa Cruz, Stanford University Law School and Yale University
Downloads
2,154
10.
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
1,794
11.
Cross-Sectional Out-of-Sample Stock Return Prediction with Many Characteristics
Number of pages: 67
Posted: 13 Jun 2018
Last Revised: 29 Jun 2021
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, University of South Carolina - Darla Moore School of Business, Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads
1,741
12.
Forest Through the Trees: Building Cross-Sections of Stock Returns
Number of pages: 79
Posted: 19 Dec 2019
Last Revised: 28 Sep 2020
Working Paper Series
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads
1,658
13.
Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study
International Journal of Forecasting, Vol 34, Issue 4, pp. 733-747, 2018
Number of pages: 15
Posted: 16 Feb 2017
Last Revised: 06 Jun 2021
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads
1,620
14.
Sustainable Smart Home and Home Automation: Big Data Analytics Approach
International Journal of Smart Home, Vol. 10(8), p. 177-187, 2016
Number of pages: 16
Posted: 07 Sep 2016
Accepted Paper Series
Hong Kong Shue Yan University, Hong Kong Shue Yan University, Hong Kong Shue Yan University and Hong Kong Shue Yan University
Downloads
1,535
15.
Personalized Pricing and Consumer Welfare
Number of pages: 62
Posted: 26 Jun 2017
Last Revised: 24 Jun 2021
Working Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
There are 2 versions of this paper
Personalized Pricing and Consumer Welfare
Number of pages: 62
Posted: 26 Jun 2017
Last Revised: 24 Jun 2021
Downloads
1,265
Personalized Pricing and Consumer Welfare
NBER Working Paper No. w23775
Number of pages: 62
Posted: 11 Sep 2017
Last Revised: 28 Jun 2021
Downloads
63
Downloads
1,265
16.
Fintech in Financial Inclusion: Machine Learning Applications in Assessing Credit Risk
IMF Working Paper No. 19/109
Number of pages: 35
Posted: 06 Nov 2019
Working Paper Series
IMF
Downloads
1,253
17.
Machine Learning with Statistical Imputation for Predicting Drug Approvals
Number of pages: 60
Posted: 25 May 2017
Last Revised: 21 May 2019
Working Paper Series
Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Computer Science and Artificial Intelligence Laboratory (CSAIL)
Downloads
1,211
18.
Textual Factors: A Scalable, Interpretable, and Data-driven Approach to Analyzing Unstructured Information
Number of pages: 65
Posted: 04 Jan 2019
Last Revised: 04 Nov 2019
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads
1,126
19.
Principal Component Analysis of High Frequency Data
Chicago Booth Research Paper No. 15-39
Number of pages: 64
Posted: 19 Aug 2015
Last Revised: 22 Aug 2017
Working Paper Series
Princeton University - Department of Economics and University of Chicago - Booth School of Business
There are 2 versions of this paper
Principal Component Analysis of High Frequency Data
Chicago Booth Research Paper No. 15-39
Number of pages: 64
Posted: 19 Aug 2015
Last Revised: 22 Aug 2017
Downloads
1,123
Principal Component Analysis of High Frequency Data
NBER Working Paper No. w21584
Number of pages: 53
Posted: 28 Sep 2015
Last Revised: 24 Jun 2021
Downloads
26
Downloads
1,123
20.
VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy
Number of pages: 49
Posted: 25 Jan 2018
Working Paper Series
Banca IMI, University of Pavia - Department of Economics and Management and University of Pavia - Department of Economics and Management
Downloads
1,069
21.
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
1,038
22.
The Perils of Private Provision of Public Goods
Number of pages: 47
Posted: 02 Mar 2020
Last Revised: 12 Oct 2020
Working Paper Series
University of Texas at Dallas, MIT - Sloan and Boston College - Carroll School of Management
Downloads
943
23.
The Effect of Information Disclosure on Industry Payments to Physicians
Number of pages: 58
Posted: 06 Nov 2017
Last Revised: 25 Sep 2020
Working Paper Series
Duke University, Fuqua School of Business, The Stephen M. Ross School of Business at the University of Michigan and University of Michigan, Stephen M. Ross School of Business
Downloads
854
24.
Can Consumer-Posted Photos Serve as a Leading Indicator of Restaurant Survival? Evidence from Yelp
Number of pages: 83
Posted: 31 Jan 2018
Last Revised: 05 May 2021
Working Paper Series
University of Southern California and University of Southern California
Downloads
832
25.
Understanding Systematic Risk: A High-Frequency Approach
Journal of Finance, Forthcoming
Number of pages: 55
Posted: 24 Aug 2015
Last Revised: 23 Mar 2020
Accepted Paper Series
Stanford University - Department of Management Science & Engineering
Downloads
785
26.
Machine Learning for Realised Volatility Forecasting
Number of pages: 51
Posted: 12 Oct 2020
Last Revised: 21 Jun 2021
Working Paper Series
University of Manchester - Alliance Manchester Business School and Alliance Manchester Business School, University of Manchester
Downloads
752
27.
Divide and Conquer: Financial Ratios and Industry Returns Predictability
Number of pages: 70
Posted: 08 Mar 2018
Last Revised: 10 May 2021
Working Paper Series
School of Economics and Finance, Queen Mary University of London and Temple University, Fox School of Business
Downloads
740
28.
Sparse Signals in the Cross-Section of Returns
Number of pages: 50
Posted: 16 May 2015
Last Revised: 17 Feb 2017
Working Paper Series
University of Chicago - Booth School of Business, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
There are 2 versions of this paper
Sparse Signals in the Cross-Section of Returns
Number of pages: 50
Posted: 16 May 2015
Last Revised: 17 Feb 2017
Downloads
735
Sparse Signals in the Cross-Section of Returns
NBER Working Paper No. w23933
Number of pages: 55
Posted: 16 Oct 2017
Last Revised: 24 May 2021
Downloads
47
Downloads
735
29.
International Accounting Databases on WRDS: Comparative Analysis
Number of pages: 42
Posted: 23 Mar 2017
Working Paper Series
Wharton Research Data Services (WRDS)
Downloads
726
30.
An Ensemble of LSTM Neural Networks for High-Frequency Stock Market Classification
Number of pages: 27
Posted: 16 Jul 2018
Last Revised: 15 Feb 2019
Working Paper Series
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and VU University Amsterdam
Downloads
724
31.
Stata, Fast and Slow: Why Running Many Small Regressions in a Large Dataset Takes So Long; and What to Do About It
Number of pages: 19
Posted: 12 Apr 2014
Working Paper Series
University of Auckland - Department of Accounting and Finance
Downloads
723
32.
Machine-Learning in the Chinese Stock Market
Number of pages: 88
Posted: 18 Feb 2021
Last Revised: 12 Jul 2021
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and affiliation not provided to SSRN
Downloads
708
33.
Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data
Chicago Booth Research Paper No. 15-43
Number of pages: 43
Posted: 07 Oct 2015
Last Revised: 11 Oct 2016
Working Paper Series
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads
689
34.
A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets
133 Acta Physica Polonica A 1408 (2018)
Number of pages: 21
Posted: 30 Jan 2017
Last Revised: 04 Aug 2018
Accepted Paper Series
Texas A&M University School of Innovation
Downloads
677
35.
The Macroeconomy as a Random Forest
Number of pages: 75
Posted: 15 Jul 2020
Last Revised: 24 May 2021
Working Paper Series
University of Pennsylvania - Department of Economics
Downloads
654
36.
A Brief Assessment of Supreme Court Opinion Language, 1946-2013
86 Mississippi Law Journal 105 (2017)
Number of pages: 57
Posted: 08 Mar 2015
Last Revised: 29 Mar 2017
Accepted Paper Series
University of Southern California, Political Science
Downloads
622
37.
ICT Adoption by Micro and Small Scale Enterprises in Nigeria: A Case Study of the Federal Capital Territory, Abuja
Number of pages: 25
Posted: 13 Apr 2017
Last Revised: 01 May 2017
Working Paper Series
Covenant University and Covenant University
Downloads
605
38.
Health Privacy and Confidentiality
Health Privacy and Confidentiality, Chapter 23, in Tensions and Traumas in Health Law, I Freckelton and & K Petersen (Eds) (2017) Sydney: Federation Press, Forthcoming
Number of pages: 17
Posted: 14 Apr 2017
Accepted Paper Series
Deakin University, Geelong, Australia - Deakin Law School and Deakin University, Geelong, Australia - Deakin Law School
There are 2 versions of this paper
Health Privacy and Confidentiality
Health Privacy and Confidentiality, Chapter 23, in Tensions and Traumas in Health Law, I Freckelton and & K Petersen (Eds) (2017) Sydney: Federation Press, Forthcoming
Number of pages: 17
Posted: 14 Apr 2017
Downloads
604
Health Privacy and Confidentiality
Tensions and Traumas in Health Law, I Freckelton and & K Petersen (Eds) (2017) Sydney: Federation Press, Forthcoming, Deakin Law School Research Paper No. 17-16
Number of pages: 18
Posted: 11 Aug 2017
Downloads
40
Downloads
604
39.
Credit Risk Analysis Using Machine and Deep Learning Models
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 08/WP/2018
Number of pages: 32
Posted: 17 Apr 2018
Working Paper Series
Agence Française de Développement (AFD), Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads
601
40.
An Econometric Model for Intraday Electricity Trading
Philosophical Transactions of the Royal Society A, Forthcoming
Number of pages: 26
Posted: 31 Dec 2019
Last Revised: 03 Aug 2020
Accepted Paper Series
University of Duisburg-Essen, University of Duisburg-Essen - Faculty of Economic Science and Norwegian University of Science and Technology, Faculty of Economics and Management, NTNU Business School
Downloads
583
41.
eXtensible Business Reporting Language (XBRL): A Review and Implications for Future Research
Forthcoming in Auditing: A Journal of Practice and Theory
Number of pages: 58
Posted: 04 Jun 2020
Last Revised: 10 Mar 2021
Accepted Paper Series
Bentley University - Department of Accountancy, Northeastern University - Accounting Group and Bentley University
Downloads
575
42.
Forecasting Realised Volatility of Micex Index
Number of pages: 66
Posted: 12 Nov 2014
Working Paper Series
City University London
Downloads
563
43.
Sparse Macro Factors
Number of pages: 53
Posted: 25 Oct 2018
Last Revised: 01 Feb 2021
Working Paper Series
Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads
551
44.
Machine Learning Explainability in Finance: An Application to Default Risk Analysis
Bank of England Working Paper No. 816, August 2019
Number of pages: 44
Posted: 10 Aug 2019
Last Revised: 12 Aug 2019
Working Paper Series
Bank of England, Carnegie Mellon University - School of Computer Science, Bank of England and Carnegie Mellon University
Downloads
549
45.
Tracking Labor Market Developments during the COVID-19 Pandemic: A Preliminary Assessment
FEDS Working Paper No. 2020-030 https://doi.org/10.17016/FEDS.2020.030
Number of pages: 22
Posted: 18 May 2020
Working Paper Series
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
There are 2 versions of this paper
Tracking Labor Market Developments during the COVID-19 Pandemic: A Preliminary Assessment
FEDS Working Paper No. 2020-030 https://doi.org/10.17016/FEDS.2020.030
Number of pages: 22
Posted: 18 May 2020
Downloads
541
Tracking Labor Market Developments During the Covid-19 Pandemic: A Preliminary Assessment
FEDS Working Paper No. 2020-30
Number of pages: 22
Posted: 09 Jul 2021
Downloads
4
Downloads
541
46.
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?
Journal of Business and Economic Statistics (Forthcoming)
Number of pages: 58
Posted: 17 Mar 2013
Last Revised: 03 Feb 2016
Accepted Paper Series
Princeton University - Bendheim Center for Finance, Claremont Colleges - Peter F. Drucker Graduate School of Management and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads
538
47.
Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives
Number of pages: 37
Posted: 21 Nov 2018
Last Revised: 16 Dec 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads
529
48.
Forecasting Stock Returns with Large Dimensional Factor Models
Number of pages: 46
Posted: 26 Apr 2017
Last Revised: 14 Jul 2021
Working Paper Series
University of Rome Tor Vergata, King's College London and Department of Economics, Lancaster University Management School
Downloads
526
49.
Alternative Data for FinTech and Business Intelligence
Number of pages: 32
Posted: 11 Feb 2020
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Carnegie Mellon University - H. John Heinz III School of Public Policy and Management and University of Illinois Urbana Champaign
Downloads
525
50.
Big Data Approach to Realised Volatility Forecasting Using HAR Model Augmented With Limit Order Book and News
Number of pages: 40
Posted: 12 Sep 2020
Last Revised: 21 Jun 2021
Working Paper Series
University of Manchester - Alliance Manchester Business School and Alliance Manchester Business School, University of Manchester
Downloads
523
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