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JEL Code: E4

3,380,142 Total downloads

Viewing: 1 - 50 of 15,597 papers

1.

The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides)

Number of pages: 44 Posted: 06 Sep 2017 Last Revised: 04 Oct 2018
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 20,426
2.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016; https://doi.org/10.3905/jpm.2016.42.4.059.
Number of pages: 31 Posted: 17 Jul 2019 Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 17,709
3.

What Happened to the Quants in August 2007?

Number of pages: 67 Posted: 21 Sep 2007 Last Revised: 17 Jan 2008
Working Paper Series
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

Multiple version iconThere are 2 versions of this paper

Downloads 15,539
4.

Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask

Number of pages: 82 Posted: 18 Feb 2013 Last Revised: 03 Apr 2013
Working Paper Series
Digital Gold Institute and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 14,490
5.

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 13,063
6.

Initial Coin Offerings and the Value of Crypto Tokens

MIT Sloan Research Paper No. 5347-18, Rotman School of Management Working Paper No. 3137213
Number of pages: 37 Posted: 13 Mar 2018 Last Revised: 07 Mar 2019
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Toronto - Rotman School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 12,991
7.

An Alternative Three-Factor Model

Number of pages: 32 Posted: 19 May 2010 Last Revised: 21 Jan 2014
Working Paper Series
Luohan Academy, Simon Business School, University of Rochester and Ohio State University - Fisher College of Business
Downloads 11,971
8.

The Probability of Backtest Overfitting

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34 Posted: 16 Sep 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University

Multiple version iconThere are 2 versions of this paper

Downloads 11,787
9.

Advances in Financial Machine Learning (Chapter 1)

Advances in Financial Machine Learning, Wiley, 1st Edition (2018); ISBN: 978-1-119-48208-6
Number of pages: 61 Posted: 19 Jan 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 11,437
10.

Three Quant Lessons from COVID-19 (Presentation Slides)

Number of pages: 19 Posted: 31 Mar 2020 Last Revised: 08 May 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and Hebrew University of Jerusalem
Downloads 11,285
11.

Institutional Investors and Stock Market Volatility

MIT Department of Economics Working Paper No. 03-30
Number of pages: 51 Posted: 11 Sep 2003 Last Revised: 01 Jun 2010
Accepted Paper Series
Harvard University - Department of Economics, Boston University - Center for Polymer Studies, Boston University - Center for Polymer Studies and Boston University - Center for Polymer Studies

Multiple version iconThere are 2 versions of this paper

Downloads 11,177
12.

2017 Global Blockchain Benchmarking Study

Number of pages: 122 Posted: 21 Sep 2017 Last Revised: 20 Oct 2019
Working Paper Series
London School of Economics and University of Cambridge - Cambridge Centre for Alternative Finance
Downloads 10,969
13.

The Tactical and Strategic Value of Commodity Futures

Number of pages: 61 Posted: 03 Feb 2005
Working Paper Series
TR and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 10,066
14.

The 10 Reasons Most Machine Learning Funds Fail

Journalof Portfolio Management, Forthcoming
Number of pages: 21 Posted: 18 Jan 2018 Last Revised: 01 Jul 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 9,649
15.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999
Working Paper Series
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 9,518
16.

Black Money and Demonetisation

Number of pages: 24 Posted: 14 Nov 2016
Working Paper Series
University of Mumbai
Downloads 8,816
17.

Hayek Money: The Cryptocurrency Price Stability Solution

Number of pages: 51 Posted: 17 Apr 2014 Last Revised: 23 Aug 2016
Working Paper Series
Digital Gold Institute
Downloads 8,791
18.

Analysis of the Dot-Com Bubble of the 1990s

Number of pages: 37 Posted: 29 Jun 2008
Working Paper Series
Kansas State University and Kent State University
Downloads 8,490
19.

Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Number of pages: 29 Posted: 29 Jan 2009 Last Revised: 22 Jun 2016
Working Paper Series
Intesa Sanpaolo - Financial and Market Risk Management

Multiple version iconThere are 2 versions of this paper

Downloads 8,172
20.

The Norway Model

Journal of Portfolio Management, Vol. 38, No. 2, 2012, pages 67–81, https://doi.org/10.3905/jpm.2012.38.2.067
Number of pages: 17 Posted: 17 Jul 2019 Last Revised: 17 Jul 2019
Accepted Paper Series
University of Cambridge - Judge Business School, University of Cambridge - Judge Business School and AQR Capital Management
Downloads 8,155
21.

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 8,024
22.

Is Disruptive Blockchain Technology the Future of Financial Services?

69 The Consumer Finance Law Quarterly Report 232 (2016)
Number of pages: 11 Posted: 31 May 2016 Last Revised: 24 Dec 2017
Accepted Paper Series
Prairie View A&M University - College of Business
Downloads 7,511
23.

Macroeconomic Factors and the Correlation of Stock and Bond Returns

Number of pages: 53 Posted: 23 Nov 2003
Working Paper Series
Capula Investment Services
Downloads 7,300
24.

Advances in Financial Machine Learning: Lecture 1/10 (seminar slides)

Number of pages: 57 Posted: 21 Oct 2018 Last Revised: 29 Jun 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 7,216
25.

Secret Liens and the Financial Crisis of 2008

American Bankruptcy Law Journal, Vol. 83, p. 253, 2009
Number of pages: 44 Posted: 05 Jan 2009 Last Revised: 16 Oct 2009
Accepted Paper Series
University of Southern California Gould School of Law
Downloads 7,073
26.

A Closed-Form Solution for Optimal Mean-Reverting Trading Strategies

Number of pages: 32 Posted: 09 Mar 2020 Last Revised: 24 Mar 2020
Working Paper Series
Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial Engineering
Downloads 7,054
27.

The Financial Market Impact of Quantitative Easing

Bank of England Working Paper No. 393
Number of pages: 44 Posted: 12 Jul 2010 Last Revised: 15 Jul 2015
Working Paper Series
Bank of England - Monetary Analysis, Bank of England, Bank of England and Bank of England
Downloads 6,988
28.

Equity Premia Around the World

Number of pages: 19 Posted: 08 Oct 2011 Last Revised: 19 Mar 2016
Working Paper Series
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 6,903
29.

Interest Rates and The Credit Crunch: New Formulas and Market Models

Bloomberg Portfolio Research Paper No. 2010-01-FRONTIERS
Number of pages: 39 Posted: 24 Jan 2009 Last Revised: 11 May 2010
Accepted Paper Series
Bloomberg L.P.
Downloads 6,895
30.

Synthetic Commodity Money

Number of pages: 29 Posted: 06 Feb 2012 Last Revised: 21 Apr 2013
Working Paper Series
The Cato Institute
Downloads 6,690
31.

High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds

Number of pages: 27 Posted: 19 Jul 2004
Working Paper Series
London Business School
Downloads 6,609
32.

Measuring Loss Potential of Hedge Fund Strategies

Number of pages: 25 Posted: 04 Jan 2005
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering and UBS Wealth Managment Research
Downloads 6,582
33.

Special Purpose Vehicles and Securitization

FRB Philadelphia Working Paper No. 05-21
Number of pages: 63 Posted: 04 May 2005 Last Revised: 22 Nov 2019
Working Paper Series
Yale School of Management and University of Pennsylvania - Finance Department

Multiple version iconThere are 2 versions of this paper

Downloads 6,570
34.

Systemic Risk: A Survey

Number of pages: 79 Posted: 13 Mar 2001
Working Paper Series
Banque de France - Economic Study and Research Division and European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Downloads 6,501
35.

Sharpening the Arithmetic of Active Management

Financial Analysts Journal, 2018, 74 (1): 21-36
Number of pages: 23 Posted: 07 Oct 2016 Last Revised: 23 Feb 2018
Working Paper Series
AQR Capital Management, LLC
Downloads 6,474
36.

The 7 Reasons Most Econometric Investments Fail (Presentation Slides)

Number of pages: 39 Posted: 23 Apr 2019 Last Revised: 16 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 6,411
37.

Factor Investing in the Corporate Bond Market

Financial Analysts Journal, 2017, Vol. 73, No. 2
Number of pages: 49 Posted: 31 Oct 2014 Last Revised: 13 Feb 2017
Accepted Paper Series
Robeco Investment Research and BlueCove Limited
Downloads 6,374
38.

A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model

Number of pages: 26 Posted: 07 Apr 1999
Working Paper Series
Bank of America
Downloads 6,082
39.

The Crisis: Basic Mechanisms, and Appropriate Policies

MIT Department of Economics Working Paper No. 09-01
Number of pages: 34 Posted: 10 Jan 2009 Last Revised: 15 Jan 2009
Working Paper Series
National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Downloads 6,000
40.

E-Banking Practices and Customer Satisfaction - A Case Study in Botswana

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 15 Posted: 04 Sep 2007
Working Paper Series
University of Leeds
Downloads 5,948
41.

The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality

Journal of Portfolio Management, 40 (5), pp. 94-107. 2014 (40th Anniversary Special Issue)
Number of pages: 22 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 5,887
42.

Bagehot was a Shadow Banker: Shadow Banking, Central Banking, and the Future of Global Finance

Number of pages: 20 Posted: 12 Mar 2013 Last Revised: 06 Nov 2013
Working Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Credit Suisse, Credit Suisse and Bard College at Simon's Rock
Downloads 5,837
43.

Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals

Number of pages: 75 Posted: 27 Dec 2007
Working Paper Series
Bloomberg L.P.
Downloads 5,760
44.

A Step by Step Guide to Construct a Financial Model Without Plugs and Without Circularity for Valuation Purposes

Number of pages: 21 Posted: 28 May 2008 Last Revised: 02 Nov 2008
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 5,687
45.

Demography and the Long-Run Predictability of the Stock Market

Number of pages: 33 Posted: 24 Sep 2002
Working Paper Series
Yale University, University of Southern California - Department of Economics and University of California, Davis - Department of Economics
Downloads 5,586
46.

Can Bitcoin Become a Major Currency?

GMU Working Paper in Economics No. 14-17
Number of pages: 9 Posted: 06 Jun 2014 Last Revised: 22 May 2018
Working Paper Series
Florida Atlantic University and George Mason University - Department of Economics
Downloads 5,582
47.

Detection of False Investment Strategies Using Unsupervised Learning Methods

Number of pages: 25 Posted: 23 Apr 2018 Last Revised: 07 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and New York University (NYU) - Courant Institute of Mathematical Sciences
Downloads 5,548
48.

The Dark Side of Universal Banking: Financial Conglomerates and the Origins of the Subprime Financial Crisis

Connecticut Law Review, Vol. 41, No. 4, 2009, GWU Law School Public Law Research Paper No. 468, GWU Legal Studies Research Paper No. 468
Number of pages: 89 Posted: 13 May 2009
Accepted Paper Series
George Washington University Law School
Downloads 5,511
49.

Crypto-Securities Regulation: ICOs, Token Sales and Cryptocurrencies under EU Financial Law

15 European Company and Financial Law Review 645-696 (2018)
Number of pages: 45 Posted: 30 Nov 2017 Last Revised: 17 Apr 2019
Accepted Paper Series
European University Viadrina Frankfurt (Oder) - European New School of Digital Studies and University of Vienna, Faculty of Law
Downloads 5,490
50.

What Every Investor Should Know About Commodities, Part I: Univariate Return Analysis

Alternative Investment Research Centre Working Paper No. 29, Cass Business School Research Paper
Number of pages: 35 Posted: 27 Jan 2006
Working Paper Series
Independent and Deutsche Bank AG (London)
Downloads 5,465