Search Results
ERN: Computational Techniques (Topic)

242,787 Total downloads

Viewing: 1 - 50 of 1,096 papers

1.

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 11,476
2.

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 9,374
3.

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 8,205
4.

Deep Learning for Finance: Deep Portfolios

Applied Stochastic Models in Business and Industry 33 (1), 3-12.
Number of pages: 15 Posted: 14 Sep 2016 Last Revised: 29 Apr 2019
Accepted Paper Series
J.B. Heaton, P.C., University of Chicago - Booth School of Business and University College London - Department of Mathematics
Downloads 7,249
5.

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 University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,326
6.

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 4,628
7.

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 4,104
8.

Applied Multidimensional Girsanov Theorem

Number of pages: 18 Posted: 11 Apr 2011 Last Revised: 03 Mar 2015
Working Paper Series
Tenokonda Ltd
Downloads 4,053
9.

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 3,951
10.

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 3,685
11.

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 3,486
12.

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 3,201
13.

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, HEC Montreal - Department of Decision Sciences and ARPM
Downloads 3,179
14.

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 2,866
15.

The Case of Gold and Silver: A New Algorithm for Pairs Trading

Number of pages: 7 Posted: 10 Apr 2013 Last Revised: 10 Apr 2013
Working 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 2,558
16.

Beyond Econometrics: A Roadmap Towards Financial Machine Learning

Number of pages: 31 Posted: 22 Apr 2019 Last Revised: 23 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,492
17.

Algorithmic Trading of Co-Integrated Assets

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 17 Posted: 01 Aug 2015 Last Revised: 24 May 2016
Accepted Paper Series
University of Oxford and University of Toronto - Department of Statistics
Downloads 2,383
18.

Testing for Weak Instruments in Linear IV Regression

IDENTIFICATION AND INFERENCE FOR ECONOMETRIC MODELS: ESSAYS IN HONOR OF THOMAS ROTHENBERG, 2005
Number of pages: 48 Posted: 07 Jan 2011 Last Revised: 31 Jul 2013
Accepted Paper Series
Harvard University - Department of Economics and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 2,313
19.

NETS: Network Estimation for Time Series

Number of pages: 35 Posted: 14 Apr 2013 Last Revised: 19 Oct 2018
Working Paper Series
London School of Economics and Political Science and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 2,218
20.

What Segments Equity Markets?

Netspar Discussion Paper No. 02/2011-031, AFA 2009 San Francisco Meetings Paper, National Bank of Poland Working Paper No. 76
Number of pages: 61 Posted: 27 Mar 2008 Last Revised: 19 Sep 2012
Working Paper Series
Columbia Business School - Finance and Economics, Duke University - Fuqua School of Business, University of North Carolina Kenan-Flagler Business School and University of Washington - Michael G. Foster School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 2,090
21.

CDS Rate Construction Methods by Machine Learning Techniques (Presentation at invitation by Department of Statistics at London School of Economics)

Number of pages: 23 Posted: 24 May 2017 Last Revised: 21 Mar 2018
Working Paper Series
Birkbeck, University of London and University of Reims Champagne-Ardenne
Downloads 2,064
23.

The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes

Number of pages: 12 Posted: 10 Dec 2011
Working Paper Series
Independent and affiliation not provided to SSRN
Downloads 1,794
24.

Optimal Order Placement in Limit Order Markets

Number of pages: 39 Posted: 02 Oct 2012 Last Revised: 23 Nov 2014
Working Paper Series
University of Oxford and AQR Capital Management, LLC
Downloads 1,692
25.

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 1,627
26.

Implementing Deep Neural Networks for Financial Market Prediction on the Intel Xeon Phi

Number of pages: 6 Posted: 07 Jul 2015 Last Revised: 13 Sep 2015
Working Paper Series
Illinois Institute of Technology, Northwestern University and Northwestern University
Downloads 1,594
27.

An Explicit Implied Volatility Formula

International Journal of Theoretical and Applied Finance, Vol. 20, no. 7, 2017
Number of pages: 24 Posted: 01 Feb 2017 Last Revised: 25 Jul 2018
Working Paper Series
Baruch College, City University of New York and CUNY Baruch College
Downloads 1,590
28.

Sequential Learning, Predictability, and Optimal Portfolio Returns

Journal of Finance, Forthcoming, AFA 2009 San Francisco Meetings Paper
Number of pages: 58 Posted: 25 Mar 2008 Last Revised: 04 Apr 2013
Accepted Paper Series
Columbia Business School - Finance and Economics, University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Downloads 1,529
29.

Transforming Volatility - Multi Curve Cap and Swaption Volatilities

Number of pages: 22 Posted: 22 Jan 2013 Last Revised: 27 Mar 2013
Working Paper Series
University of Wuppertal - Applied Mathematics
Downloads 1,505
30.

Algorithmic Contracts

Stanford Technology Law Review, Vol. 20, 2017
Number of pages: 42 Posted: 21 Mar 2016 Last Revised: 24 Mar 2018
Accepted Paper Series
Florida State University - College of Law
Downloads 1,499
31.

Constructing Long/Short Portfolios with the Omega Ratio

Swiss Finance Institute Research Paper No. 08-34
Number of pages: 21 Posted: 27 Oct 2008
Working Paper Series
University of Geneva - Research Center for Statistics, Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 1,424
32.

Optimal High Frequency Trading with Limit and Market Orders

Number of pages: 22 Posted: 24 Jun 2011
Working Paper Series
Université Paris VII Denis Diderot and Université Paris VII Denis Diderot
Downloads 1,413
33.

A Fast Algorithm for Computing High-Dimensional Risk Parity Portfolios

Number of pages: 9 Posted: 15 Sep 2013 Last Revised: 01 Oct 2013
Working Paper Series
Imperial College London, Eisler Capital and Amundi Asset Management
Downloads 1,362
34.

Concealing the Trading Footprint: Optimal Execution Horizon

Number of pages: 45 Posted: 08 Nov 2012 Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,354
35.

Augmented Dickey Fuller Test

Number of pages: 19 Posted: 17 Aug 2011
Working Paper Series
Université Paris I Panthéon-Sorbonne
Downloads 1,320
36.

Evidence in Favor of Weight of Evidence and Binning Transformations for Predictive Modeling

Number of pages: 39 Posted: 12 Sep 2011
Working Paper Series
Independent
Downloads 1,227
37.

Stochastic Calculus of Standard Deviations: An Introduction

Number of pages: 29 Posted: 10 Oct 2013
Working Paper Series
Infiniti Derivatives Technologies
Downloads 1,204
38.

Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation

Number of pages: 23 Posted: 07 Dec 2011
Working Paper Series
Banca IMI, Mediobanca and Imperial College London - Department of Mathematics
Downloads 1,193
39.

Running for the Exit: Distressed Selling and Endogenous Correlation in Financial Markets

Number of pages: 29 Posted: 23 Jan 2011 Last Revised: 29 May 2013
Working Paper Series
University of Oxford and IESEG School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,145
40.

Improving Logistic Regression/Credit Scorecards Using Random Forests: Applications with Credit Card and Home Equity Datasets

Number of pages: 16 Posted: 03 Apr 2011 Last Revised: 06 Sep 2011
Working Paper Series
Independent
Downloads 1,094
41.

Forecasting Foreign Exchange Rate Movements with k-Nearest-Neighbour, Ridge Regression and Feed-Forward Neural Networks

Number of pages: 49 Posted: 23 Jan 2017
Working Paper Series
University of Economics, Prague - Faculty of Finance and Accounting
Downloads 1,062
42.

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 1,041
43.

Repricing the Cross Smile: An Analytic Joint Density

Risk, July 2011
Number of pages: 13 Posted: 10 Jul 2011
Accepted Paper Series
Independent
Downloads 1,041
44.

An Empirical Analysis of Alternative Portfolio Selection Criteria

Swiss Finance Institute Research Paper No. 09-06
Number of pages: 41 Posted: 19 Mar 2009 Last Revised: 22 Apr 2010
Working Paper Series
University of Geneva - Research Center for Statistics and Independent
Downloads 978
45.

Systemic Risk Contributions

Number of pages: 44 Posted: 29 Jul 2010 Last Revised: 29 Oct 2011
Working Paper Series
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 938
46.

Pricing Stock Options with Stochastic Interest Rate

NYU Working Paper No. 2451/30272
Number of pages: 46 Posted: 15 Oct 2011
Working Paper Series
Bar-Ilan University - Graduate School of Business Administration and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 897
47.

Automated Option Pricing: Numerical Methods

Number of pages: 23 Posted: 05 Dec 2011
Working Paper Series
Société Générale - Paris, France
Downloads 871
48.
Downloads 865
49.

The Sum and Difference of Two Lognormal Random Variables

Journal of Applied Mathematics, Volume 2012, Article ID 838397
Number of pages: 13 Posted: 23 May 2012 Last Revised: 14 May 2013
Accepted Paper Series
The Chinese University of Hong Kong
Downloads 865
50.

Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis

Journal of Financial Economics (JFE), Vol. 15, No. 3, 1986
Number of pages: 38 Posted: 26 Aug 2011
Accepted Paper Series
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University
Downloads 863