1.
Dealing with Logs and Zeros in Regression Models
CREST - Série des Documents de Travail n° 2019-13
Number of pages: 71
Posted: 05 Sep 2019
Last Revised: 05 Apr 2022
Working Paper Series
CREST (Center for Research in Economics and Statistics) - ENSAE (National School for Statistics and Economic Administration), HEC MontrealCREST - ENSAE and CREST - Institut Polytechnique de Paris
Downloads
11,829
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 Research
Downloads
7,259
3.
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
7,246
Generalizable and Robust TV Advertising Effects
NBER Working Paper No. w27684
Number of pages: 42
Posted: 17 Aug 2020
Last Revised: 21 Feb 2022
Downloads
25
Downloads
7,246
4.
Deep Learning in Asset Pricing
Number of pages: 75
Posted: 04 Apr 2019
Last Revised: 05 Aug 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
6,871
5.
Artificial Intelligence in Human Resources Management: Challenges and a Path Forward
Number of pages: 34
Posted: 01 Nov 2018
Last Revised: 06 May 2022
Working Paper Series
University of Pennsylvania Wharton School - Center for Human Resources, Wharton School, U. Pennsylvania and University of PennsylvaniaESSEC Business School
Downloads
6,579
6.
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
5,396
7.
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
5,120
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
4,813
9.
Factor Models, Machine Learning, and Asset Pricing
Number of pages: 35
Posted: 18 Oct 2021
Last Revised: 18 Feb 2022
Working Paper Series
Yale School of Management, Yale SOM and University of Chicago - Booth School of Business
Downloads
4,746
10.
Forest Through the Trees: Building Cross-Sections of Stock Returns
Number of pages: 59
Posted: 19 Dec 2019
Last Revised: 20 Sep 2021
Working Paper Series
London Business School - Department of Finance, Stanford University - Department of Management Science & Engineering and Stanford University - Management Science & Engineering
Downloads
2,843
11.
Expected Stock Returns and Firm Characteristics: E-LASSO, Assessment, and Implications
Number of pages: 68
Posted: 13 Jun 2018
Last Revised: 11 Sep 2021
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, University of South Carolina - Darla Moore School of Business, Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads
2,348
12.
Deep Learning Statistical Arbitrage
Number of pages: 66
Posted: 08 Jun 2021
Last Revised: 07 Jul 2022
Working Paper Series
Stanford University - Department of Mathematics, Stanford University - Department of Management Science & Engineering and Stanford University, School of Engineering, Management Science & Engineering
Downloads
2,346
13.
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
2,262
14.
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
2,016
15.
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
1,946
16.
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
1,903
17.
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 UniversityHong Kong Shue Yan University, Hong Kong Shue Yan University, Hong Kong Shue Yan University and Hong Kong Shue Yan University
Downloads
1,851
18.
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
1,848
Personalized Pricing and Consumer Welfare
NBER Working Paper No. w23775
Number of pages: 62
Posted: 11 Sep 2017
Last Revised: 19 Jun 2022
Downloads
102
Downloads
1,848
19.
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, Université de Sherbrooke - Faculty of Administration, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads
1,731
20.
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, University of Zurich - Department of Banking and Finance and affiliation not provided to SSRN
Downloads
1,663
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
1,506
22.
The Value of Descriptive Analytics: Evidence from Online Retailers
Harvard Business School Marketing Unit Working Paper No. 21-067, The Wharton School Research Paper
Number of pages: 56
Posted: 10 Dec 2020
Last Revised: 08 Dec 2021
Working Paper Series
University of Pennsylvania - The Wharton School and Harvard Business School - Marketing Unit
Downloads
1,462
23.
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
1,386
24.
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)
Downloads
1,305
25.
The Bloomberg Corporate Default Risk Model (DRSK) for Public Firms
Number of pages: 33
Posted: 28 Aug 2021
Working Paper Series
Bloomberg L.P., Validationquant LLC, Bloomberg L.P., Bloomberg L.P., Bloomberg L.P.Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance and Two Sigma
Downloads
1,247
26.
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
1,225
27.
Can Consumer-Posted Photos Serve as a Leading Indicator of Restaurant Survival? Evidence from Yelp
Number of pages: 98
Posted: 31 Jan 2018
Last Revised: 30 Nov 2021
Working Paper Series
University of Southern California and University of Southern California
Downloads
1,145
28.
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
1,138
Principal Component Analysis of High Frequency Data
NBER Working Paper No. w21584
Number of pages: 53
Posted: 28 Sep 2015
Last Revised: 24 Jun 2022
Downloads
37
Downloads
1,138
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
1,102
30.
Measuring and Improving Stakeholder Welfare is Easier Said Than Done
Number of pages: 54
Posted: 02 Mar 2020
Last Revised: 05 Jan 2022
Working Paper Series
University of Texas at Dallas, University of Washington - Department of Finance and Business Economics and Boston College - Carroll School of Management
Downloads
1,092
31.
How Much Can Machines Learn Finance From Chinese Text Data?
Number of pages: 57
Posted: 04 Mar 2021
Working Paper Series
Princeton University - Bendheim Center for Finance, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Institute for Big Data, Fudan University
Downloads
1,089
32.
The Macroeconomy as a Random Forest
Number of pages: 75
Posted: 15 Jul 2020
Last Revised: 24 May 2021
Working Paper Series
Université du Québec à Montréal - Département des Sciences Économiques
Downloads
1,083
33.
Intraday Market Predictability: A Machine Learning Approach
Number of pages: 56
Posted: 13 Jan 2021
Last Revised: 10 Mar 2021
Accepted Paper Series
University of Western Ontario - Department of Economics, University of Western Ontario, Department of Economics and Department of Economics, University of Western Ontario
Downloads
1,003
34.
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
984
35.
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
932
36.
Stripping the Discount Curve - a Robust Machine Learning Approach
Swiss Finance Institute Research Paper No. 22-24
Number of pages: 74
Posted: 15 Mar 2022
Last Revised: 05 Aug 2022
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, Stanford University - Department of Management Science & Engineering and Stanford University
Downloads
918
37.
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
901
38.
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 Northern Arizona University
Downloads
871
39.
Sparse Macro Factors
Number of pages: 53
Posted: 25 Oct 2018
Last Revised: 01 Feb 2021
Working Paper Series
Research Department, Federal Reserve Bank of Atlanta and Washington University in St. Louis - John M. Olin Business School
Downloads
848
40.
Machine Learning for Realised Volatility Forecasting
Number of pages: 54
Posted: 12 Oct 2020
Last Revised: 10 Nov 2021
Working Paper Series
University of Manchester - Alliance Manchester Business School and Alliance Manchester Business School, University of Manchester
Downloads
832
41.
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
831
42.
Mixed-Frequency Machine Learning: Nowcasting and Backcasting Weekly Initial Claims with Daily Internet Search-Volume Data
International Journal of Forecasting, Forthcoming
Number of pages: 54
Posted: 13 Sep 2020
Last Revised: 13 Jun 2022
Working Paper Series
Aarhus University, CREATES, DFI, Research Department, Federal Reserve Bank of Atlanta and Aarhus UniversityAarhus University - CREATES
Downloads
819
43.
Missing Financial Data
Number of pages: 80
Posted: 13 May 2022
Working Paper Series
London Business School - Department of Finance, Stanford University - Institute for Computational and Mathematical Engineering, University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
Downloads
803
44.
Persuading Investors: A Video-Based Study
Number of pages: 109
Posted: 04 Jun 2020
Last Revised: 13 Jul 2021
Working Paper Series
Yale School of Management and Yale School of Management
There are 2 versions of this paper
Persuading Investors: A Video-Based Study
Number of pages: 109
Posted: 04 Jun 2020
Last Revised: 13 Jul 2021
Downloads
799
Persuading Investors: A Video-Based Study
NBER Working Paper No. w29048
Number of pages: 110
Posted: 19 Jul 2021
Last Revised: 18 Nov 2021
Downloads
7
Downloads
799
45.
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
787
46.
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
787
47.
Sparse Signals in the Cross-Section of Returns
Number of pages: 50
Posted: 16 May 2015
Last Revised: 17 Feb 2017
Working Paper Series
City University of NY, Baruch College, Zicklin 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
783
Sparse Signals in the Cross-Section of Returns
NBER Working Paper No. w23933
Number of pages: 55
Posted: 16 Oct 2017
Last Revised: 25 May 2022
Downloads
87
Downloads
783
48.
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 Business School
Downloads
773
49.
Predicting VIX with Adaptive Machine Learning
Number of pages: 77
Posted: 16 Jun 2021
Last Revised: 07 Feb 2022
Working Paper Series
IEEE and University of Liverpool Management School
Downloads
768
50.
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
758
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