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JEL Code: C61

965,467 Total downloads

Viewing: 1 - 50 of 4,763 papers

1.

The Intuition Behind Black-Litterman Model Portfolios

Number of pages: 27 Posted: 28 Oct 2002
Working Paper Series
IndependentGoldman Sachs Group, Inc. - Quantitative Strategy Group and Kepos Capital
Downloads 25,864
2.

Kelly Criterion for Multivariate Portfolios: A Model-Free Approach

Number of pages: 15 Posted: 02 May 2013 Last Revised: 30 Sep 2014
Working Paper Series
letYourMoneyGrow.com
Downloads 14,104
3.

Mathematical Finance Introduction to Continuous Time Financial Market Models

Number of pages: 129 Posted: 02 Apr 2007
Working Paper Series
University of Glasgow
Downloads 12,563
4.

Machine Learning for Trading

Number of pages: 19 Posted: 14 Aug 2017 Last Revised: 04 Dec 2017
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 12,162
5.

A New Anomaly: The Cross-Sectional Profitability of Technical Analysis

Number of pages: 42 Posted: 12 Aug 2010 Last Revised: 22 May 2012
Working Paper Series
University of North Carolina (UNC) at Charlotte - Finance, Washington University in St. Louis and Washington University in St. Louis - John M. Olin Business School
Downloads 10,103
6.

Machine Learning in Asset Management

JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65 Posted: 18 Jul 2019 Last Revised: 23 Jun 2020
Working Paper Series
The Alan Turing Institute
Downloads 9,657
7.

Price Theory

Journal of Economic Literature, Forthcoming
Number of pages: 80 Posted: 02 Jun 2014 Last Revised: 18 Apr 2017
Accepted Paper Series
Microsoft Research
Downloads 7,070
8.

Buy Low Sell High: A High Frequency Trading Perspective

Cartea, Álvaro, Sebastian Jaimungal, and Jason Ricci. "Buy low, sell high: A high frequency trading perspective." SIAM Journal on Financial Mathematics 5.1 (2014): 415-444.
Number of pages: 37 Posted: 26 Nov 2011 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford, University of Toronto - Department of Statistics and University of Toronto, Department of Statistics
Downloads 7,010
9.

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 6,579
10.

Discrete Time Finance

Number of pages: 104 Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads 6,286
11.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Accepted Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 6,254
12.

Local Stochastic Volatility Models: Calibration and Pricing

Number of pages: 57 Posted: 11 Jun 2014 Last Revised: 15 Jul 2014
Working Paper Series
Independent
Downloads 5,283
13.

Implied Binomial Trees in Excel Without Vba

Number of pages: 21 Posted: 08 May 2004
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, University of Otago and Washington and Lee University - Department of Business Administration
Downloads 4,796
14.

A Model of Credit Risk, Optimal Policies, and Asset Prices

Number of pages: 45 Posted: 21 Mar 2001
Working Paper Series
London Business School and New York University (NYU) - Department of Finance

Multiple version iconThere are 5 versions of this paper

Downloads 4,435
15.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 4,167
16.

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 4,081
17.

BCMA-ES II: Revisiting Bayesian CMA-ES

A.I Square Working Paper, March 2019, France
Number of pages: 10 Posted: 06 May 2019
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, AI For Alpha and A.I. Square Connect
Downloads 3,903
18.

Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book

Number of pages: 43 Posted: 09 Aug 2021
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, University College London and Courant Institute of Mathematical Sciences
Downloads 3,858
19.

Analysis of Mortgage Backed Securities: Before and after the Credit Crisis

Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42 Posted: 07 Jan 2007 Last Revised: 29 Jun 2018
Accepted Paper Series
Two Sigma, Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,805
20.

Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation

Number of pages: 35 Posted: 07 May 2012
Working Paper Series
Flexible Plan Investments, Ltd. and University of Delaware
Downloads 3,700
21.

Modern Perspectives on Reinforcement Learning in Finance

The Journal of Machine Learning in Finance, Vol. 1, No. 1, 2020.
Number of pages: 28 Posted: 16 Sep 2019 Last Revised: 16 Mar 2021
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 3,687
22.

Dynamic Mean-Variance Asset Allocation

EFA 2007 Ljubljana Meetings, AFA 2009 San Francisco Meetings Paper
Number of pages: 46 Posted: 27 Feb 2007 Last Revised: 09 Apr 2009
Working Paper Series
London Business School and London School of Economics and Political Science

Multiple version iconThere are 2 versions of this paper

Downloads 3,629
23.

Managing Risks in a Risk-On/Risk-Off Environment

Number of pages: 50 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 3,486
24.

Technical Analysis and Theory of Finance

EFA 2007 Ljubljana Meetings Paper
Number of pages: 54 Posted: 05 Mar 2007
Working Paper Series
Tsinghua University - School of Economics & Management and Washington University in St. Louis - John M. Olin Business School
Downloads 3,484
25.

An Algorithm for Computing Risk Parity Weights

Number of pages: 6 Posted: 24 Jul 2013 Last Revised: 13 Jan 2020
Working Paper Series
affiliation not provided to SSRN
Downloads 3,244
26.

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 3,127
27.

Financial Statement Analysis: A Data Envelopment Analysis Approach

Number of pages: 11 Posted: 08 Aug 2008 Last Revised: 28 Nov 2018
Accepted Paper Series
University of Washington Tacoma, Milgard School of Business-Accounting, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Downloads 3,107
28.

Honey, I Shrunk the Sample Covariance Matrix

UPF Economics and Business Working Paper No. 691
Number of pages: 21 Posted: 18 Sep 2003
Working Paper Series
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 3,051
29.

Implied Volatility Surface: Construction Methodologies and Characteristics

Number of pages: 38 Posted: 10 Jul 2011
Working Paper Series
Independent
Downloads 3,010
30.

Optimal Portfolios from Ordering Information

Number of pages: 62 Posted: 25 Dec 2004
Working Paper Series
University of Toronto - Department of Mathematics and Hutchin Hill Capital
Downloads 2,927
31.

Know Your System! – Turning Data Mining from Bias to Benefit Through System Parameter Permutation

2014 NAAIM Wagner Award Winner
Number of pages: 33 Posted: 30 Apr 2014
Working Paper Series
StatisTrade
Downloads 2,906
32.

Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market

QUT School of Economics and Finance Discussion Paper No. 01-01
Number of pages: 46 Posted: 08 May 2001
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads 2,905
33.

Risk Metrics and Fine Tuning of High Frequency Trading Strategies

Cartea, ÁLvaro, and Sebastian Jaimungal. "RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES." Mathematical Finance (2013).
Number of pages: 37 Posted: 26 Feb 2012 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Oxford and University of Toronto - Department of Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 2,807
34.

Smiling at Convexity: Bridging Swaption Skews and Cms Adjustments

Number of pages: 16 Posted: 21 Mar 2006
Working Paper Series
Bloomberg L.P. and Intesa Sanpaolo
Downloads 2,759
35.

Interest Rates Benchmark Reform and Options Markets

Number of pages: 22 Posted: 09 Mar 2020 Last Revised: 05 May 2022
Working Paper Series
NatWest Marketsaffiliation not provided to SSRN
Downloads 2,735
36.

Algorithmic Trading of Co-Integrated Assets

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 17 Posted: 01 Aug 2015 Last Revised: 24 May 2016
Accepted Paper Series
University of Oxford and University of Toronto - Department of Statistics
Downloads 2,730
37.

The Big Data Newsvendor: Practical Insights from Machine Learning

Published in Operations Research 67(1):90-108. https://doi.org/10.1287/opre.2018.1757
Number of pages: 55 Posted: 03 Feb 2015 Last Revised: 22 Aug 2019
Accepted Paper Series
Robert H. Smith School of Business, University of Maryland and Duke UniversityDuke University - Pratt School of Engineering
Downloads 2,701
38.

Why do Investors Buy Structured Products?

EFA 2009 Bergen Meetings Paper
Number of pages: 31 Posted: 16 Feb 2009 Last Revised: 18 Aug 2011
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Trier
Downloads 2,674
39.

BCMA-ES: A Bayesian Approach to CMA-ES

A.I Square Working Paper, March 2019, France
Number of pages: 10 Posted: 06 May 2019
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 2,672
40.

Statistical Arbitrage: Medium Frequency Portfolio Trading

Number of pages: 27 Posted: 25 Jun 2013 Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads 2,608
41.

Learning Curve Dynamics with Artificial Neural Networks

Number of pages: 18 Posted: 25 Sep 2017 Last Revised: 15 May 2018
Working Paper Series
Abu Dhabi Investment Authority
Downloads 2,550
42.

Dynamic Programming and Optimal Lookahead Strategies in High Frequency Trading with Transaction Costs

Number of pages: 25 Posted: 03 Jan 2000
Working Paper Series
Bloomberg Financial Markets (BFM)
Downloads 2,484
43.

Multiperiod Portfolio Selection and Bayesian Dynamic Models

Risk, Vol. 28, Issue 3, p 50-54, March 2015
Number of pages: 8 Posted: 28 Jul 2014 Last Revised: 16 Mar 2021
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 2,381
45.

Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance

Number of pages: 25 Posted: 02 May 2011 Last Revised: 12 Sep 2011
Working Paper Series
Independent
Downloads 2,279
46.

Measuring National Innovation Systems Efficiency – A Review of DEA Approach

Higher School of Economics Research Paper No. WP BRP 16/STI/2013
Number of pages: 24 Posted: 03 Aug 2013 Last Revised: 23 Sep 2013
Working Paper Series
National Research University - Higher School of Economics
Downloads 2,254
47.

Algorithmic Trading with Model Uncertainty

Forthcoming: SIAM Journal on Financial Mathematics
Number of pages: 47 Posted: 15 Aug 2013 Last Revised: 05 Apr 2017
Accepted Paper Series
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 2,245
48.

Dynamic Type Matching

Rotman School of Management Working Paper No. 2592622
Number of pages: 96 Posted: 11 Apr 2015 Last Revised: 10 Sep 2020
Working Paper Series
University of Toronto - Rotman School of Management and McMaster University - Michael G. DeGroote School of Business
Downloads 2,201
49.

Calibrating Option Pricing Models with Heuristics

NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Anthony Brabazon, Michael O'Neill, Dietmar Maringer, eds., Vol. 4, Springer, 2011
Number of pages: 39 Posted: 08 Mar 2010 Last Revised: 30 Dec 2013
Accepted Paper Series
University of Geneva - Research Center for Statistics and Independent
Downloads 2,179
50.

A Dynamic Model of Active Portfolio Management and Mutual Fund Performance Evaluation

Number of pages: 42 Posted: 16 Mar 2005
Working Paper Series
Nanyang Technological University
Downloads 2,159