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Econometrics: Mathematical Methods & Programming eJournal

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Viewing: 1 - 50 of 6,069 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 31,017
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 14,113
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 13,284
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), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 11,318
5.

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 11,025
6.

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
Cornell University - Operations Research & Industrial Engineering
Downloads 9,746
7.

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 9,685
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 9,249
9.

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 8,641
10.

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 8,167
11.

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 7,600
12.

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 7,122
13.

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 6,982
14.

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
Flov technologies, Department of Banking and Finance, UZH and Lykke Corp
Downloads 6,747
15.

Deep Learning for Finance: Deep Portfolios

Number of pages: 15 Posted: 14 Sep 2016 Last Revised: 18 Feb 2019
Working Paper Series
J.B. Heaton, P.C., University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 6,616
16.

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 6,496
17.

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, FinScience and Fundvisory
Downloads 5,840
18.

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 5,670
19.

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 Engineering and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,188
20.

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 4,923
21.

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 4,713
22.

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
University of Oxford
Downloads 4,549
23.

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 4,438
24.

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 4,362
25.

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 4,347
26.

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 4,320
27.

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 Cornell University - Operations Research & Industrial Engineering
Downloads 4,316
28.

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 4,245
29.

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 4,044
30.

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 Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 4,030
31.

Applied Multidimensional Girsanov Theorem

Number of pages: 18 Posted: 11 Apr 2011 Last Revised: 03 Mar 2015
Working Paper Series
Tenokonda Ltd
Downloads 3,936
32.

What to Look for in a Backtest

Number of pages: 58 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,918
33.

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 3,851
34.

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 3,834
35.

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 3,713
36.

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: 01 Jul 2014 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 3,652
37.

Kinetic Component Analysis

Number of pages: 24 Posted: 08 Apr 2014 Last Revised: 08 Aug 2016
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and University of Oxford - Mathematical Institute
Downloads 3,639
38.

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 3,623
39.

Quantitative Meta-Strategies

Practical Applications, Institutional Investor Journals, Spring 2015, Forthcoming
Number of pages: 6 Posted: 10 Jan 2015
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,577
40.

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 3,562
41.

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 3,558
42.

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 3,528
43.

Statistical Industry Classification

Journal of Risk & Control 3(1) (2016) 17-65, Invited Editorial
Number of pages: 44 Posted: 03 Jul 2016 Last Revised: 31 Dec 2018
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 3,515
44.

Analytic Solutions for Optimal Statistical Arbitrage Trading

Number of pages: 16 Posted: 14 Nov 2009
Working Paper Series
ITG Australia Limited
Downloads 3,514
45.

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 3,459
46.

Building Diversified Portfolios That Outperform Out-of-Sample (Presentation Slides)

Number of pages: 33 Posted: 11 Jan 2016 Last Revised: 14 Aug 2016
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,442
47.

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 3,344
48.

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 3,141
49.

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 ARPM
Downloads 3,068
50.

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 3,057