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Financial Engineering eJournal

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Viewing: 1 - 50 of 538 papers

1.

Volatility-Managed Portfolios

Journal of Finance, Forthcoming
Number of pages: 76 Posted: 12 Sep 2015 Last Revised: 08 Mar 2017
Accepted Paper Series
University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 6,554
2.

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
AQR Capital Management, LLC and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,007
3.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Peloponnese - School of Management, Economics and Informatics
Downloads 3,930
4.

Global CAPE Model Optimization

Number of pages: 17 Posted: 18 Oct 2012 Last Revised: 31 Oct 2012
Working Paper Series
ReSolve Asset Management, ReSolve Asset Management, ReSolve Asset Management and Cambria Investment Management
Downloads 3,867
5.

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 3,422
6.

Dynamical Models of Market Impact and Algorithms for Order Execution

HANDBOOK ON SYSTEMIC RISK, Jean-Pierre Fouque, Joseph A. Langsam, eds., pp. 579-599, Cambridge, 2013
Number of pages: 23 Posted: 05 Apr 2012 Last Revised: 04 Sep 2013
Accepted Paper Series
CUNY Baruch College and University of Mannheim
Downloads 2,897
7.

A Boosting Approach for Automated Trading

Journal of Trading, Vol. 2, No. 3, pp. 84-96.
Number of pages: 10 Posted: 17 Oct 2006 Last Revised: 20 Feb 2013
Accepted Paper Series
Stevens Institute of Technology and University of California, San Diego
Downloads 2,879
8.

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 AQR Capital Management, LLC
Downloads 2,875
9.

Talking Numbers: Technical versus Fundamental Investment Recommendations

Journal of Banking and Finance, Volume 92, 2018, 100-114
Number of pages: 43 Posted: 22 Aug 2015 Last Revised: 08 Jun 2018
Accepted Paper Series
Interdisciplinary Center (IDC) Herzliyah, Bar-Ilan University - Graduate School of Business Administration and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 2,555
10.

Implied Volatility Surface: Construction Methodologies and Characteristics

Number of pages: 38 Posted: 10 Jul 2011
Working Paper Series
Independent
Downloads 2,427
11.

Optimal Risk Budgeting under a Finite Investment Horizon

Number of pages: 25 Posted: 07 Dec 2013 Last Revised: 05 Jul 2015
Working Paper Series
AQR Capital Management, LLC, Vince Strategies LLC and Western Michigan University
Downloads 1,996
12.

Negative Probabilities in Financial Modeling

Number of pages: 24 Posted: 01 Mar 2011
Working Paper Series
University of Hawaii - Shidler College of Business and University of California, Los Angeles (UCLA) - Department of Mathematics
Downloads 1,778
13.

High-Frequency Trading

Johnson School Research Paper Series No. #20-2013
Number of pages: 15 Posted: 13 Jun 2013
Working Paper Series
Emory University - Department of Finance, University of Lausanne, University of California, San Diego and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 1,612
14.

Deep Learning for Limit Order Books

Number of pages: 39 Posted: 04 Jan 2016 Last Revised: 11 Jan 2017
Working Paper Series
Imperial College London - Department of Mathematics
Downloads 1,591
15.

'Maximal' Convenience Yield Model Implied by Commodity Futures

EFA 2002 Berlin Meetings Presented Paper; Carnegie Mellon University Working Paper
Number of pages: 36 Posted: 27 Feb 2002
Working Paper Series
Pontificia Universidad Catolica de Chile and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,504
16.

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 1,465
17.

An Overview of Credit Derivatives

Number of pages: 32 Posted: 28 Nov 2008 Last Revised: 15 Jun 2016
Working Paper Series
Stanford University - Management Science & Engineering
Downloads 1,420
18.

Initial Coin Offerings: Emerging Practices, Risk Factors, and Red Flags

Forthcoming, Fintech Handbook, Florian Möslein & Sebastian Omlor eds., Verlag C.H. Beck (2018) , U of St. Thomas (Minnesota) Legal Studies Research Paper No. 17-18
Number of pages: 22 Posted: 14 Nov 2017
Working Paper Series
University of St. Thomas, Minnesota - School of Law and New York University School of Law
Downloads 1,410
19.

Option Pricing with Mean Reversion and Stochastic Volatility

European Journal of Operational Research 197, 179-187, 2009
Number of pages: 25 Posted: 28 Mar 2008 Last Revised: 13 Feb 2009
Working Paper Series
The Chinese University of Hong Kong (CUHK) - Department of Statistics and affiliation not provided to SSRN
Downloads 1,376
20.

Performance Metrics for Algorithmic Traders

UIC College of Business Administration Research Paper No. 09-14
Number of pages: 30 Posted: 28 Jul 2009 Last Revised: 05 Jan 2012
Working Paper Series
Department of Finance
Downloads 1,348
21.

Real Options, Volatility, and Stock Returns

Journal of Finance, Vol. 67, pp. 1499-1536, 2012
Number of pages: 49 Posted: 08 Mar 2008 Last Revised: 25 Mar 2013
Accepted Paper Series
Rice University - Jesse H. Jones Graduate School of Business, Boston University and Pennsylvania State University
Downloads 1,342
22.

Mathematics and Economics: A Reality Check

Journal of Portfolio Management, Vol. 43, No. 1, 2016
Number of pages: 6 Posted: 13 Aug 2016 Last Revised: 21 Aug 2016
Accepted Paper Series
AQR Capital Management, LLC
Downloads 1,272
23.

Levy Based Cross-Commodity Models and Derivative Valuation

SIAM Journal on Financial Mathematics, 2(1), pp. 464-487, 2011
Number of pages: 31 Posted: 18 Nov 2008 Last Revised: 15 Jun 2016
Accepted Paper Series
University of Toronto - Department of Statistics and RBC Capital Markets
Downloads 1,232
24.

Applied Stochastic Control in High Frequency and Algorithmic Trading

Number of pages: 210 Posted: 03 Oct 2014
Working Paper Series
University of Toronto, Department of Statistics
Downloads 1,221
25.

The Market Price of Credit Risk: The Impact of Asymmetric Information

Number of pages: 24 Posted: 08 Oct 2003 Last Revised: 15 Jun 2016
Working Paper Series
Stanford University - Management Science & Engineering and University of California, Berkeley
Downloads 1,204
26.

The Subprime Crisis and Financial Regulation: International and Comparative Perspectives

Chicago Journal of International Law, Vol. 10, No. 2, 2010, U of Chicago Law & Economics, Olin Working Paper No. 517
Number of pages: 59 Posted: 31 Mar 2010 Last Revised: 13 Apr 2010
Working Paper Series
University of Chicago - Law School
Downloads 1,196
27.

Optimal Credit Swap Portfolios

Number of pages: 32 Posted: 03 Jul 2009 Last Revised: 20 Aug 2018
Working Paper Series
Stanford University - Management Science & Engineering, Korea University Business School (KUBS), Stanford University - Management Science & Engineering and University of Pennsylvania - The Wharton School
Downloads 1,194
28.

The Hybrid Stochastic-Local Volatility Model with Applications in Pricing FX Options

Number of pages: 146 Posted: 24 Feb 2014 Last Revised: 07 May 2016
Working Paper Series
Monash University
Downloads 1,184
29.

Risk Tolerance Questions to Best Determine Client Portfolio Allocation Preferences

Journal of Financial Planning 25, 5: 36-44, 2012
Number of pages: 9 Posted: 21 Jun 2012 Last Revised: 20 Apr 2015
Accepted Paper Series
Texas Tech University - Department of Personal Financial Planning, The American College and Texas Tech University
Downloads 1,149
30.

Extension of the Miller and Modigliani Theory to Allow for Share Repurchases

Mathematical Finance Letters, 2017
Number of pages: 15 Posted: 16 Jan 2009 Last Revised: 25 Jul 2017
Accepted Paper Series
University of Texas at Dallas - Naveen Jindal School of Management
Downloads 1,078
31.

Modeling Trade Direction

Number of pages: 25 Posted: 27 Nov 2007 Last Revised: 18 Oct 2011
Working Paper Series
Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,054
32.

Supercomputing for Finance: A Gentle Introduction (Presentation Slides)

Number of pages: 20 Posted: 30 Jan 2017 Last Revised: 01 Feb 2017
Working Paper Series
AQR Capital Management, LLC
Downloads 1,049
33.

Accounting and Economic Measures: An Integrated Theory of Capital Budgeting

Number of pages: 48 Posted: 01 Nov 2009 Last Revised: 05 Sep 2015
Working Paper Series
Università degli studi di Modena e Reggio Emilia (UNIMORE) - School of Doctorate E4E (Engineering for Economics-Economics for Engineering)
Downloads 1,043
34.

Optimal Trading Rules Without Backtesting

Number of pages: 29 Posted: 29 Sep 2014 Last Revised: 05 Jul 2015
Working Paper Series
AQR Capital Management, LLC
Downloads 1,038
35.

Multi-Alpha Equity Portfolios: An Integrated Risk Budgeting Approach for Robust Constrained Portfolios

Forthcoming Journal of Asset Management
Number of pages: 34 Posted: 10 Nov 2012 Last Revised: 29 Jun 2014
Accepted Paper Series
BNP Paribas Investment Partners, BNP Paribas Investment Partners and BNP Paribas Investment Partners
Downloads 1,018
36.

Option Pricing Using Fourier Space Time-Stepping Framework

Number of pages: 134 Posted: 28 Sep 2009
Working Paper Series
RBC Capital Markets
Downloads 1,004
37.

Agency and Asset Pricing

Number of pages: 39 Posted: 19 Mar 2008 Last Revised: 19 Mar 2008
Working Paper Series
University of California, Los Angeles (UCLA) - Finance Area and Research Affiliates, LLC
Downloads 979
38.

The Future of Financial Engineering

NYU Poly Research Paper
Number of pages: 23 Posted: 03 May 2013 Last Revised: 07 Nov 2017
Working Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads 973
39.

Forecasting of Stock Market Indices Using Artificial Neural Network

Shri Chimanbhai Patel Institutes, Ahmedabad Working Paper No. CPI/MBA/2013/0003
Number of pages: 18 Posted: 10 Feb 2013
Accepted Paper Series
B.K.School of Business Management, Gujarat University, Shri Chimanbhai Patel Institute of Management & Research and Shri Chimanbhai Patel Institute of Management & Research
Downloads 969
40.

What Data Should Be Used to Price Options?

Number of pages: 49 Posted: 29 Aug 1998
Working Paper Series
UCLA Anderson and University of North Carolina Kenan-Flagler Business School
Downloads 929
41.

Introduction to Financial Engineering: Markets and Investments

Number of pages: 106 Posted: 31 Mar 2008
Working Paper Series
Portfolio Engineering Laboratory and Johns Hopkins University - Carey Business School
Downloads 919
42.

Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility

Number of pages: 31 Posted: 10 Jan 2010 Last Revised: 16 Apr 2014
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics, National School of Development, Peking University and Stanford University
Downloads 855
43.

Exploring the Sources of Default Clustering

Journal of Financial Economics 129 (2018), 154-183
Number of pages: 73 Posted: 05 May 2008 Last Revised: 31 Jul 2018
Accepted Paper Series
Stanford University - Management Science & Engineering, Stanford University - Management Science & Engineering and Boston University - Questrom School of Business
Downloads 817
44.

Risk Control of Mean-Reversion Time in Statistical Arbitrage

Risk and Decision Analysis, vol. 6, no. 4, pp. 263-290, 2017
Number of pages: 52 Posted: 14 Nov 2016 Last Revised: 03 Feb 2018
Accepted Paper Series
Stanford University - Institute for Computational and Mathematical Engineering and Stanford University - Department of Mathematics
Downloads 816
45.

Detecting Statistical Arbitrage Opportunities Using a Combined Neural Network - GARCH Model

Number of pages: 14 Posted: 15 Jan 2012 Last Revised: 24 Jan 2012
Working Paper Series
School of Economics, Aristotle University of Thessaloniki and NGSQ International, Ltd
Downloads 815
46.

Momentum's Hidden Sensitivity to the Starting Day

Journal of Investing, Summer 2014, Vol. 23, Number 2
Number of pages: 11 Posted: 31 Jul 2011 Last Revised: 18 Jan 2018
Accepted Paper Series
University of Bridgeport - School of Business, Independent and Gerstein Fisher
Downloads 800
47.

Assessing the Market Timing Performance of Managed Portfolios

Journal of Business, Vol. 59, No. 2, pp. 217-235, 1986
Number of pages: 31 Posted: 21 Oct 2011 Last Revised: 03 May 2012
Accepted Paper Series
Downloads 769
48.

Blockchain in the U.S. Regulatory Setting: Evidentiary Use in Vermont, Delaware, and Elsewhere

Columbia Science & Technology Law Review (May 30, 2017)
Number of pages: 12 Posted: 20 Jun 2017
Accepted Paper Series
University of Oxford, Nanotechnology for Medicine and Health Care
Downloads 756
49.

Reducing Transaction Costs with Low-Latency Trading Algorithms

Number of pages: 14 Posted: 17 Sep 2015
Working Paper Series
Cornell Financial Engineering Manhattan and Cornell University - School of Operations Research and Industrial Engineering
Downloads 745
50.

Financial Markets Analysis by Probabilistic Fuzzy Modelling

ERIM Report Series Reference No. ERS-2003-036-LIS
Number of pages: 20 Posted: 30 Mar 2006
Working Paper Series
Delft University of Technology, Faculty of Technology, Policy and Management, Section of ICT, Erasmus University Rotterdam (EUR) - Faculty of Economics - Department of Computer Science and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 740