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Viewing: 1 - 50 of 5,335 papers

1.

101 Formulaic Alphas

Wilmott Magazine 2016(84) (2016) 72-80
Number of pages: 22 Posted: 10 Dec 2015 Last Revised: 29 Jul 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads 21,519
2.

Risk-Neutral Probabilities Explained

Number of pages: 27 Posted: 27 Apr 2009 Last Revised: 20 Oct 2010
Working Paper Series
affiliation not provided to SSRN
Downloads 12,822
3.

Mean-Reversion and Optimization

Journal of Asset Management 16(1) (2015) 14-40
Number of pages: 41 Posted: 11 Aug 2014 Last Revised: 15 Feb 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads 10,004
4.

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), Guggenheim Partners, LLC and Western Michigan University
Downloads 9,069
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 - Olin School of Business
Downloads 8,595
6.

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 8,048
7.

Finiteness of Variance is Irrelevant in the Practice of Quantitative Finance

Complexity, Vol. 14, Issue 3, pp. 66–76, January/February 2009,
Number of pages: 12 Posted: 09 Jun 2008 Last Revised: 16 Nov 2012
Working Paper Series
NYU-Tandon School of Engineering
Downloads 7,258
8.

Errors, Robustness, and the Fourth Quadrant

International Journal of Forecasting, Vol. 25, No. 4, 2009
Number of pages: 16 Posted: 14 Feb 2009 Last Revised: 16 Nov 2012
Accepted Paper Series
NYU-Tandon School of Engineering
Downloads 7,066
9.

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), Guggenheim Partners, LLC and Western Michigan University

Multiple version iconThere are 2 versions of this paper

Downloads 6,895
10.

Phynance

Univ. J. Phys. Appl. 9(2) (2015) 64-133
Number of pages: 111 Posted: 08 May 2014 Last Revised: 12 Apr 2015
Accepted Paper Series
Quantigic Solutions LLC
Downloads 5,708
11.

Diversified Statistical Arbitrage: Dynamically Combining Mean Reversion and Momentum Strategies

Number of pages: 23 Posted: 27 Aug 2010
Working Paper Series
Wildcat Capital Management
Downloads 5,001
12.

Performance v. Turnover: A Story by 4,000 Alphas

The Journal of Investment Strategies 5(2) (2016) 75-89, Invited Investment Strategy Forum Paper
Number of pages: 17 Posted: 10 Sep 2015 Last Revised: 22 Mar 2016
Accepted Paper Series
Quantigic Solutions LLC and WorldQuant LLC
Downloads 4,806
13.

Risk Budgeting and Diversification Based on Optimized Uncorrelated Factors

Number of pages: 18 Posted: 11 Aug 2013 Last Revised: 11 Nov 2015
Working Paper Series
ARPM - Advanced Risk and Portfolio Management, affiliation not provided to SSRN and Fundvisory
Downloads 4,760
14.

Momentum and Markowitz: A Golden Combination

Number of pages: 34 Posted: 16 May 2015 Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads 4,635
15.

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
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Downloads 4,521
16.

Fitting the Smile, Smart Parameters for SABR and Heston

Number of pages: 13 Posted: 31 Oct 2009
Working Paper Series
Daiwa Capital Markets Europe and affiliation not provided to SSRN
Downloads 4,472
17.

Review of Dynamic Allocation Strategies: Utility Maximization, Option Replication, Insurance, Drawdown Control, Convex/Concave Management

Number of pages: 24 Posted: 23 Sep 2010 Last Revised: 12 Feb 2013
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 4,459
18.

Statistical Risk Models

The Journal of Investment Strategies 6(2) (2017) 1-40
Number of pages: 44 Posted: 15 Feb 2016 Last Revised: 12 Mar 2017
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 4,280
19.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016, Forthcoming
Number of pages: 31 Posted: 28 Dec 2015 Last Revised: 24 May 2016
Accepted Paper Series
Guggenheim Partners, LLC
Downloads 4,187
20.

Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges

Number of pages: 12 Posted: 26 Jan 2011 Last Revised: 15 Mar 2011
Working Paper Series
Imperial College London
Downloads 3,996
21.

Properties of the Most Diversified Portfolio

Journal of Investment Strategies, Vol.2(2), Spring 2013, pp.49-70.
Number of pages: 30 Posted: 27 Jul 2011 Last Revised: 22 May 2017
Accepted Paper Series
TOBAM, TOBAM and TOBAM
Downloads 3,783
22.

An Implementation of Markov Regime Switching Model with Time Varying Transition Probabilities in Matlab

Number of pages: 5 Posted: 12 Jun 2012 Last Revised: 29 Jun 2012
Working Paper Series
Analytic Investors
Downloads 3,776
23.

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 and Economics
Downloads 3,600
24.

Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory

NYU Tandon Research Paper No. 1701685
Number of pages: 56 Posted: 03 Nov 2010 Last Revised: 26 Jun 2017
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 3,583
25.

Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach

Cass Business School Research Paper, Journal of Derivatives and Hedge Funds, Vol. 15, No. 2, pp. 91-115, 2009
Number of pages: 33 Posted: 10 May 2004
Accepted Paper Series
Babson College - Finance Division, Independent and ISMA Centre, University of Reading
Downloads 3,462
26.

Empirical Limitations on High Frequency Trading Profitability

Number of pages: 15 Posted: 22 Sep 2010
Working Paper Series
University of Pennsylvania, University of Pennsylvania and University of Pennsylvania
Downloads 3,421
27.

Functional Itô Calculus

Bloomberg Portfolio Research Paper No. 2009-04-FRONTIERS
Number of pages: 25 Posted: 25 Jul 2009 Last Revised: 28 Aug 2009
Working Paper Series
Bloomberg L.P.
Downloads 3,411
28.

Applied Multidimensional Girsanov Theorem

Number of pages: 18 Posted: 11 Apr 2011 Last Revised: 03 Mar 2015
Working Paper Series
Quant Advisory Ltd
Downloads 3,280
29.

Analytic Solutions for Optimal Statistical Arbitrage Trading

Number of pages: 16 Posted: 14 Nov 2009
Working Paper Series
ITG Australia Limited
Downloads 3,242
30.

Path Integral and Asset Pricing

Quantitative Finance 15(11) (2015) 1759-1771, Featured Article
Number of pages: 30 Posted: 07 Oct 2014 Last Revised: 11 Aug 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads 3,147
31.

Heterotic Risk Models

Wilmott Magazine 2015(80) (2015) 40-55
Number of pages: 41 Posted: 30 Apr 2015 Last Revised: 25 Jan 2016
Accepted Paper Series
Quantigic Solutions LLC
Downloads 3,144
32.

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29 Posted: 08 Jan 2013 Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 3,008
33.

Optimal Trend Following Trading Rules

Number of pages: 25 Posted: 20 Jul 2011
Working Paper Series
National University of Singapore (NUS) - Department of Mathematics, University of Georgia - Department of Mathematics and Western Michigan University
Downloads 2,955
34.

What to Look for in a Backtest

Number of pages: 58 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Working Paper Series
Guggenheim Partners, LLC
Downloads 2,922
35.

Quantos and FX Skew

Number of pages: 20 Posted: 27 Jul 2011 Last Revised: 08 Aug 2011
Working Paper Series
Bank of America Merrill Lynch
Downloads 2,864
36.

Quant Nugget 5: Return Calculations for Leveraged Securities and Portfolios

GARP Risk Professional, pp. 40-43, October 2010
Number of pages: 7 Posted: 12 Sep 2010 Last Revised: 15 Nov 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 2,845
37.

A Consistent Methodology for the Calculation of the Cost of Capital in Emerging Markets

Number of pages: 23 Posted: 24 Aug 2010
Working Paper Series
Universidad de los Andes, Colombia and Universidad de los Andes, Colombia
Downloads 2,829
38.

The Smile Calibration Problem Solved

Number of pages: 17 Posted: 15 Jul 2011
Working Paper Series
Bloomberg L.P. and Société Générale - Paris, France
Downloads 2,803
39.

How to Combine a Billion Alphas

Journal of Asset Management 18(1) (2017) 64-80
Number of pages: 23 Posted: 29 Feb 2016 Last Revised: 15 Dec 2016
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 2,793
40.

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 2,785
41.

Deep Learning for Finance: Deep Portfolios

Number of pages: 15 Posted: 14 Sep 2016
Working Paper Series
Bartlit Beck Herman Palenchar & Scott LLP, University of Chicago - Booth School of Business and University of Oxford - Mathematical Institute
Downloads 2,717
42.

Stress-Testing with Fully Flexible Causal Inputs

Risk, 25, 4, p. 61-65 (2012)
Number of pages: 13 Posted: 07 Dec 2010 Last Revised: 11 Oct 2012
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 2,616
43.

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 2,590
44.

The Alpha Engine: Designing an Automated Trading Algorithm

High Performance Computing in Finance, Chapman & Hall/CRC Series in Mathematical Finance, 2017
Number of pages: 29 Posted: 12 Apr 2017 Last Revised: 03 May 2017
Working Paper Series
Lykke Corp, Department of Banking and Finance, UZH and Lykke Corp
Downloads 2,571
45.

An Agent-Based Model of the Flash Crash of May 6, 2010, with Policy Implications

Number of pages: 39 Posted: 07 Oct 2013 Last Revised: 27 Feb 2014
Working Paper Series
Triangle Intelligence and University of Cambridge
Downloads 2,547
46.

Linear Factor Models: Theory, Applications and Pitfalls

Number of pages: 51 Posted: 21 Nov 2014 Last Revised: 08 Dec 2014
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 2,513
47.

Portfolio Construction and Systematic Trading with Factor Entropy Pooling

Risk Magazine, Vol. 27, No. 5, pp. 56-61, 2014
Number of pages: 36 Posted: 13 May 2011 Last Revised: 25 Aug 2014
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management, University of Neuchatel - Institute of Financial Analysis and SYMMYS
Downloads 2,495
48.

FINANCIAL STATEMENT ANALYSIS: A Data Envelopment Analysis Approach

Number of pages: 11 Posted: 08 Aug 2008 Last Revised: 26 Aug 2014
Accepted Paper Series
University of Washington, Tacoma - Milgard School of Business, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Downloads 2,408
49.

Thickness and Information in Dynamic Matching Markets

Number of pages: 57 Posted: 15 Feb 2014 Last Revised: 05 May 2017
Working Paper Series
Stanford Graduate School of Business, Stanford University - Department of Economics and University of California, Berkeley
Downloads 2,390
50.

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 Guggenheim Partners, LLC
Downloads 2,380