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JEL Code: C58

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Viewing: 1 - 50 of 1,148 papers

1.

Deep Learning for Finance: Deep Portfolios

Number of pages: 15 Posted: 14 Sep 2016 Last Revised: 15 Mar 2018
Working Paper Series
J.B. Heaton, P.C., University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 5,047
2.

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
Imperial College London, AQR Capital Management, LLC and Cornell Financial Engineering Manhattan
Downloads 4,428
3.

CDS Rate Construction Methods by Machine Learning Techniques

Number of pages: 51 Posted: 15 May 2017 Last Revised: 23 Mar 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads 3,258
4.

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
Saint Louis University - Richard A. Chaifetz School of Business, University of Utah - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 3,233
5.

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 3,010
6.

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 Clark University - Graduate School of Management
Downloads 2,925
7.

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, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 2,494
8.

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 2,465
9.

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 2,293
10.

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
Robeco Asset Management, Quantitative Investment Research
Downloads 1,988
11.

Markov-Switching GARCH Models in R: The MSGARCH Package

Number of pages: 39 Posted: 02 Oct 2016 Last Revised: 20 May 2018
Working Paper Series
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB), University of Aarhus - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 1,883
12.

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 1,841
13.

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, Robeco Asset Management, Quantitative Investment Research, Robeco Asset Management and Robeco Asset Management
Downloads 1,689
14.

Statistical Modeling of Credit Default Swap Portfolios

Number of pages: 43 Posted: 14 Apr 2011 Last Revised: 25 Apr 2011
Working Paper Series
Imperial College London and Bloomberg Tradebook
Downloads 1,588
15.

Volatility Weighting Applied to Momentum Strategies

Journal of Alternative Investments, Forthcoming
Number of pages: 37 Posted: 29 Apr 2015 Last Revised: 29 Jul 2016
Accepted Paper Series
Unaffiliated Authors - Independent and Robeco Asset Management, Quantitative Investment Research
Downloads 1,527
16.

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, Canterbury - Kent Business School and University of Kent, Canterbury - Kent Business School
Downloads 1,504
17.

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 Imperial College London
Downloads 1,435
18.

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, Saint Louis University - Richard A. Chaifetz School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,384
19.

The Rate of Market Efficiency

Number of pages: 62 Posted: 20 Mar 2012 Last Revised: 13 Oct 2014
Working Paper Series
EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting and Universidad Carlos III de Madrid
Downloads 1,144
20.

The Scientific Outlook in Financial Economics: Transcript of the Presidential Address and Presentation Slides

Duke I&E Research Paper No. 2017-06
Number of pages: 16 Posted: 10 Jan 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads 1,063
21.

Factor Investing: Risk Premia vs. Diversification Benefits

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 43 Posted: 08 Jun 2015 Last Revised: 10 Sep 2017
Working Paper Series
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Downloads 1,038
22.

Factor High-Frequency Based Volatility (HEAVY) Models

Number of pages: 47 Posted: 28 May 2014
Working Paper Series
University of Oxford - Department of Economics and Capital University of Economics and Business-International School of Economics and Management
Downloads 1,002
23.

High-Frequency Jump Analysis of the Bitcoin Market

Swiss Finance Institute Research Paper No. 17-19
Number of pages: 30 Posted: 10 Jun 2017 Last Revised: 26 Jun 2017
Working Paper Series
University of Geneva GSEM and GFRI, University of Zurich and Ecole Polytechnique Fédérale de Lausanne
Downloads 968
24.

Minimax: Portfolio Choice Based on Pessimistic Decision Making

Number of pages: 25 Posted: 06 Jun 2012
Working Paper Series
University of Konstanz - Department of Economics and University of Konstanz - Faculty of Economics and Statistics
Downloads 937
25.

Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses

Number of pages: 14 Posted: 27 Dec 2017 Last Revised: 24 Feb 2018
Working 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 931
26.

Credit Spread Interdependencies of European States and Banks During the Financial Crisis

Number of pages: 38 Posted: 17 May 2011 Last Revised: 16 Jan 2012
Working Paper Series
International Monetary Fund and Deutsche Bundesbank
Downloads 912
27.

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

Multiple version iconThere are 2 versions of this paper

Downloads 905
28.

Forecasting Government Bond Risk Premia Using Technical Indicators

25th Australasian Finance and Banking Conference 2012, Asian Finance Association (AsFA) 2013 Conference
Number of pages: 50 Posted: 22 Aug 2011 Last Revised: 13 Nov 2013
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 867
29.

Multivariate Rotated ARCH Models

Number of pages: 36 Posted: 19 Feb 2012 Last Revised: 19 Nov 2013
Working Paper Series
University of Oxford - Department of Economics, Harvard University and University of Oxford - Department of Economics
Downloads 863
30.

Disentangling Rebalancing Return

The Journal of Asset Management 2014, Vol. 15, 5, pp.301–316,
Number of pages: 31 Posted: 05 Feb 2014 Last Revised: 10 Dec 2016
Accepted Paper Series
Robeco Asset Management, Quantitative Investment Research
Downloads 852
31.

Datestamping the Bitcoin and Ethereum Bubbles

Number of pages: 17 Posted: 05 Dec 2017
Working Paper Series
Dublin City University Business School, Trinity Business School, Trinity College Dublin and Anglia Ruskin University - Lord Ashcroft International Business School
Downloads 829
32.

An Empirical Assessment of Empirical Corporate Finance

Number of pages: 111 Posted: 18 Mar 2011 Last Revised: 07 May 2017
Working Paper Series
University of Utah - Department of Finance and University of Western Ontario - Ivey School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 803
33.

The Economics of Bitcoins -- Market Characteristics and Price Jumps

CESifo Working Paper Series No. 5121
Number of pages: 12 Posted: 14 Jan 2015
Working Paper Series
University of Aberdeen
Downloads 802
34.

An Empirical Analysis of the Ross Recovery Theorem

Number of pages: 39 Posted: 06 May 2014 Last Revised: 01 Mar 2015
Working Paper Series
University of St. Gallen, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 801
35.

Equity Premium Predictions with Adaptive Macro Indexes

FRB of New York Staff Report No. 475
Number of pages: 47 Posted: 16 Oct 2010
Working Paper Series
Georgetown University - Department of Finance
Downloads 791
36.

Excess Volatility as an Impediment for a Digital Currency

Number of pages: 40 Posted: 11 Apr 2017 Last Revised: 04 May 2018
Working Paper Series
University of Western Australia - Business School and University of Tuebingen - Department of Statistics and Econometrics
Downloads 777
37.

Factors vs. Sectors in Asset Allocation: Stronger Together?

Number of pages: 24 Posted: 10 May 2017 Last Revised: 09 Sep 2017
Working Paper Series
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Downloads 774
38.

Managing Sovereign Credit Risk in Bond Portfolios

Number of pages: 27 Posted: 09 Nov 2011 Last Revised: 23 Feb 2012
Working Paper Series
Lyxor Asset Management, affiliation not provided to SSRN and Amundi Asset Management
Downloads 773
39.

Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study

Number of pages: 36 Posted: 16 Feb 2017 Last Revised: 04 Mar 2018
Working Paper Series
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB) and University of Aarhus - School of Business and Social Sciences
Downloads 747
40.

Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility

Economic Research Initiatives at Duke (ERID) Working Paper No. 168
Number of pages: 63 Posted: 15 Oct 2011 Last Revised: 18 Nov 2013
Accepted Paper Series
Duke University - Department of Economics and University of Oxford - Department of Economics
Downloads 741
41.

Risk and Risk Premia: A Cross Asset Class Analysis

Number of pages: 32 Posted: 07 Jan 2016 Last Revised: 02 May 2016
Working Paper Series
Quoniam Asset Management
Downloads 740
42.

Tail Risk Hedging and Regime Switching

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 40 Posted: 17 Oct 2011 Last Revised: 05 Aug 2016
Working Paper Series
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance, University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance and University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance
Downloads 719
43.

Exploring Return Dynamics via Corridor Implied Volatility

Review of Financial Studies, Vol. 28 (10), pp. 2902-2945, 2015
Number of pages: 37 Posted: 21 Mar 2011 Last Revised: 10 Oct 2015
Accepted Paper Series
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance and Universidad Complutense de Madrid - Colegio Universitario de Estudios Financieros (CUNEF)
Downloads 707
44.

Forecasting Exchange Rates: An Investor Perspective

CESifo Working Paper Series No. 4238
Number of pages: 40 Posted: 22 May 2013
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management, BlackRock, Inc and BlackRock, Inc
Downloads 703
45.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 18 May 2017
Working Paper Series
University of Warwick - Finance Group, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Downloads 684
46.

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Swiss Finance Institute Research Paper No. 13-40
Number of pages: 75 Posted: 26 Jul 2013 Last Revised: 22 Dec 2016
Working Paper Series
University of Zurich - Department of Banking and Finance, Queen Mary, University of London and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 678
47.

A new financial stress indicator: properties and conditional asset price behavior

Number of pages: 41 Posted: 28 Aug 2013 Last Revised: 13 May 2014
Working Paper Series
SMILE Investment Solutions, Riskelia and ESCP Europe
Downloads 677
48.

The Intraday Performance of Market Timing Strategies and Trading Systems Based on Japanese Candlesticks

Quantitative Finance, vol. 13 (7), 2013
Number of pages: 27 Posted: 08 Aug 2012 Last Revised: 23 Jan 2016
Accepted Paper Series
National Bank of Belgium, IESEG School of Management and Louvain School of Management (UCL)
Downloads 674
49.

Bitcoin Market Microstructure

Number of pages: 25 Posted: 11 Apr 2017
Working Paper Series
University of Tuebingen - Department of Statistics and Econometrics
Downloads 669
50.

Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

Number of pages: 50 Posted: 13 Feb 2013
Working Paper Series
Duke University, Duke University - Department of Economics and University of Oxford - Department of Economics
Downloads 655