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JEL Code: C6

2,307,480 Total downloads

Viewing: 1 - 50 of 11,315 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 25,867
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 14,110
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 12,164
5.

Efficient Simulation of the Heston Stochastic Volatility Model

Number of pages: 38 Posted: 22 Nov 2006
Working Paper Series
Bank of America
Downloads 11,420
6.

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 6

Number of pages: 84 Posted: 08 Nov 2021 Last Revised: 17 Nov 2021
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads 10,661
7.

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 8

Number of pages: 71 Posted: 16 Nov 2021 Last Revised: 17 Nov 2021
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads 10,399
8.

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 10,104
9.

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 3

Number of pages: 51 Posted: 03 Nov 2021 Last Revised: 17 Nov 2021
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads 9,972
10.

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 9,667
11.

Algorithmic and Advanced Programming in Python - Syllabus in Computer Science, Decision Making & Data - Masterclass 9

Number of pages: 63 Posted: 10 Feb 2022
Working Paper Series
Université Paris Dauphine and Université Paris Dauphine
Downloads 8,640
12.

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 7,071
13.

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 7,013
14.

Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR

Number of pages: 25 Posted: 05 Mar 2019 Last Revised: 13 Feb 2020
Working Paper Series
Quantitative Risk Management, Inc. and Bloomberg L.P.
Downloads 6,945
15.

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 6,581
16.

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 6,518
17.

Discrete Time Finance

Number of pages: 104 Posted: 28 Mar 2007
Working Paper Series
University of Glasgow
Downloads 6,286
18.

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
19.

Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals

Number of pages: 75 Posted: 27 Dec 2007
Working Paper Series
Two Sigma
Downloads 5,942
20.

Modelling Operational Risk

Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 23 Posted: 11 Dec 2001 Last Revised: 06 Jan 2010
Working Paper Series
Zurich Cantonal Bank, University of Basel, ETH Zürich - Department of Mathematics and Zurich Cantonal Bank
Downloads 5,701
21.

Real Options Valuation: A Monte Carlo Approach

Faculty of Management, University of Calgary WP No. 2002/3; EFA 2002 Berlin Meetings Presented Paper, WBS Finance Group Research Paper No. 14
Number of pages: 71 Posted: 06 Mar 2002
Working Paper Series
University of Warwick - Finance Group
Downloads 5,584
22.

Trends and Applications of Machine Learning in Quantitative Finance

8th International Conference on Economics and Finance Research (ICEFR 2019)
Number of pages: 9 Posted: 13 Jun 2019
Accepted Paper Series
University College Cork - Cork University Business School, University College Cork - Cork University Business School, University College Cork - Cork University Business School and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 5,448
23.

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
24.

Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Pricing

Number of pages: 45 Posted: 11 Aug 1999
Working Paper Series
Bank of America and Saxo Bank
Downloads 5,322
25.

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 5,291
26.

Introduction to Fast Fourier Transform in Finance

Research paper
Number of pages: 21 Posted: 29 Jun 2004 Last Revised: 28 Oct 2021
Working Paper Series
Bayes Business School, City, University of London
Downloads 5,267
27.

Accountable Algorithms

University of Pennsylvania Law Review, Vol. 165, 2017 Forthcoming, Fordham Law Legal Studies Research Paper No. 2765268
Number of pages: 66 Posted: 16 Apr 2016 Last Revised: 20 Nov 2016
Accepted Paper Series
Naval Postgraduate School, Princeton University - Center for Information Technology Policy, Cornell UniversityMicrosoft Research, Princeton University - Center for Information Technology Policy, Fordham University School of Law, Georgetown University Law CenterUpturn and Princeton University - Center for Information Technology Policy
Downloads 5,091
28.

Automated Trading with Boosting and Expert Weighting

Quantitative Finance, Vol. 4, No. 10, pp. 401–420
Number of pages: 18 Posted: 17 Oct 2006 Last Revised: 20 Feb 2013
Accepted Paper Series
Stevens Institute of Technology, School of Business and University of California, San Diego
Downloads 4,917
29.

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 4,797
30.

Markov Models for Commodity Futures: Theory and Practice

Number of pages: 45 Posted: 30 May 2008 Last Revised: 30 Dec 2008
Working Paper Series
Bank of America
Downloads 4,688
31.

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
32.

Moment Explosions in Stochastic Volatility Models

Number of pages: 32 Posted: 29 Jun 2004
Working Paper Series
Bank of America and NatWest Marketsaffiliation not provided to SSRN
Downloads 4,610
33.

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
34.

Arbitrage-Free SVI Volatility Surfaces

Quantitative Finance, Vol. 14, No. 1, 59-71, 2014.
Number of pages: 27 Posted: 03 Apr 2012 Last Revised: 15 Jan 2014
Accepted Paper Series
CUNY Baruch College and Imperial College London
Downloads 4,408
35.

Trend Filtering Methods for Momentum Strategies

Number of pages: 49 Posted: 07 Jul 2013
Working Paper Series
Lyxor Asset Management, Millennium Capital Management, France branch, Eisler Capital and Amundi Asset Management
Downloads 4,390
36.

The Quantification of Operational Risk

Number of pages: 38 Posted: 30 Dec 2003
Working Paper Series
University of Zurich and University of Basel

Multiple version iconThere are 2 versions of this paper

Downloads 4,244
37.

The Irony in the Derivatives Discounting Part II: The Crisis

Number of pages: 12 Posted: 14 Jul 2009 Last Revised: 19 Dec 2009
Working Paper Series
muRisQ Advisory

Multiple version iconThere are 2 versions of this paper

Downloads 4,243
38.

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
39.

Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach

Rapport Interne CMAP Working Paper No. 490
Number of pages: 39 Posted: 22 Nov 2002
Working Paper Series
University of Oxford and ENSAE, Institut Polytechnique de Paris
Downloads 4,155
40.

Pricing Under Rough Volatility

Quantitative Finance, Vol. 16, No. 6, 887-904, 2016.
Number of pages: 42 Posted: 25 Jan 2015 Last Revised: 13 Jun 2016
Accepted Paper Series
Weierstras Institute for Applied Analysis and Stochastics (WIAS), Technische Universität Berlin (TU Berlin) and CUNY Baruch College
Downloads 4,115
41.

A Comparative Study of Portfolio Insurance

London Business School Working Paper IFA 344
Number of pages: 24 Posted: 22 Dec 2001
Working Paper Series
London Business School
Downloads 4,101
42.

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 4,085
43.

Thickness and Information in Dynamic Matching Markets

Number of pages: 63 Posted: 15 Feb 2014 Last Revised: 09 Jan 2019
Working Paper Series
Stanford University, Harvard University - Society of Fellows and University of California, Berkeley
Downloads 4,033
44.

Generalized Vanna-Volga Method and its Applications

Number of pages: 20 Posted: 30 Jul 2008 Last Revised: 13 Jul 2009
Working Paper Series
Optimal Selection Ltd.
Downloads 4,031
45.

Partial Differential Equation Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs

C. Burgard and M. Kjaer. Partial differential equation representations of derivatives with counterparty risk and funding costs. The Journal of Credit Risk, Vol. 7, No. 3, 1-19, 2011.
Number of pages: 19 Posted: 13 May 2010 Last Revised: 07 Aug 2014
Accepted Paper Series
Bank of America - Bank of America Merrill Lynch and Bloomberg L.P.
Downloads 3,973
46.

Facts and Fantasies About Factor Investing

Number of pages: 112 Posted: 16 Nov 2014 Last Revised: 28 Nov 2014
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 3,969
47.

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
48.

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 3,875
49.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007
Working Paper Series
Two Sigma
Downloads 3,806
50.

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