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JEL Code: C58

231,454 Total downloads

Viewing: 1 - 50 of 1,312 papers

1.

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018
Number of pages: 67 Posted: 09 Apr 2018 Last Revised: 29 Jul 2018
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 6,827
2.

Deep Learning for Finance: Deep Portfolios

Number of pages: 15 Posted: 14 Sep 2016 Last Revised: 18 Feb 2019
Working Paper Series
J.B. Heaton, P.C., University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 6,493
3.

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, AQR Capital Management, LLC and Cornell Financial Engineering Manhattan
Downloads 4,707
4.

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 4,325
5.

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 3,959
6.

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 3,719
7.

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 3,314
8.

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 3,184
9.

Markov-Switching GARCH Models in R: The MSGARCH Package

Journal of Statistical Software, Forthcoming
Number of pages: 39 Posted: 02 Oct 2016 Last Revised: 31 May 2018
Accepted Paper Series
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 2,952
10.

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 2,762
11.

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 2,664
12.

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 2,570
13.

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 2,473
14.

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 2,115
15.

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 1,949
16.

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 1,806
17.

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 1,648
18.

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
Independent and Robeco Asset Management, Quantitative Investment Research
Downloads 1,619
19.

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 Kent - Kent Business School
Downloads 1,595
20.

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 1,500
21.

Industry Return Predictability: A Machine Learning Approach

Number of pages: 42 Posted: 17 Feb 2018 Last Revised: 14 Oct 2018
Working Paper Series
Saint Louis University - Richard A. Chaifetz School of Business, University of Denver - Reiman School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,334
22.

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 1,261
23.

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 1,172
24.

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 1,155
25.

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 1,105
26.

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 1,094
27.

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 1,092
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

Multiple version iconThere are 2 versions of this paper

Downloads 1,050
29.

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 affiliation not provided to SSRN
Downloads 1,001
30.

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: 36 Posted: 16 Feb 2017 Last Revised: 14 Aug 2018
Accepted Paper Series
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,000
31.

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 992
32.

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 948
33.

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 933
34.

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 919
35.

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 917
36.

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 904
37.

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 895
38.

Factors vs. Sectors in Asset Allocation: Stronger Together?

Number of pages: 24 Posted: 10 May 2017 Last Revised: 27 May 2018
Working Paper Series
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Downloads 863
39.

Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach

Review of Financial Studies (RFS), Vol. 30, No. 4, pp. 1339-1381, 2017
Number of pages: 70 Posted: 10 Aug 2013 Last Revised: 05 Jun 2017
Accepted Paper Series
American University in Dubai, Moody's Analytics and Temple University - Department of Finance
Downloads 850
40.

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 849
41.

Bitcoin Market Microstructure

Number of pages: 25 Posted: 11 Apr 2017
Working Paper Series
University of Tuebingen - Department of Statistics and Econometrics
Downloads 849
42.

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 844
43.

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 827
44.

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 803
45.

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 802
46.

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 798
47.

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, ESSEC Business School and University of Zurich - Department of Banking and Finance
Downloads 784
48.

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 756
49.

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 753
50.

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 746