Search Results
JEL Code: C58

529,162 Total downloads

Viewing: 1 - 50 of 2,126 papers

1.

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79 Posted: 09 Apr 2018 Last Revised: 15 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 15,993
2.

Deep Learning for Finance: Deep Portfolios

Applied Stochastic Models in Business and Industry 33 (1), 3-12.
Number of pages: 15 Posted: 14 Sep 2016 Last Revised: 29 Apr 2019
Accepted Paper Series
One Hat Research LLC, University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 10,077
3.

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 9,489
4.

A Backtesting Protocol in the Era of Machine Learning

Number of pages: 18 Posted: 13 Nov 2018 Last Revised: 24 Nov 2018
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business and University of California at San Diego
Downloads 8,352
5.

An Investor’s Guide to Crypto

Number of pages: 30 Posted: 02 Jun 2022 Last Revised: 29 Jun 2022
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man Group, Man AHL, Man Group, Man AHL and Man AHL
Downloads 7,554
6.

Deep Hedging: Hedging Derivatives Under Generic Market Frictions Using Reinforcement Learning

Swiss Finance Institute Research Paper No. 19-80
Number of pages: 14 Posted: 30 May 2019 Last Revised: 02 Jan 2020
Working Paper Series
JP Morgan, Ludwig-Maximilians-Universität München, ETH Zurich, JP Morgan Chase, JP Morgan and JP Morgan
Downloads 6,587
7.

The Price Impact of Order Book Events

JOURNAL OF FINANCIAL ECONOMETRICS (Winter 2014) 12 (1): 47-88.
Number of pages: 32 Posted: 28 Nov 2010 Last Revised: 17 Sep 2015
Accepted Paper Series
University of Oxford, Tower Research Capital, LLC and Cornell Financial Engineering Manhattan
Downloads 5,971
8.

Machine Learning for Stock Selection

Financial Analysts Journal, vol. 75, no. 3 (Third Quarter 2019)
Number of pages: 35 Posted: 04 Mar 2019 Last Revised: 09 Aug 2019
Accepted Paper Series
Gresham Investment Management, LLC and Arwen Advisors
Downloads 5,954
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 Sciences, 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 5,785
10.

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 5,384
11.

Short Interest and Aggregate Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 51 Posted: 02 Aug 2014 Last Revised: 20 Feb 2016
Working Paper Series
Research Department, Federal Reserve Bank of Atlanta, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 5,335
12.

Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning

Number of pages: 20 Posted: 16 Mar 2018 Last Revised: 29 Mar 2018
Working Paper Series
Imperial College London - Department of Mathematics and University of Oxford
Downloads 4,657
13.

Managing Risk Exposures Using the Risk Budgeting Approach

Number of pages: 33 Posted: 23 Feb 2012 Last Revised: 10 Apr 2012
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 4,644
14.

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 4,343
15.

Enhanced Portfolio Optimization

Lasse Heje Pedersen, Abhilash Babu, and Ari Levine (2021), Enhanced Portfolio Optimization, Financial Analysts Journal, 77:2, 124-151, DOI: 10.1080/0015198X.2020.1854543
Number of pages: 49 Posted: 02 Mar 2020 Last Revised: 30 Apr 2021
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management
Downloads 4,087
16.

Risk Parity Portfolios with Risk Factors

Number of pages: 32 Posted: 03 Oct 2012 Last Revised: 06 Oct 2012
Working Paper Series
Amundi Asset Management and affiliation not provided to SSRN
Downloads 3,662
17.

Using and Interpreting Fixed Effects Models

Number of pages: 40 Posted: 16 Oct 2020 Last Revised: 30 Mar 2021
Working Paper Series
University of Washington - Michael G. Foster School of Business
Downloads 3,614
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

Multiple version iconThere are 2 versions of this paper

Downloads 3,335
19.

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 3,150
20.

Principal Portfolios

Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 98 Posted: 06 Aug 2020 Last Revised: 26 May 2021
Working Paper Series
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 3,145
21.

Presidential Address: The Scientific Outlook in Financial Economics

Duke I&E Research Paper No. 2017-05
Number of pages: 38 Posted: 10 Jan 2017 Last Revised: 22 Dec 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads 3,098
22.

Drawdowns

Number of pages: 19 Posted: 24 Apr 2020 Last Revised: 05 May 2020
Working Paper Series
Man AHL, University of Cambridge - Downing College, Duke University - Fuqua School of Business, Man Group plc, Man AHL and Man Group plc
Downloads 2,745
23.

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 2,710
24.

Does it Pay to Be Green?

Number of pages: 16 Posted: 27 Feb 2017
Working Paper Series
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-SorbonneClimate Finance Alpha
Downloads 2,456
25.

A Proof of the Optimality of Volatility Weighting Over Time

Number of pages: 23 Posted: 20 Feb 2012 Last Revised: 15 Aug 2014
Working Paper Series
Fintelligence CCT
Downloads 2,450
26.

Understanding Cryptocurrencies

Number of pages: 39 Posted: 29 Apr 2019 Last Revised: 22 Sep 2020
Working Paper Series
Blockchain Research Center, Duke University - Fuqua School of Business and International Research Training Group 1792
Downloads 2,395
27.

VPIN and the Flash Crash

Journal of Financial Markets, Vol. 17, pp. 1-46, 2014
Number of pages: 44 Posted: 09 Jul 2011 Last Revised: 18 Feb 2014
Accepted Paper Series
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 2,374
28.

Stock Picking with Machine Learning

Number of pages: 45 Posted: 23 Jun 2020 Last Revised: 25 Apr 2022
Working Paper Series
Deka Investment GmbHTechnical University of Darmstadt and Deka Investment GmbH
Downloads 2,325
29.

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 2,285
30.

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 61 Posted: 04 Dec 2019 Last Revised: 22 Jun 2022
Working Paper Series
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 2,240
31.

Stocks for the Long Run? Evidence from a Broad Sample of Developed Markets

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 81 Posted: 03 Jun 2020 Last Revised: 19 Jan 2021
Accepted Paper Series
University of Arizona, Eller College of Management, Department of Finance, Students, University of Arizona - Department of Finance and University of Missouri at Columbia - Department of Finance
Downloads 2,177
32.

The Virtue of Complexity in Return Prediction

Swiss Finance Institute Research Paper No. 21-90
Number of pages: 102 Posted: 15 Dec 2021 Last Revised: 26 May 2022
Working Paper Series
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,159
33.

Enhancing Risk Parity by Including Views

Journal of Investing, 2017
Number of pages: 34 Posted: 12 Aug 2014 Last Revised: 20 Sep 2016
Accepted Paper Series
Robeco Investment Research, Fintelligence CCT, Robeco Asset Management and Robeco Asset Management
Downloads 2,115
34.

Investment Strategies with VIX and VSTOXX Futures

Number of pages: 44 Posted: 08 Nov 2013 Last Revised: 02 Dec 2013
Working Paper Series
University of Kent - Kent Business School and University of Sussex
Downloads 1,997
35.

Volatility Weighting Applied to Momentum Strategies

Journal of Alternative Investments, Forthcoming, https://doi.org/10.3905/jai.2017.19.3.040
Number of pages: 37 Posted: 29 Apr 2015 Last Revised: 22 May 2019
Accepted Paper Series
Independent and Fintelligence CCT
Downloads 1,966
36.

Simple and Effective Market Timing with Tactical Asset Allocation Part 2 - Choices

Number of pages: 12 Posted: 05 Mar 2018 Last Revised: 27 Apr 2018
Working Paper Series
Independent
Downloads 1,909
37.

The Misuse of Tobin's Q

UC Berkeley Public Law Research Paper
Number of pages: 50 Posted: 15 Feb 2018 Last Revised: 28 Jun 2018
Working Paper Series
University of California, Berkeley - School of Law and University of California, Berkeley - School of Law
Downloads 1,906
38.

Measuring Investor Sentiment

Annual Review of Financial Economics, Forthcoming
Number of pages: 37 Posted: 11 Oct 2017 Last Revised: 17 Dec 2017
Accepted Paper Series
Washington University in St. Louis - John M. Olin Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,884
39.

Strategic Risk Management: Out-of-Sample Evidence from the COVID-19 Equity Selloff

Number of pages: 11 Posted: 03 Aug 2020
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man Group plc and Man AHL
Downloads 1,878
40.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Federal Reserve Bank of St. Louis Working Paper No. 2010-008H
Number of pages: 48 Posted: 11 Mar 2010 Last Revised: 03 Feb 2014
Working Paper Series
Federal Reserve Bank of St. Louis - Research Division, Research Department, Federal Reserve Bank of Atlanta, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,839
41.

Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses

A version of this paper was published in Risk, 26 January 2018
Number of pages: 14 Posted: 27 Dec 2017 Last Revised: 10 Sep 2018
Accepted Paper Series
Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo-Financial and Market Risk Management and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 1,818
42.

Statistical Modeling of Credit Default Swap Portfolios

Number of pages: 43 Posted: 14 Apr 2011 Last Revised: 25 Apr 2011
Working Paper Series
University of Oxford and Bloomberg Tradebook
Downloads 1,811
43.

Trading volume and liquidity provision in cryptocurrency markets

Number of pages: 42 Posted: 13 Sep 2018 Last Revised: 20 Jun 2022
Working Paper Series
School of Economics and Finance, Queen Mary University of London, Warwick Business School and Lancaster University Management School
Downloads 1,801
44.

Machine Learning and the Stock Market

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 73 Posted: 27 Aug 2018 Last Revised: 31 Jan 2022
Working Paper Series
University of Utah - David Eccles School of Business and Stockholm University
Downloads 1,778
45.

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 1,723
46.

Be Skeptical of Asset Management Research

Number of pages: 6 Posted: 03 Sep 2021
Working Paper Series
Duke University - Fuqua School of Business
Downloads 1,721
47.

The Contributions of Betas versus Characteristics to the ESG Premium

CEIS Working Paper No. 413
Number of pages: 34 Posted: 20 Dec 2019 Last Revised: 03 Aug 2020
Working Paper Series
Tor Vergata University of Rome - Department of Economics and Finance, University of Gronigen - Faculty of Economics and Business and University of Groningen - Faculty of Economics and Business
Downloads 1,713
48.

Network Capital: Value of Currency Protocols Bitcoin & SolarCoin Cases in Context

Columbia Business School Research Paper No. 19-2
Number of pages: 13 Posted: 03 Dec 2018
Working Paper Series
Carbon Finance Labs and Columbia Business School
Downloads 1,654
49.

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 1,615
50.

Long-Term Investing in Triple Leveraged Exchange Traded Funds

Number of pages: 15 Posted: 13 Jan 2021
Working Paper Series
Independent
Downloads 1,592